Ice swap rate adds safety net with Tradeweb quotes

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]