Overview

About ICE Swap Rate

The ICE Swap Rate (formerly known as ISDAFIX) is recognised as the principal global benchmark for swap rates and spreads for interest rate swaps. 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.

The ICE Swap Rate represents the mid-price for interest rate swaps (the fixed leg) and swap spreads (the applicable mid-price minus a corresponding specified government bond yield), in various specified currencies and tenors and at particular specified times of the day.

Please read IBA’s Benchmark and Other Information Notice and Disclaimer here.

Assurance on Compliance with EU Benchmarks Regulation and Benchmark Methodologies

IBA has published a Statement of Compliance with the EU Benchmarks Regulation and Benchmark methodologies, including in respect of ICE Swap Rate, and Ernst & Young LLP has externally reviewed and provided assurance in respect of this Statement.

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Methodology

Each published ICE Swap Rate benchmark rate is calculated using eligible prices and volumes for specified interest rate derivative products, provided by trading venues in accordance with a “Waterfall” Methodology. The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes provided by regulated, electronic, trading venues. If these trading venues do not provide sufficient eligible input data to calculate a rate in accordance with Level 1 of the Methodology, then the second level of the Waterfall (“Level 2”) uses eligible dealer to client prices and volumes displayed electronically by trading venues. If there is insufficient eligible input data to calculate a rate in accordance with Level 2 of the Methodology, then the third level of the Waterfall (“Level 3”) uses movement interpolation, where possible for applicable tenors, to calculate a rate. Where it is not possible to calculate an ICE Swap Rate benchmark rate at Level 1, Level 2 or Level 3 of the Waterfall, then the Insufficient Data Policy applies for that rate.

The Future of LIBOR: Consequences for the ICE Swap Rate

Users of ICE Swap Rate settings in respect of which LIBOR serves as the floating leg for the relevant interest rate swaps should note the section on our LIBOR webpage headed “The Future of LIBOR”. The FCA has stated its intention that "it would no longer be necessary for it to persuade or compel the panel banks to submit to LIBOR after year-end 2021". The FCA and other official sector bodies have made various announcements regarding the need to be prepared for transition from LIBOR to alternative rates by year-end 2021, and market participants have been strongly advised to ensure they are ready for this transition.

There can be no certainty or guarantee that IBA will publish any LIBOR settings after year-end 2021, for use in LIBOR-linked swaps or otherwise. As a result, there can be no certainty or guarantee that those ICE Swap Rate settings in respect of which LIBOR serves as the floating leg for the relevant interest rate swaps will be able to be published after that date.

In the UK, SONIA has been recommended as the preferred near risk free rate for use in Sterling derivatives and relevant financial contracts. As a result, IBA sought feedback and consulted on publishing a GBP ICE Swap Rate for SONIA swaps. Following positive feedback, IBA is planning to publish daily indicative GBP SONIA ICE Swap Rate ‘Beta’ settings for an initial testing period prior to making the rates available as a benchmark for use in financial instruments, financial contracts and investment funds.

Key Features of the Calculation

Multiple Random Snapshots

IBA uses multiple, randomised snapshots of market data taken during a short window before calculation. This enhances the benchmark's robustness and reliability by protecting against attempted manipulation and temporary aberrations in the underlying market.

Liquidity Checks

Snapshots which do not contain sufficient eligible market data are not included in the calculation.

A minimum number of liquid snapshots is required to perform the calculation.

Outlier Checks

To protect against unrepresentative market data influencing the benchmark, outlier snapshots are not included in the calculation.

Quality Weighting

IBA uses data from the remaining snapshots to determine the ICE Swap Rate using a quality weighting based on the tightness of the spread of the eligible data.

