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ISDAFIX is a leading benchmark for fixed rates on interest rate swaps worldwide. This screen service provides average mid-market swap rates for six 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 (now Thomson 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 Thomson Reuters and ICAP, tabulated, and then posted on the applicable Thomson Reuters and Bloomberg screen at various times throughout the day. The following is a sample ISDAFIX page.
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? 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.
Polling. The rates are determined by an ICAP or Thomson Reuters representative polling data received from the panel bank members with a sample of dealers rates each day at the specified local time. The polls take place by electronic interface with secondary alternatives being emailing or a direct line to the polling representative. The rates appear on the screens as soon as possible after polling. The rate is taken at the end of the polling window relevant to each currency. During the window, panel members may update or amend a rate they have contributed by contacting ICAP for USD or Thomson Reuters directly for other currencies. Following this window contributed rates can not be amended or withdrawn and are considered final. 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 the minimum number of rates are received from the institutions, as set by the relevant fixing; six for CHF, 10 for GBP and USD, and 12 for EUR and HKD. Quotes may be submitted out to five decimal places and will be averaged to three for the screen. ISDA expects to receive all maturities from each of the dealers each day. Thomson Reuters provides secondary screens daily with the rates reported by each dealer (ISDA10 - ISDA61). ISDA will save copies of the secondary screens.
If your firm would like to become a Contributor towards an ISDAFIX rate then please contact the relevant ISDA representative below. For
more information about ISDAFIX, please contact:
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* ISDAFIX is a registered service mark of the International Swaps and Derivatives Association, Inc.