The "ICE Swap Rate" dataset (f.k.a. "ISDAFIX") is produced by ICE Benchmark Administration (IBA). The ICE Swap Rate is based on tradable quotes sourced from regulated electronic trading venues and entails no human judgment (unlike the classic LIBOR, which is based on human submissions from a panel of banks). Figures are percent per annum (% p.a.) not seasonally adjusted (NSA). The series start at August 1 or August 4, 2014; the CHF-denominated rates end at December 19, 2014. The swaps subset has these properties:
- Currencies: British pounds (GBP), euros (EUR), Swiss francs (CHF) (defunct), U.S. dollars (USD)
- Tenors: 1 to 30 years
- Quotation times: 11:00 (GBP, EUR, USD), 12:00 (EUR), 15:00 (USD)
The dataset also includes a smaller subset of spreads for interest rate swaps, with these properties: USD-denominated, tenors of 2 to 10 years, 11:00 quotation.
The series reside in the historical catalog (Cross-Country Datasets » Financial » Interest Rates » Interest rate swaps | Spreads for interest rate swaps) and include, for example:
- IR%SWEUR01Y11UD.IWRLD = Swaps - EUR - 1 year - 1100 quotation
- IR%SWGBP01Y11UD.IWRLD = Swaps - GBP - 1 year - 1200 quotation
- IR%SPUSD02Y11UD.IWRLD = Spreads - USD - 2 years - 1100 quotation
- IR%SWCHF01Y11UD.IWRLD = [DISCONTINUED] Swaps - CHF - 1 year - 1100 quotation
Because catalog locations are subject to change, the upper-right search box on DataBuffet.com provides a "find in catalog" mode that accepts a mnemonic.
Related datasets
The "Swaps - USD - 1100 quotation" subset of the ICE Swap Rate serves to replace the section of the FRB H.15 "Selected Interest Rates" release terminated in October 2016 (see related article). The counterparts are (old » new):
- IRSWP1YD.IUSA » IR%SWUSD01Y11UD.IWRLD
- IRSWP2YD.IUSA » IR%SWUSD02Y11UD.IWRLD
- IRSWP3YD.IUSA » IR%SWUSD03Y11UD.IWRLD
- IRSWP4YD.IUSA » IR%SWUSD04Y11UD.IWRLD
- IRSWP5YD.IUSA » IR%SWUSD05Y11UD.IWRLD
- IRSWP7YD.IUSA » IR%SWUSD07Y11UD.IWRLD
- IRSWP10YD.IUSA » IR%SWUSD10Y11UD.IWRLD
- IRSWP30YD.IUSA » IR%SWUSD30Y11UD.IWRLD
References
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