Release: ICE Swap Rates
The data series is lagged by one week due to an agreement with the source.
ICE Swap Rate, formerly known as ISDAFIX, is recognised 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.
Copyright, 2019, ICE Benchmark Administration.
ICE Benchmark Administration Limited (IBA), ICE Swap Rates, 12:00 P.M. (London Time), Based on Euros, 9 Year Tenor [ICERATES1200EUR9Y], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/ICERATES1200EUR9Y, August 4, 2020.