ISDAfix

International Swaps and Derivatives Association
Trade association
Founded 1985 (1985)
Headquarters New York City
Website www.isda.org

ISDAFIX refers to a worldwide common reference rate value for fixed interest rate swap rates. ISDAFIX was restructured and renamed "ICE Swap Rate" in April 2015.[1]

ISDAFIX was developed in 1998 as a cooperative effort of ISDA with Reuters (now Thomson Reuters) and InterCapital Brokers (now ICAP).[2] It was based on voluntary quotations by certain banks that indicated the rate at which they would buy or sell a reference swap with a nominal value of 50 million dollars [3] ISDAFIX fixes as of February 2014 was determined for four currencies (Euros, British pounds, Swiss francs, U.S. dollars), each in different maturities; the rates for the Hong Kong dollar and the Japanese yen were suspended in April 2013 and January 2014 respectively, because the withdrawal of individual banks reduced the number of available quotations.[4] Thomson Reuters collected all quotation messages and performed the final calculation of the reference sets for all currencies.

ISDAFIX sets for various currencies were collected daily by the International Swaps and Derivatives Association (ISDA) and Thomson Reuters from survey data. The main purpose of the collection of ISDAFIX fixes was to determine the exercise price to facilitate swaptions with cash settlement.[2] ISDAFIX sets are also often referred to for close-out payments on early termination of interest rate swaps. Swap dealers also use ISDAFIX to determine the market value of swap products.

As part of the Libor scandals from 2012 the ISDAFIX fixes came in for criticism. The American Commodity Futures Trading Commission and the UK Financial Conduct Authority investigate both manipulation allegations [5] ICAP, which in the wake of the Libor scandal paid penalties in the amount of 87 million dollars to British and American authorities, during the ongoing investigations in early 2014 lost its role in the data collection for and calculation of the ISDAFIX rates for the U.S. dollar.[6][7] ISDA also announced changes to ISDAFIX. The US dollar sets and others are to be switched to a market-based, automated calculation process in the future; further the portfolio of offered reference rates should be further reduced when the associated swap market is insufficiently liquid.[8]

External links

References

  1. ↑ "ICE Benchmark Administration Completes Transition to New ISDAFIX Calculation Methodology; Benchmark Renamed ICE Swap Rate". Business Wire. 1 April 2015.
  2. 1 2 "ISDAFIX". ISDA - International Swaps and Derivatives Association, Inc. 11 March 2014.
  3. ↑ Saigol, Lina (9 April 2003). "How the ISDAFIX benchmark is calculated". Financial Times. Retrieved 11 March 2014.
  4. ↑ ISDA.: "ISDAFIX - Rate Suspensions - Guidance Note". January 27, 2014, accessed on 11 March 2014
  5. ↑ Bloomberg Online.: U.K. Probing Alleged ISDAFIX manipulation, Regulator Says. September 11, 2013, accessed on 11 March 2014th
  6. ↑ Reuters:. 'Broker ICAP sees role in benchmark setting.' February 5, 2014
  7. ↑ ""ISDA lässt Reuters rechnen" (ISDA to let Reuters make calculations)". Börsen-Zeitung. 28 January 2014. p. 2.
  8. ↑ Hazel Sheffield. 'ISDA Starts Transition To Automated Benchmarks.' Derivatives Week. January 31, 2014.
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