ICE Swap Rate


The latest international government benchmark and treasury bond rates, yield curves, spreads, interbank and official interest rates.

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10 Year Swap Rate (DISCONTINUED) Chart

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 .

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. The calculation and publication happens in six "runs", covering four times of the day. The runs and times are:. Featured Global Oil Benchmarks. Increasing efficiency, transparency and access across the trading cycle.

Services for interest rate, equity index, ag and global energy derivatives. Capital-efficient clearing services for European equity derivatives products. Clearing for North American natural gas and electricity markets.

Vital market information and connectivity for participants around the world. Trading, messaging and analytics tools designed with your workflow in mind. Post-trade applications for informed decision making and operational efficiency. Identify opportunities, make informed decisions, execute quickly. Technology and integration tools for efficient data management. 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. This makes the benchmark more robust against attempted manipulation and momentary aberrations in the market. A minimum number of liquid snapshots is required to perform 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. Snapshots with tighter spreads between the VWB and VWO are indicative of a better quality market so are given a higher weighting. Show more UK link UK.

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