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Data Note: U.S. - Interest rate swaps
Thursday, 30 Mar 2017 14:28 ET
By Phillip Thorne
Summary
January 31, 2017 -- In October 2016, our traditional source for interest rate swaps (the FRB H.15 statistical release) terminated its coverage on short notice. Our negotiations with alternate data providers are ongoing, and we expect to announce replacement time series by the end of 2017Q1; watch this space for updates. [UPDATED March 30, 2017] We now carry the "ICE Swap Rate" dataset as a replacement.
Detail

As of March 30, Data Buffet carries the "ICE Swap Rate" daily dataset from ICE Benchmark Administration (see related article).

The mnemonics of the discontinued H.15 series are as follows, aligned with the corresponding series from the ICE Swap Rate dataset. For the full definition, please see that dataset's introductory article.

DailyWeeklyMonthlyTenorICE Swap Rate
IRSWP1YD.IUSA IRSWP1YW.IUSA IRSWP1YM.IUSA 1-year IR%SWUSD01Y11UD.IWRLD
IRSWP2YD.IUSA IRSWP2YW.IUSA IRSWP2YM.IUSA 2-year IR%SWUSD02Y11UD.IWRLD
IRSWP3YD.IUSA IRSWP3YW.IUSA IRSWP3YM.IUSA 3-year IR%SWUSD03Y11UD.IWRLD
IRSWP4YD.IUSA IRSWP4YW.IUSA IRSWP4YM.IUSA 4-year IR%SWUSD04Y11UD.IWRLD
IRSWP5YD.IUSA IRSWP5YW.IUSA IRSWP5YM.IUSA 5-year IR%SWUSD05Y11UD.IWRLD
IRSWP7YD.IUSA IRSWP7YW.IUSA IRSWP7YM.IUSA 7-year IR%SWUSD07Y11UD.IWRLD
IRSWP10YD.IUSA IRSWP10YW.IUSA IRSWP10YM.IUSA 10-year IR%SWUSD10Y11UD.IWRLD
IRSWP30YD.IUSA IRSWP30YW.IUSA IRSWP30YM.IUSA 30-year IR%SWUSD30Y11UD.IWRLD

