ICE Swap Rate and Risk policy: Difference between pages

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imported>Doug Williamson
(Create page. Source: ICE webpage https://www.theice.com/iba/ice-swap-rate)
 
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''Reference rates''.
''Risk management''.
Predetermined actions the entity will take, or have in reserve, to deal with the various situations that might arise. 


ICE Swap Rate, formerly known as ISDAFIX, is a global benchmark for swap rates and spreads for interest rate swaps.  
Risk policy should cover commercial as well as treasury approaches to exposure management.
The policy should identify and reflect the risk appetite and risk tolerances of the organisation, making explicit that a risk management system has been designed to provide reasonable assurance of achieving business objectives.
It should assign accountability for managing risks and reporting results on effectiveness of the system to executive management.


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.
== See also ==
* [[Exposure]]
* [[Risk appetite]]
* [[Risk control]]
* [[Risk tolerance]]


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.
==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 14:20, 23 October 2012

Risk management. Predetermined actions the entity will take, or have in reserve, to deal with the various situations that might arise.

Risk policy should cover commercial as well as treasury approaches to exposure management. The policy should identify and reflect the risk appetite and risk tolerances of the organisation, making explicit that a risk management system has been designed to provide reasonable assurance of achieving business objectives. It should assign accountability for managing risks and reporting results on effectiveness of the system to executive management.

See also


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