Ice swap rate adds RFQ data; adopts Sonia

Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch

Calculating-the-Ice-swap-rate

Users of a key rate for swaptions and exotic rate-linked products have overwhelmingly backed twin proposals aimed at both safeguarding its publication in times of stress, and weaning non-linear rates markets off tainted Libor benchmarks.

Following an initial consultation on its planned overhaul for the Ice swap rate, Ice Benchmark Administration will propose a detailed methodology to include non-binding swap quotes as a back-up for when firm prices are unavailable for the rate’s calculation.

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