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ICE BofA Yield Curve

Published in Pricing & Analytics

ICE Bofa Yield Curves are a new swap index series designed to track the performance of interest rate swaps in several currencies. The new indexes cover key maturity points (2-, 5-, 10-, 15-, 20-, 25-, 30-, 35-, 40- and 50-years) for the U.S. dollar, Euro and Sterling par coupon and zero coupon swap curves. Additional currencies and maturity points will be added over the coming months.

The swap indexes assume that a synthetic swap instrument is purchased at a given point on the par or zero coupon swap curve. That instrument is held for one month at which point it is sold and a new instrument is purchased at the original maturity point. Hence, the total rate of return of the index reflects: coupon income (for par coupon swap indexes), accretion or amortization (for zero coupon swap indexes) as the instrument rolls one month down or up the swap curve, and price appreciation or depreciation (for both par and zero coupon swap indexes) as the swap curve is revalued each day.

The swap indexes are compiled daily and include USD Swaps, EUR Swaps, and GBP Swaps.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 225 yield curve securities, with data history going back to 2008. Data includes PARCPN-SEMI and SPOT-SEMI curves for:

  • Government Securities include: Australia, Canada-Index Close, Denmark, Euro, Japan, Mexico, Norway, Nzland, Poland, Sweden, Swiss, UK, US.
  • Swap Securities include: Australia, Canada-Index Close, Denmark, Euro, Japan, New Zealand, Sweden, Swiss, UK, US.
  • Some of the portfolio data items available include: Curve Name, Curve Symbol, Curve Type, Date, Description, Symbol, Tenors, Years, and Yield.
  • Some of the historical portfolio items available include: Yield Curve, Tenors – various maturities between 3 Months (0.25 Years) and 600 Months (50 Years).


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