IBA mulls RFQ data and Sonia spinoff to bolster swap rate

Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs

Ice-swap-rate
Risk.net montage

A rate underpinning trillions of dollars’ worth of swaptions, structured products and floating rate debt is set to be revamped with indicative price data to safeguard publication in rising market turbulence and secure its survival in a post-Libor world.

The Ice swap rate is a key measure of term Ibor-referencing swap rates and is published daily in tenors from one to 30 years for sterling, euros and US dollars. A recent jump in volatility has seen the rate fail to publish across the entire US

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: