ISDAFIX®

ISDAFIX is the leading benchmark for annual swap rates for swap transactions worldwide. This screen service provides average mid-market swap rates for four major currencies at selected maturities on a daily basis. ISDAFIX rates are based on a midday and, additionally 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 euro (EUR), British pound (GBP), Swiss franc (CHF) and U.S. dollar (USD). In addition, ISDAFIX provides USD swap spreads. Contributed rates are collected by Thomson Reuters, tabulated and then posted alongside the calculated ISDAFIX rate on the applicable Thomson Reuters screen at various times throughout the day.

An introduction to ISDAFIX:

What is the ISDA Benchmark Committee?
Where is ISDAFIX published?
Examples of  ISDAFIX users
What currencies and tenors does ISDAFIX cover?
How are contributor member firms selected?
How does ISDAFIX fix?
Contingency Plan
Historical data
Contacts

What is the ISDA Benchmark Committee?

The ISDA Benchmark Committee was formed to develop strategy and policy recommendations for the ISDA Board regarding interest rate benchmarks with which ISDA is directly involved or which will have an impact on ISDA members, over-the-counter (OTC) derivative markets, or new and legacy OTC derivative transactions.

Initially, the Committee will focus on the renovation of ISDAFIX and the development of alternative interest rate benchmarks for the OTC derivatives markets. With respect to ISDAFIX, the Committee will develop actionable recommendations to strengthen the process, governance and controls for the existing ISDAFIX framework. The Committee will also work to develop alternative, market-based ISDAFIX rate setting mechanisms that could replace or supplement the current bank submission based model. With respect to alternative interest rate benchmarks, the Committee will work to develop new, market-based benchmark rates, such as the overnight indexed swap (OIS) rate, which could provide valuable and robust alternatives to existing reference rates used in OTC derivative transactions. The Committee will also lead ISDA’s efforts to promote such alternatives, remove barriers to user acceptance, and support transition of new and legacy OTC derivative transactions to new benchmarks which are more robust and appropriate.

Where is ISDAFIX published?

ISDAFIX rates are displayed on Thomson Reuters, Bloomberg and Telekurs. The Thomson Reuters Screen 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.

The following is a sample of the ISDAFIX4 Page for GBP ISDAFIX and CHF ISDAFIX.

     GBP CHF ISDAFIX crop

Examples of ISDAFIX users

ISDA 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 value to which parties to a transaction 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 quotes in order to settle transactions. The 2006 ISDA Definitions refer specifically to ISDAFIX rates as a means of settlement of OTC 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 early terminations of swap transactions. In addition, dealers often use ISDAFIX as an input when marking their swap portfolios to market.

Beyond their use in settling over-the-counter-traded 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 futures contract. In addition, CME Group uses ISDAFIX as the settlement price in its swap futures contracts. In the U.S., the Federal Reserve uses ISDAFIX as the source for USD swap rates in its H.15 Statistical Release.

What currencies and tenors does ISDAFIX cover?

Click on relevant currency for contributor panels.

 

CHF EUR Euribor

EUR LIBOR (Suspended as of 13-Jan-14)

GBP

HKD(Suspended as of 29-Apr-13)

JPY (Suspended as of 27-Jan-14)

USD Rates USD Spreads

The ISDAFIX Rate Suspension Guidance Note is available here.

How are contributor member firms selected?

Contributor member firms are selected by ISDA on the basis of reputation among dealers, credit standing, scale of activity in the relevant market, and expertise in the currency concerned. Dealers that consistently fail to provide rates or provide rates that are 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 ISDA.

How does ISDAFIX fix?

Rate Definition. 
The Submitting Bank is asked to provide an on the hour rate (per the specific currency definition) which is the mid-market rate derived, where practicable within the current market environment at this time, from a live (i.e. executable) bid/offer spread published by the submitter in the relevant maturity in relation to trading in a typical contract size on a cleared basis (as both terms are defined below).

