ICE Swap Rate® (formerly known as ISDAFIX) is recognized as the principal global benchmark for swap rates 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.
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 ranging from 1 year to 30 years at particular specified times of the day. Certain versions of the ICE Swap Rate are also "spread-adjusted", as noted below.
ICE Swap Rate has been designated as a “critical benchmark” under the UK Benchmarks Regulation.
Currently, ICE Benchmark Administration® Limited (IBA), the administrator of ICE Swap Rate, publishes ICE Swap Rate benchmarks: (i) based on swaps linked to EUR EURIBOR, EUR €STR, GBP SONIA and USD SOFR; and (ii) based on swap spreads linked to USD SOFR, all using the published ‘Waterfall’ Methodology. The waterfall methodology prioritizes different data sources to ensure robustness and reliability. Additionally, IBA offers USD SOFR and GBP SONIA Spread-Adjusted ICE Swap Rate settings, aligning with methodologies suggested by the Alternative Reference Rates Committee (ARRC) and the Non-Linear Task Force (NLTF) of the Working Group on Sterling Risk-Free Reference Rates, respectively.
ICE Swap Rates are published daily at or around 10.15 & 11.15 CET for EUR ICE Swap Rate, 11.15 UK time for GBP ICE Swap Rate and 11.15 EST for USD ICE Swap Rate.
ICE Benchmark Administration (IBA) provides transparent, fair and sustainable access to its benchmarks and other information and data for all users. IBA licenses the use or redistribution of the benchmarks and other information and data on a commercial and reasonable basis, to help set standards of fairness and transparency in benchmark and other information and data distribution and licensing.
IBA benchmark data is available on a real-time, intraday or delayed basis through redistribution partners and directly from IBA. 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.
Specifications
Key Features
- Multi-Currency Coverage: Provides swap rates for multiple currencies, including EUR, GBP, and USD, catering to a broad range of market participants.
- Comprehensive Tenor Range: Offers rates for tenors from 1 to 30 years, supporting various financial instruments and strategies.
- Robust Calculation Methodology: The first level of the Waterfall (“Level 1”) uses eligible, executable prices and volumes for specified interest rate derivative products that are 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 for specified interest rate derivative products displayed electronically by trading venues.
If there is insufficient eligible input data to calculate a rate in accordance with Level 2 of the Waterfall, 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.
At present, USD SOFR ICE Swap Rate settings, USD SOFR ICE Swap Rate Swap Spreads and EUR €STR ICE Swap Rates settings are expected to be calculated using input data at the second or third level of the Waterfall (i.e. eligible dealer to client prices and volumes for specified interest rate derivative products displayed electronically by trading venues where available, and otherwise movement interpolation, where possible for applicable tenors). IBA expects to use input data at the first level of the Waterfall (i.e. eligible, executable prices and volumes for specified interest rate derivatives products, provided by regulated, electronic, trading venues) to derive these ICE Swap Rate settings when this is available in the future.
- Supports Benchmark Transition: Pursuant to the cessation of and transition from LIBOR-based ICE Swap Rates, IBA determines and publishes GBP SONIA Spread-Adjusted ICE Swap Rate settings and USD SOFR Spread-Adjusted ICE Swap Rate benchmark settings in line with methodologies proposed by the Non-Linear Task Force of the Working Group on Sterling Risk-Free Reference Rates and the Alternative Reference Rates Committee (ARRC), respectively.
- Daily Publication: Rates are published each business day, providing timely information for market participants.
- Regulatory Compliance: ICE Benchmark Administration Limited is authorized and regulated by the Financial Conduct Authority for the regulated activity of administering a benchmark.
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