Swap rates

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Snapshots with tighter spreads between the VWB and VWO are indicative of a better quality market so are given a higher weighting. ICE Swap Rate is calculated by working out the mid-price you would get if you were to fill a trade of Standard Market Size SMS using the best prices available on regulated electronic trading venues at the relevant times and in the relevant currencies and tenors. If you operate a suitable trading venue, or would like to suggest one for consideration, please email iba theice.


Current interest rate par swap rate data Current Interest Rate Swap Rates - USD. Libor Rates are available Here.

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