ICE Swap Rate is calculated and published in six benchmark ‘runs’ covering three currencies – EUR, GBP and USD – at the following specified times, with tenors ranging from 1 year to 30 years as indicated in the below table:

TENOR EUR RATES 1100 EUR RATES 1200 GBP RATES 1100 USD RATES 1100 USD SPREADS 1100 USD 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

Input Data Specifications and Criteria

In respect of each benchmark run and tenor:

  • At Level 1 of the Waterfall, tradeable bid and offer prices and volumes available on the central limit order books of regulated, electronic trading venues in respect of a two-minute window before the relevant calculation are used to calculate the ICE Swap Rate benchmark rate.
  • At Level 2 of the Waterfall, dealer to client bid and offer prices and volumes displayed electronically by trading venues in respect of the same two-minute window are used to calculate the ICE Swap Rate benchmark rate.

The bid and offer prices are for the fixed leg percentage rate for cleared interest rate swaps (together with the associated volumes) satisfying the requirements in the below table in respect of the applicable benchmark runs and tenors, except that, for the benchmark run that is USD Spreads 1100 and the associated tenors, the bid and offer prices are for spreads of such fixed leg percentage rates over the annual percentage yield payable on an on-the-run US Treasury Bonds satisfying the requirements in the table below in respect of the applicable tenors. Input data is provided by the relevant trading venues on an “as is” basis.

Benchmark Run 1Y Tenor Tenors over 1Y
Interest Rate Swap
Fixed Rate Leg Day-count Fixed Rate Leg Period Floating Leg Interest rate basis (m=month) Fixed Rate Leg Day-count Fixed Rate Leg Period Floating Leg Interest rate basis (m=month)
EUR Rates 1100 30/360 Annual 3m EURIBOR 30/360 Annual 6m EURIBOR
EUR Rates 1200 30/360 Annual 3m EURIBOR 30/360 Annual 6m EURIBOR
GBP Rates 1100 Actual/365 Annual 3m LIBOR Actual/365 Semi-annual 6m LIBOR
USD Rates 1100 30/360 Semi-annual 3m LIBOR 30/360 Semi-annual 3m LIBOR
USD Rates 1500 30/360 Semi-annual 3m LIBOR 30/360 Semi-annual 3m LIBOR
Benchmark Run Tenors over 1Y
Interest Rate Swap Bond
Fixed Rate Leg Day-count Fixed Rate Leg Period Floating Leg Interest rate basis (m=month) Day-count Period Type
USD Spreads 1100 30/360 Semi-annual 3m LIBOR Actual/actual Semi-annual US Treasury on-the-run

Standard Market Sizes

The Standard Market Sizes in respect of the hypothetical trades that are required to be filled at Level 1 or Level 2 of the Waterfall for each benchmark run and tenor are specified in the below table (numbers in millions):

Tenor
EUR Rates
1100
EUR Rates
1200
GBP Rates
1100
USD Rates
1100
USD Spreads
1100
USD Rates
1500
1 Year 150 150 25 150 - 150
2 Years 125 125 50 150 150 -
3 Years 100 100 50 150 150 -
4 Years 100 100 30 100 - -
5 Years 75 75 25 100 100 -
6 Years 60 60 25 75 - -
7 Years 50 50 20 75 75 -
8 Years 50 50 15 50 - -
9 Years 40 40 15 50 - -
10 Years 40 40 15 50 50 -
12 Years 40 40 10 - - -
15 Years 30 30 10 40 - -
20 Years 25 25 10 40 - -
25 Years 25 25 10 - - -
30 Years 20 20 10 25 - -

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Data Providers

IBA sources input data for use at Level 1 of the Waterfall from the following regulated, electronic trading venues:

IBA sources input data for use at Level 2 of the Waterfall from the following electronic trading venue:

If you operate a suitable trading venue, or would like to suggest one for consideration, please email [email protected].

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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.

The ICE Swap Rate Oversight Committee is comprised of an independent Chairperson and market representatives. The Oversight Committee is responsible for monitoring the administration of the benchmark, including:

  • Regular reviews of the definition, methodology and setting of the benchmark
  • 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

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.

Oversight Committee Meeting Minutes

Consultations

Current and previous consultations are available below:

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

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Licensing

Clients wishing to access, use or redistribute ICE Swap Rates should refer to IBA’s Licensing and Data Section.

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Non-Publication Days/Holidays

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

The specific days for each year are: