OVERVIEW

ABOUT ICE SWAP RATE

ICE Swap Rate, formerly known as ISDAFIX, is recognised as the principal global benchmark for swap rates and spreads for interest rate swaps. It represents the mid-price for interest rate swaps (the fixed leg), at particular times of the day, in three major currencies (EUR, GBP and USD) and in tenors ranging from 1 year to 30 years. ICE Swap Rate is used as the exercise value for cash-settled swaptions, for close-out payments on early terminations of interest rate swaps, for some floating rate bonds and for valuing portfolios of interest rate swaps.

ICE Swap Rate is the first global benchmark to transition from a submission-based rate, using inputs from a panel of banks to a rate based on tradable quotes sourced from regulated electronic trading venues – requiring no subjective or expert judgment. Under the new patented methodology, ICE Swap Rate accurately reflects what was tradable in the market.

REGULATORY AND IOSCO COMPLIANCE

ICE Swap Rate is a benchmark regulated by the UK’s FCA. IBA is a regulated benchmark administrator, authorized to administer ICE Swap Rate.

IBA is also compliant with the IOSCO Principles for Financial Benchmarks.

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METHODOLOGY & PARTICIPATION

HOW THE ICE SWAP RATE PROCESS WORKS

ICE Swap Rate is calculated by working out the mid-price you would get if you were to fill a trade of Standard Market Size (SMS) using the best prices available on regulated electronic trading venues at the relevant times and in the relevant currencies and tenors.

Key features of the calculation are:

  • VWAMPs from Synthetic Order Books at Snapshots in Time: the calculation is based on finding the VWAMP from theoretically filling a trade in SMS on both the bid and offer side at a particular instant in time (a snapshot). At each snapshot, we combine the order books from all the trading venues to create a synthetic order book that represents the best prices (and accompanying volumes) available in the market at that time. We then calculate the volume weighted prices at which you could fill a trade in SMS from this synthetic order book on both the bid and offer side and these effective prices are used to calculate the VWAMP.
  • Multiple Snapshots: instead of using just one snapshot at a pre-determined time to create the VWAMP, IBA uses multiple, randomised snapshots taken in a short window before the calculation. This makes the benchmark more robust against attempted manipulation and momentary aberrations in the market.
  • Liquidity Checks: illiquid snapshots are not included in the calculation – any snapshots that can’t fill the SMS (on both the bid and offer side) are discarded, so only VWAMPs from reasonably sized trades are included in the calculation. A minimum number of liquid snapshots is required to perform the calculation.
  • Outlier Checks: to protect against momentary and unrepresentative spikes in price, outlier snapshots are not included in the calculation. The snapshots that pass the liquidity checks are ranked in order of their VWAMPs and the snapshots higher than the 75th percentile and lower than the 25th percentile are discarded leaving only the most representative snapshots.
  • Quality Weighting: IBA combines the remaining VWAMPs into a final price (ICE Swap Rate) using a quality weighting. Snapshots with tighter spreads between the VWB and VWO are indicative of a better quality market so are given a higher weighting.
  • Movement Interpolation: Where there are not enough liquid snapshots to calculate the rate for a tenor, the day-on-day move in adjacent tenors and the previous day’s rate for the tenor are used to interpolate a rate (provided certain conditions are met).

ICE Swap Rate is calculated and published in six benchmark ‘runs’ covering three currencies – EUR, GBP and USD – with tenors ranging from 1 year to 30 years.

The tenors for each benchmark run are:

TENOR EUR RATES 1100EUR RATES 1200GBP RATES 1100USD RATES 1100USD SPREADS 1100USD RATES 1500
1 Year

2 Years

3 Years

4 Years

5 Years

6 Years

7 Years

8 Years

9 Years

10 Years

12 Years

15 Years

20 Years

25 Years

30 Years

The day counts and interest rate basis (the floating leg) for the underlying interest rate swaps are:

1Y tenor

Tenor over 1Y

Run

Day-count

Interest rate basis (m=month)

Day-count

Interest rate basis (m=month)

EUR Rates 1100

30/360

3m EURIBOR

30/360

6m EURIBOR

EUR Rates 1200

30/360

3m EURIBOR

30/360

6m EURIBOR

GBP Rates 1100

Actual/365

3m LIBOR

Semi-annual actual / 365

6m LIBOR

USD Rates 1100

Semi-annual 30/360

3m LIBOR

Semi-annual 30/360

3m LIBOR

USD Spreads 1100

30/360 semi-annual bond

USD Rates 1500

Semi-annual 30/360

3m LIBOR

Semi-annual 30/360

3m LIBOR

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CONSULTATIONS

Changes to the methodology are governed by IBA’s consultation policy.

Current and previous consultations are available below:

Data Providers

IBA sources prices from the following regulated, electronic trading venues:

Tradition's Trad-X platformBGC Partners' BGC Trader platformICAP's i-Swap platformTullett Prebon's tpSWAPDEAL platform

If you operate a suitable trading venue, or would like to suggest one for consideration, please email iba@theice.com.

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Governance

Overview

IBA is responsible for ensuring that there is appropriate governance over ICE Swap Rate, and that the appropriate standards of conduct are met.

