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:
Run | Base Time Zone | Data Collection | Publication | Publication (GMT equivalent) |
---|---|---|---|---|
EUR Rates 1100 | Frankfurt | 10:58-11:00 | 11:15 | 10:15 |
EUR Rates 1200 | Frankfurt | 11:58-12:00 | 12:15 | 11:15 |
GBP Rates 1100 | London | 10:58-11:00 | 11:15 | 11:15 |
USD Rates 1100 | New York | 10:58-11:00 | 11:15 | 16:15 |
USD Spreads 1100 | New York | 10:58-11:00 | 11:15 | 16:15 |
USD Rates 1500 | New York | 14:58-15:00 | 15:15 | 20:15 |
The tenors for each run are:
Tenor | EUR Rates 1100 | EUR Rates 1200 | GBP Rates 1100 | USD Rates 1100 | USD Spreads 1100 | USD 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 |