ICE Swap Rate

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:

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:

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

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CONSULTATIONS

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

Current and previous consultations are available below:

• 2017
• 2016

OTHER DOCUMENTATION

DATA PROVIDERS

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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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

• 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.

MEMBERS OF THE ICE SWAP RATE OVERSIGHT COMMITTEE

The following are the current members of the Oversight Committee:

Oversight Committee Meeting Minutes

• 2018
• 2017
• 2016
• 2015
• 2014

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:

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.

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:

Non-Publication Days/Holidays

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

The specific days for each year are:

• 2018
• 2017
• 2016
• 2015

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:

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

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