ICE LIBOR and ICE Swap Rate: Difference between pages
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''Reference rates''. | |||
ICE | ICE Swap Rate, formerly known as ISDAFIX, is a 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. | ||
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==See also== | |||
*[[Benchmark]] | |||
*[[Close-out]] | |||
*[[Exercise price]] | |||
*[[Fixed leg]] | |||
*[[Floating rate bond]] | |||
*[[ICE]] | |||
*[[Interest rate swap]] | |||
*[[Mid-price]] | |||
*[[Portfolio]] | |||
*[[Reference rate]] | |||
*[[Spread]] | |||
*[[Swap rate]] | |||
*[[Swaption]] | |||
*[[Tenor]] | |||
Revision as of 08:04, 1 September 2018
Reference rates.
ICE Swap Rate, formerly known as ISDAFIX, is a 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.
