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.
Please read IBA’s benchmark and other information notice and disclaimer here.
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.
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 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 |
|
|
|
|
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 |
||
CONSULTATIONS
Changes to the methodology are governed by IBA’s consultation policy.
Current and previous consultations are available below:
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.
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
- Oversight Committee Composition and Disclosures of Conflicts of Interest
- ICE Swap Rate Oversight Committee Terms of Reference
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.
Oversight Committee Meeting Minutes
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
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:
| RUN | BASE TIME ZONE | DATA COLLECTION | EXPECTED PUBLICATION |
| EUR Rates 1100 | Frankfurt | 10:58-11:00 | 11:15 |
| EUR Rates 1200 | Frankfurt | 11:58-12:00 | 12:15 |
| GBP Rates 1100 | London | 10:58-11:00 | 11:15 |
| USD Rates 1100 | New York | 10:58-11:00 | 11:15 |
| USD Spreads 1100 | New York | 10:58-11:00 | 11:15 |
| USD Rates 1500 | New York | 14:58-15:00 | 15:15 |
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 RUN | HOLIDAY CALENDAR | LINK |
| EUR Rates 1100 | TARGET | https://www.ecb.europa.eu/home/html/holidays.en.html* |
| EUR Rates 1200 | TARGET | https://www.ecb.europa.eu/home/html/holidays.en.html* |
| GBP Rates 1100 | UK Bank Holidays | https://www.gov.uk/bank-holidays |
| USD Rates 1100 | SIFMA Close | http://www.sifma.org/services/holiday-schedule/ |
| USD Spreads 1100 | SIFMA Close | http://www.sifma.org/services/holiday-schedule/ |
| USD Rates 1500 | SIFMA Early Close | http://www.sifma.org/services/holiday-schedule/ |
*Please look at the days marked with an asterisk in the ‘Working Hours’ tab