Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
A key benchmark used to price swaptions and some rate-linked structured products will move to a new methodology on May 29, after failing to print on more than a third of occasions this year.
The Ice swap rate, a daily measure of term-Ibor referencing swap rates from one to 30 years, vanished for several days in March as dealers pulled firm swap quotes from electronic order books – currently the only permissible inputs.
From Friday, Ice Benchmark Administration (IBA) will start using a
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