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 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.

1
ISDA BENCHMARK RATES
ISDAFIX5
2
RATES COLLECTED BY REUTERS
3    
4 HKD    11:00 AM HKD    04:00 PM
5 1Y       x.xxx    REF BANKS x.xxx     REF BANKS
6 2Y       x.xxx    <ISDA54> x.xxx     <ISDA58>
7 3Y       x.xxx    <ISDA55> x.xxx     <ISDA59>
8 4Y       x.xxx    <ISDA56> x.xxx     <ISDA60>
9 5Y       x.xxx    <ISDA57> x.xxx     <ISDA61>
0 7Y       x.xxx x.xxx
1 10Y     x.xxx x.xxx
2
   
3    
4 <HKDSFIXA=>* <HKDSFIXP=>*
5 DD-MM-YYYY DD-MM-YYYY
6 11:00 AM 04:00 PM
7 HONG KONG HONG KONG
8
   
9    
0 FOR FURTHER INFORMATION SEE <ISDAINFO> FOR SPEED GUIDE PSE SEE <ISDAMENU>


Where can one find ISDAFIX?
ISDAFIX rates are displayed on Thomson Reuters and Bloomberg. The Thomson Reuters pages are ISDAFIX 1 through ISDAFIX 5. In order to increase the transparency of ISDAFIX, Thomson Reuters also displays the rates contributed by individual panel members. These contributed rates are displayed at Thomson 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, 12, 15, 20, 25, 30 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, 35, 40 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 NY time 11:30am 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 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.


How are panel member firms selected?
Contributor panel banks are selected by ISDA, ICAP and Thomson 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.

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:
Office
Contact
E-mail
Telephone
New York Julia Pachos jpachos@isda.org 1 (212) 901-6027
London Anna Box
abox@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

* ISDAFIX is a registered service mark of the International Swaps and Derivatives Association, Inc.