• What is ISDAFIX?
• Where can one find ISDAFIX?
• Who uses ISDAFIX?
• What currencies does ISDAFIX cover?
• How does ISDAFIX work?
• How are panel member firms selected?
• ISDAFIX contacts
• ISDAFIX historical data

What is ISDAFIX?
ISDAFIX is a leading benchmark for fixed rates on interest rate swaps worldwide. This screen service provides average mid-market swap rates for seven major currencies at selected maturities on a daily basis. ISDAFIX rates are based on a mid-day and, in some markets, end-of-day polling of mid-market rates.

ISDA established ISDAFIX in 1998 in co-operation with Reuters and Intercapital Brokers (now ICAP plc.)

At present, ISDAFIX provides rates for the euro (EUR), Hong Kong dollar (HKD), Japanese yen (JPY), British pound (GBP), Swiss franc (CHF) and U.S. dollar (USD). In addition, ISDAFIX provides USD swap spreads. The rates are collected by Reuters and ICAP, tabulated, and then posted on the applicable Reuters and Bloomberg screen at various times throughout the day.

The following is a sample ISDAFIX page.

Where can one find ISDAFIX?
ISDAFIX rates are displayed on Reuters and Bloomberg. The Reuters pages are ISDAFIX 1 through ISDAFIX 5. In order to increase the transparency of ISDAFIX, Reuters also displays the rates contributed by individual panel members. These contributed rates are displayed at Reuters Screens ISDA10 through ISDA61.

In the United States, the Federal Reserve uses ISDAFIX as the source for USD swap rates in its H.15 Statistical Release.

Click here for more information on ISDAFIX historical data.

Who uses ISDAFIX?
ISDA originally developed ISDAFIX to facilitate the determination of exercise values for cash-settled swap options. The existence of such a benchmark provides a transparent, readily available number to which a contract can refer as a settlement rate. Without such a benchmark, it might be necessary to go through the process of calling a number of active dealers for a quote in order to settle a contract.

The 2006 ISDA Definitions refer specifically to ISDAFIX rates as a means of settlement of over-the-counter derivatives transactions. In the sample Swaption Confirmation in the 2006 ISDA Definitions (Exhibit II-E), for example, the parties can include 'ISDA Source' - that is, ISDAFIX - as the reference settlement rate under Settlement Terms.

ISDAFIX is also used as a reference rate for cash settlement in connection with swap terminations. In addition, dealers often use ISDAFIX as an input when marking their swap portfolios to market. Finally, electronic trading systems may provide execution at daily ISDAFIX rates.

Beyond their use in settling over-the-counter transactions, ISDAFIX rates are also used as a rate or curve source in various exchange products. LIFFE, for example, uses ISDAFIX as the source of the swap curve in calculating the settlement price of its Swapnote contract. In addition, both the Chicago Mercantile Exchange and the Chicago Board of Trade use ISDAFIX as the settlement price in their swap futures contracts.

What currencies does ISDAFIX cover?
(Click on relevant currency for contributor panels)

Currency	Maturities (Years)	Times polled	Posted by
CHF	1-10	11am London time	11:30am London time
EUR Euribor	1-10, 12, 15, 20, 25, 30	11am &12noon Central European Time	11:10am &12:10pm Central European time
EUR Libor	1-10, 12, 15, 20, 25, 30	10am & 11am London time	10:10 & 11:10am London time
GBP	1-10	11am London time	11:30am London time
HKD	1-5, 7, 10	11am & 4pm Hong Kong time	11:30am & 4.30pm Hong Kong time
JPY	1–10, 12, 15, 20, 25, 30	10am & 3pm Tokyo time	10:30am & 3:30pm Tokyo time
USD rates	1-10, 15, 20, 30	11am & 3pm NY time	11:30am & 3:30pm NY time
USD spreads	2-5, 7, 10	11am & 3pm NY time	11:30am & 3:30pm NY time

How does ISDAFIX work?
Rate Definition. The rate provided by the dealer should be the mean of where that dealer would itself offer and bid a swap in the relevant maturity for a notional equivalent amount of US $50 million or whatever amount is deemed market size in that currency for that tenor to an acknowledged dealer of good credit in the swap market. The rate should not be where the dealer sees mid-market away from itself, but should be a function of its own bid/offer spread.

Polling. The rates are determined by a ICAP or Reuters representative polling a representative sample of dealers each day for the rates as of a specified local time. The polls take place either by telephone or by electronic interface. The rates appear on the screens as soon as possible after polling.

Rate Computation. For the majority of currently published rates, the determination will eliminate the four highest and the four lowest of all the rates that have been submitted, and calculate the simple average of the remaining rates. The result will normally be an average of eight quotes, assuming every dealer reports. A rate will be posted, however, as long as twelve (six for CHF) institutions in total quote their rates. Quotes may be submitted out to five decimal places and will be averaged to three for the screen.

ISDA expects to receive a rate from each of the dealers each day. Reuters provides secondary screens daily with the rates reported by each dealer (ISDA10 - ISDA61). ISDA will save copies of the secondary screens.

How are panel member firms selected?
Contributor panel banks are selected by ISDA, ICAP and Reuters on the basis of reputation among dealers, credit standing, scale of activity in the relevant market, and perceived expertise in the currency concerned. Dealers that consistently fail to provide rates or provide rates that appear to be consistently off the market will be replaced at ISDA's discretion.

For more information about ISDAFIX, please contact:

Office	Contact	E-mail	Telephone
New York	Julia Pachos	jpachos@isda.org	1 (212) 901-6027
London	Carmen Neumann	cneumann@isda.org	44 (203) 088 3554
Tokyo	Tomoko Morita	tmorita@isda.org	(813) 5733-5504
Asia/Pacific	Bay Way Yee	wybay@isda.org	(65) 6538 3870