Evolution or extinction: Ice swap rate’s post-Libor quandary

Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market

As Libor’s future hangs in the balance, so too does the fate of a lesser-known but widely used benchmark underpinning a gamut of financial instruments, including swaptions, rate-linked structured products and some floating rate debt.

The Ice swap rate – formerly IsdaFix – is a key measure of term swap rates. It represents the mid-price for the fixed leg of Ibor-referencing interest rate swaps and is published for maturities from 12 months to 30 years across sterling, euros and US dollars.

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