OVERVIEW

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 methodology, ICE Swap Rate accurately reflects what was tradable in the market. ICE Swap Rate is a regulated benchmark under the rules of the Financial Conduct Authority and has been designed to be fully compliant with the IOSCO Principles for Financial Benchmarks.

• View the Full Calculation Methodology
• ICE Swap Rate IOSCO principles 20 February 2017
• ICE Swap Rate Practice Standards September 2016
• ICE Swap Rate Practice Standards Feedback Statement September 2016
• ICE SWAP RATE CONSULTATION
• ISR Consultation - Interpolation
• ISR Consultation Questionnaire - Interpolation
• ISR - Feedback Statement on Movement Interpolation
• ISR - Movement Interpolation and Further Consultation

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Accessing the Rates

ICE Swap Rate is available directly from our authorised redistribution partners. Please visit Licensing and Data for more details.

ICE Swap Rate (delayed on a 24 hour basis) is available for free on the Historical Data & Reports page.

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ICE Swap Rate Calculation Methodology

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.

• View the Full Calculation Methodology

Key features of the calculation are:

• Volume Weighted Average Mid Prices (VWAMP) 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 prices and volumes from 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 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 cannot fill the SMS (on both the bid and offer side) are discarded, so only VWAMPs from reasonably sized trades are included in 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 volume weighted bid and volume weighted offer are given a higher weighting because they have more volume executable closer to the mid-point, and therefore are indicative of a better quality market.

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Venues Providing Tradeable Quotes

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

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

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Currencies, Tenors & Publication Times

ICE Swap Rate is calculated and published in three currencies – EUR, GBP and USD – with tenors ranging from 1 year to 30 years. The calculation and publication happens in six "runs", covering four times of the day. The runs and times are:

The tenors for each run are:

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

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Governance & Oversight

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

• ICE Swap Rate Oversight Committee Terms of Reference
• ICE Swap Rate Republication Policy
• ICE SWAP RATE Reduced Submissions Policy

The following are the current members of the Oversight Committee:

Oversight Committee Meeting Minutes

• 2017
• 2016
• 2015
• 2014

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Non-Publication Days

ICE Swap Rate is not calculated or published on certain days. The following table sets out the relevant holiday calendars for each benchmark run, and the specific days for each year are available on the Holiday Calendars page.

In addition, 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 we will publish a ‘No Publication’ for that individual tenor.

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

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