IBA does this through the Practice Standards that all Participants are required to adhere to and through the ICE Swap Rate Oversight Committee which has broad representation from the market.

The ICE Swap Rate Oversight Committee is comprised of an independent Chairperson, market representatives and industry bodies, Independent Non-Executive Directors of IBA, and IBA representatives. The Oversight Committee is responsible for monitoring the administration of the benchmark, including:

  • Regular reviews of the methodology, definition and suitability of inputs
  • Assessing the underlying market and usage of the benchmark
  • Overseeing adherence to the calculation methodology and IBA policies
  • Approving the addition or withdrawal of currencies and tenors for the benchmark

Decisions by the ICE Swap Rate Oversight Committee are made in accordance with IBA’s Consultation Policy which means that relevant stakeholders are consulted on material changes to the benchmark methodology.

Current and past consultations are available here.

Further details on IBA’s general governance structure, including IBA’s independent Board of Directors, whistleblowing policy and other policies are available on IBA’s Governance page.

MEMBERS OF THE ICE SWAP RATE OVERSIGHT COMMITTEE

The following are the current members of the Oversight Committee:

Name  Company Committee Position
Michael Barletta JP Morgan Financial Intermediary
David Clark WMBA Association Representative
George Handjinicolaou Piraeus Bank Financial Intermediary
Dan Marcus Tradition Market Infrastructure Provider
Mary Miller IBA Independent Non-Executive Director
Stephen Pickford Independent Chairman
Chris Rhodes ICE Futures Europe Market Infrastructure Provider
Stelios Tselikas IBA Benchmark Administrator
Emma Vick IBA Benchmark Administrator (CF5O)
André Villeneuve IBA Chairman Independent Non-Executive Director

Oversight Committee Meeting Minutes

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DATA, REPORTS & LICENSING

OVERVIEW

Clients wishing to use or redistribute ICE Swap Rate require a license. To obtain a license, or to find out if you need one, please use the online licensing wizard.

HOW TO ACCESS ICE SWAP RATE

ICE Swap Rate is available from data vendors including:

The data vendor codes are available here.

For ICE Swap Rate, intraday data is available 4 hours after original publication time and delayed data is available 24 hours after original publication time for free on the Historical Data & Reports page.

LICENSING TYPES

There are four types of license for ICE Swap Rate:

  • Usage
  • Redistribution
  • Trading/Clearing
  • Historical Access

Any party involved in any of the following activities is required to take a license. The online licensing wizard will help determine which license you require based on your use.

  • Usage License is required for any party that:
    • Uses ICE Swap Rate in valuation and pricing activities, including (but not limited to): collateral calculations, rate fixings, pricing curves, discount curves and forward curves; and/or
    • Uses ICE Swap Rate as a reference rate in transactions and financial products including (but not limited to): swaps, FRAs, options.
  • Redistribution License is required for any party that redistributes ICE Swap Rate to third parties, either real-time or delayed.
  • Trading/Clearing License is required for any party that offers trading/clearing of financial contracts for which ICE Swap Rate is the underlying reference, typically a trading venue or clearing house.
  • Historical Access License is required for any party wanting to access consolidated monthly historical price files and transparency report data directly from the IBA database. A Historical Access License is not required where historical data is accessed via a third party distributor or the IBA historical data page.

LICENSING AND TECHNICAL DOCUMENTATION AND FEE SCHEDULES

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PUBLICATION DAYS, TIMES & HOLIDAYS

PUBLICATION TIMES

The calculation and publication happens in six "runs", covering four times of the day. The runs and times are:

RUNBASE TIME ZONEDATA COLLECTIONEXPECTED PUBLICATION
EUR Rates 1100Frankfurt10:58-11:0011:15
EUR Rates 1200Frankfurt11:58-12:0012:15
GBP Rates 1100London10:58-11:0011:15
USD Rates 1100New York10:58-11:0011:15
USD Spreads 1100New York10:58-11:0011:15
USD Rates 1500New York14:58-15:0015:15

Non-Publication Days/Holidays

ICE Swap Rate is not calculated or published on certain days.

The specific days for each year are:

If, on a normal publication day, there is not enough liquidity available on the trading venues for IBA to calculate the rate for a particular tenor, and in addition the interpolation methodology did not generate a rate for that tenor, we will publish a ‘No Publication’ for that individual tenor.

The relevant holiday calendars for each benchmark run are:

BENCHMARK RUNHOLIDAY CALENDARLINK
EUR Rates 1100TARGEThttps://www.ecb.europa.eu/home/html/holidays.en.html*
EUR Rates 1200TARGEThttps://www.ecb.europa.eu/home/html/holidays.en.html*
GBP Rates 1100UK Bank Holidayshttps://www.gov.uk/bank-holidays
USD Rates 1100SIFMA Closehttp://www.sifma.org/services/holiday-schedule/
USD Spreads 1100SIFMA Closehttp://www.sifma.org/services/holiday-schedule/
USD Rates 1500SIFMA Early Closehttp://www.sifma.org/services/holiday-schedule/

*Please look at the days marked with an asterisk in the ‘Working Hours’ tab

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