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.

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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.

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:

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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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:

RUNBASE TIME ZONEDATA COLLECTIONEXPECTED PUBLICATION (LOCAL TIME)EXPECTED PUBLICATION (LONDON TIME EQUIVALENT)
EUR Rates 1100 Frankfurt10:58-11:0011:1510:15
EUR Rates 1200Frankfurt11:58-12:0012:1511:15
GBP Rates 1100London10:58-11:0011:1511:15
USD Rates 1100New York10:58-11:0011:1516:15
USD Spreads 1100New York10:58-11:0011:1516:15
USD Rates 1500New York14:58-15:0015:1520:15

The tenors for each 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) 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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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

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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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.

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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