Further reading

Updates

  • Jan. 31 - Initial version.
  • Feb. 14 - No change.
  • Mar. 17 - No change.
  • Mar. 30 - ICE Swap Rate dataset added.
Other
Related ReleaseH.15 Selected Interest Rates [D, W, M]
SourceU.S. Board of Governors of the Federal Reserve System (FRB)
FrequencyBusiness Daily
GeographyUnited States
Catalog
Upcoming
Release DateReference date
31 May 201726 May 2017
31 May 201729 May 2017
01 Jun 201730 May 2017
02 Jun 201731 May 2017
03 Jun 201701 Jun 2017
06 Jun 201702 Jun 2017
07 Jun 201705 Jun 2017
08 Jun 201706 Jun 2017
09 Jun 201707 Jun 2017
10 Jun 201708 Jun 2017
13 Jun 201709 Jun 2017
14 Jun 201712 Jun 2017
15 Jun 201713 Jun 2017
16 Jun 201714 Jun 2017
17 Jun 201715 Jun 2017
20 Jun 201716 Jun 2017
21 Jun 201719 Jun 2017
22 Jun 201720 Jun 2017
23 Jun 201721 Jun 2017
24 Jun 201722 Jun 2017
27 Jun 201723 Jun 2017
28 Jun 201726 Jun 2017
29 Jun 201727 Jun 2017
30 Jun 201728 Jun 2017
01 Jul 201729 Jun 2017
04 Jul 201730 Jun 2017
05 Jul 201703 Jul 2017
06 Jul 201704 Jul 2017
07 Jul 201705 Jul 2017
08 Jul 201706 Jul 2017
11 Jul 201707 Jul 2017
12 Jul 201710 Jul 2017
13 Jul 201711 Jul 2017
14 Jul 201712 Jul 2017
15 Jul 201713 Jul 2017
18 Jul 201714 Jul 2017
19 Jul 201717 Jul 2017
20 Jul 201718 Jul 2017
21 Jul 201719 Jul 2017
22 Jul 201720 Jul 2017
25 Jul 201721 Jul 2017
26 Jul 201724 Jul 2017
27 Jul 201725 Jul 2017
28 Jul 201726 Jul 2017
29 Jul 201727 Jul 2017
01 Aug 201728 Jul 2017
02 Aug 201731 Jul 2017
03 Aug 201701 Aug 2017
04 Aug 201702 Aug 2017
05 Aug 201703 Aug 2017
08 Aug 201704 Aug 2017
09 Aug 201707 Aug 2017
10 Aug 201708 Aug 2017
11 Aug 201709 Aug 2017
12 Aug 201710 Aug 2017
15 Aug 201711 Aug 2017
16 Aug 201714 Aug 2017
Related ReleaseICE Swap Rate
SourceICE Benchmark Administration Limited (IBA)
FrequencyBusiness Daily
GeographyWorld
Upcoming
Release DateReference date
30 May 201730 May 2017
31 May 201731 May 2017
01 Jun 201701 Jun 2017
02 Jun 201702 Jun 2017
05 Jun 201705 Jun 2017
06 Jun 201706 Jun 2017
07 Jun 201707 Jun 2017
08 Jun 201708 Jun 2017
09 Jun 201709 Jun 2017
12 Jun 201712 Jun 2017
13 Jun 201713 Jun 2017
14 Jun 201714 Jun 2017
15 Jun 201715 Jun 2017
16 Jun 201716 Jun 2017
19 Jun 201719 Jun 2017
20 Jun 201720 Jun 2017
21 Jun 201721 Jun 2017
22 Jun 201722 Jun 2017
23 Jun 201723 Jun 2017
26 Jun 201726 Jun 2017
27 Jun 201727 Jun 2017
28 Jun 201728 Jun 2017
29 Jun 201729 Jun 2017
30 Jun 201730 Jun 2017
03 Jul 201703 Jul 2017
04 Jul 201704 Jul 2017
05 Jul 201705 Jul 2017
06 Jul 201706 Jul 2017
07 Jul 201707 Jul 2017
10 Jul 201710 Jul 2017
11 Jul 201711 Jul 2017
12 Jul 201712 Jul 2017
13 Jul 201713 Jul 2017
14 Jul 201714 Jul 2017
17 Jul 201717 Jul 2017
18 Jul 201718 Jul 2017
19 Jul 201719 Jul 2017
20 Jul 201720 Jul 2017
21 Jul 201721 Jul 2017
24 Jul 201724 Jul 2017
25 Jul 201725 Jul 2017
26 Jul 201726 Jul 2017
27 Jul 201727 Jul 2017
28 Jul 201728 Jul 2017
31 Jul 201731 Jul 2017
01 Aug 201701 Aug 2017
02 Aug 201702 Aug 2017
03 Aug 201703 Aug 2017
04 Aug 201704 Aug 2017
07 Aug 201707 Aug 2017
08 Aug 201708 Aug 2017
09 Aug 201709 Aug 2017
10 Aug 201710 Aug 2017
11 Aug 201711 Aug 2017
14 Aug 201714 Aug 2017
15 Aug 201715 Aug 2017
16 Aug 201716 Aug 2017
17 Aug 201717 Aug 2017
18 Aug 201718 Aug 2017
21 Aug 201721 Aug 2017
22 Aug 201722 Aug 2017
23 Aug 201723 Aug 2017
24 Aug 201724 Aug 2017
25 Aug 201725 Aug 2017
28 Aug 201728 Aug 2017
29 Aug 201729 Aug 2017
30 Aug 201730 Aug 2017
31 Aug 201731 Aug 2017
01 Sep 201701 Sep 2017
04 Sep 201704 Sep 2017