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
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
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