ICE

ICE Swap Rate is calculated and published in three currencies – EUR, GBP and USD – with tenors ranging from 1 year to 30 years. The calculation and publication happens in six "runs", covering four times of the day. The runs and times are:

RunBase Time ZoneData CollectionPublicationPublication (GMT equivalent)
EUR Rates 1100Frankfurt10:58-11:0011:1510:15
EUR Rates 1200Frankfurt11:58-12:0012:1511:15
GBP Rates 1100London10:58-11:0011:1511:15
USD Rates 1100New York10:58-11:0011:1516:15
USD Spreads 1100New York10:58-11:0011:1516:15
USD Rates 1500New York14:58-15:0015:1520:15

The tenors for each run are:

TenorEUR Rates 1100EUR Rates 1200GBP Rates 1100USD Rates 1100USD Spreads 1100USD Rates 1500
1 Year

 

2 Years

 
3 Years

 
4 Years

 
5 Years

 
6 Years

  
7 Years

 
8 Years

  
9 Years

  
10 Years

 
12 Years

   
15 Years

  
20 Years

  
25 Years

   
30 Years

The day counts and interest rate basis (the floating leg) are:

1Y tenor

Tenor over 1Y

Run

Day-count

Interest rate basis (m=month)

Day-count

Interest rate basis (m=month)

EUR Rates 1100

30/360

3m EURIBOR

30/360

6m EURIBOR

EUR Rates 1200

30/360

3m EURIBOR

30/360

6m EURIBOR

GBP Rates 1100

Actual/365

3m LIBOR

Semi-annual actual / 365

6m LIBOR

USD Rates 1100

Semi-annual 30/360

3m LIBOR

Semi-annual 30/360

3m LIBOR

USD Spreads 1100

30/360 semi-annual bond

USD Rates 1500

Semi-annual 30/360

3m LIBOR

Semi-annual 30/360

3m LIBOR