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 |
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| 2 Years |
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| 3 Years |
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| 4 Years |
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| 5 Years |
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| 6 Years |
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| 7 Years |
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| 8 Years |
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| 9 Years |
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| 10 Years |
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| 12 Years |
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| 15 Years |
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| 20 Years |
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| 25 Years |
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| 30 Years |
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The day counts and interest rate basis (the floating leg) are:
1Y tenor |
Tenor over 1Y |
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Run |
Day-count |
Interest rate basis (m=month) |
Day-count |
Interest rate basis (m=month) |
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EUR Rates 1100 |
30/360 |
3m EURIBOR |
30/360 |
6m EURIBOR |
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EUR Rates 1200 |
30/360 |
3m EURIBOR |
30/360 |
6m EURIBOR |
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GBP Rates 1100 |
Actual/365 |
3m LIBOR |
Semi-annual actual / 365 |
6m LIBOR |
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USD Rates 1100 |
Semi-annual 30/360 |
3m LIBOR |
Semi-annual 30/360 |
3m LIBOR |
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USD Spreads 1100 |
30/360 semi-annual bond |
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USD Rates 1500 |
Semi-annual 30/360 |
3m LIBOR |
Semi-annual 30/360 |
3m LIBOR |
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