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IDD Yield Curves

Published in Pricing & Analytics

ICE Swap Rate, formerly known as ISDAFIX, is recognized 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 close-out payments on early terminations of interest rate swaps, for some floating rate bonds and for valuing portfolios of interest rate swaps.

The ICE Swap Rate® (formerly known as ISDAFIX) is recognized as the principal global benchmark for swap rates and spreads 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 and for valuing portfolios of interest rate swaps.

The 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 and at particular specified times of the day. ICE Swap Rate is calculated and published in six benchmark ‘runs’ covering three currencies – EUR, GBP and USD, with tenors ranging from 1 year to 30 years.

Exchange-traded and over-the-counter (OTC) derivatives can profit from expected changes in the yield curve. Different derivative instruments are compared and contrasted in terms of their interest rate exposure and counterparty credit risk and their relative value is assessed as tools for expressing views about the future level and volatility of interest rates.

A swap spread is the difference between the fixed component of a given swap and the yield on a sovereign debt security with a similar maturity. In the U.S, the latter would be a U.S. Treasury security. Swaps themselves are derivative contracts to exchange fixed interest payments for floating rate payments. Because a Treasury bond (T-bond) is often used as a benchmark and its rate is considered to be default risk-free, the swap spread on a given contract is determined by the perceived risk of the parties engaging in the swap. As perceived risk increases, so does the swap spread. In this way, swap spreads can be used to assess the creditworthiness of participating parties.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 194 money markets, including Basis Swaps Spreads and Yield Curves in 1M, 1Y, 3M, and 6M maturities.

Security currencies include:

  • AED, BRL, CHF, CNY, COP, CZK, DKK, EUR, GBP, HUF, IDR, ILS, INR, KRW, MXN, MYR, NZD, PEN, PHP, PKR, PLN, RON, SAR, SEK, SGD, THB, TRY, TWD, USD, VND, ZAR

Item coverage includes:

  • Ask Price, Ask Price Discount Factor, Ask Price Interest Rate, Ask Price Zero Rate Curve, Asset Type, Bid Price, Bid Price Discount Factor, Bid Price Interest Rate, Bid Price Zero Rate Curve, Convexity to Ask, Convexity to Bid, Convexity to Mid, Currency Code, Curve Type Description, Database Symbol, Date of Portfolio, Day Count, Default Index Flag, Description, Frequency of Series, Mid Price, Mid Price Discount Factor, Mid Price Interest Rate, Mid Price Zero Rate Curve, Portfolio Headline Index Symbol, Spread, Tenor, Tenor Maturity Date, etc.

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