  • The rate should not be where the submitter sees mid-market away from itself, but should be a function of its own live bid/offer spread.
  • Where a submission from live pricing is not practicable, an estimate of the mid-market rate derived by the average of the bid and the offer where the submitter would be willing to trade in a typical contract size on a cleared basis at the relevant time, should be provided.
  • For the purposes of this definition:
    • “typical contract size” shall mean an equivalent notional amount as is deemed normal market size in a particular currency for a particular tenor, as referenced in the table.
    • “cleared basis” shall mean where a trade is assumed to be cleared through the global or domestic central counterparty clearing house which has the largest dealer liquidity in related swaps against an acknowledged dealer in the swap market. 

Polling and Computation.
Contributors submit rates to Thomson Reuters in line with the rate definition above by electronic interface.  Contributors are asked to provide rates for the full set of designated maturities of the given ISDAFIX currency within a polling window. (Please see the pdfs attached under “What currencies and rates does ISDAFIX cover?” for the relevant polling windows for each currency). Quotes may be submitted to five decimal places.  The published rate will be to three decimal places. The rates are observed and recorded at the end of the polling window following which Thomson Reuters will calculate the ISDAFIX rates and publish them.

Thomson Reuters will apply data sanity checks before calculating the ISDAFIX rate by eliminating a given number (“topping and tailing”) of the highest and lowest rates submitted, and then by calculating a simple average of the remaining rates.  A rate will be posted as long as a certain number of contributions (“Minimum Number of Contributions”) are received (Please see the pdfs attached under “What currencies and rates does ISDAFIX cover?” for the Minimum Number of Contributions required to fix, and the given number of quotes that are topped and tailed.)

In the event a contributor does not provide a contribution for the full set of maturities within a given currency, none of its contributed rates will be included in the ISDAFIX rates for that currency that day. 

Contingency Plan  

The following contingency plan (the “Contingency Plan”) will be invoked at the sole and conclusive discretion of the relevant ISDA Regional Head in the event that severe adverse local circumstances lead to fewer than the Minimum Number of Contributions being received by Thomson Reuters, as the case may be. If the relevant ISDA Regional Head invokes the Contingency Plan, the following procedure will be followed:

1. Thomson Reuters will immediately post a memo on their Fix Alert page, stating that the Contingency Plan has been invoked clearly stating the rates/currencies that are affected.

2. The polling window will be extended by one hour to allow ISDA and Thomson Reuters as the case may be to seek the Minimum Number of Contributions ( the “MNC”): (Please see the pdfs attached under “What currencies and rates does ISDAFIX cover?” for the Minimum Number of Contributions)

3. If the Minimum Number of Contributions  cannot be achieved within the 1 hour polling window extension, the following Contingency Minimum Number of Contributions ( the “CMNC”) will be set for each affected rate:

Where  n = the total number of Contributors  
m = the CMNC, and is derived as follows: 
m = n / 2  rounded down to the nearest whole number

If the CMNC ≤ 4, there will be no rate elimination process and an average of m will be the published rate.
If the CMNC > 4, to determine the number of rates eliminated through the removal of high or low rates:   

Where  m = the CMNC    
e = the total number of trades to be eliminated, and is derived as follows:    
        e = m / 2 rounded down to the nearest even whole number    
        The e / 2 highest trades and the e / 2 lowest trades will be eliminated  

4. If a contribution level greater than the CMNC, but less than the MNC is achieved, rates will be eliminated through the removal of high or low rates:

Where  r = the number of rates received  
l = the total number of trades to be eliminated, and is derived as follows:
         l = r / 2 rounded down to the nearest even whole number
         The l / 2 highest trades and the l / 2 lowest trades will be eliminated

5. If the CMNC cannot be achieved, the rate will not fix and relevant fall back should be used as stated in the ISDA 2006 Definitions.

Notes: The Contingency Plan will be invoked for one day only and will apply to all maturities of the specified rates/currencies unless explicitly stated in the posted memo (step 1. above). 

Historical Data

ISDAFIX rates continue to be displayed on Thomson Reuters <ISDAFIX> Screen.

Source: International Swaps and Derivatives Association, Inc.

ISDAFIX is a registered service mark of ISDA® used under authorization from ISDA

 

Contacts

For more information about ISDAFIX or to become a panel bank, please contact:

New York: Breda Walsh bwalsh@isda.org +1 (212) 901-6018
London Catherine Farrer  cfarrer@isda.org +44 (203) 088 3546
Tokyo Tomoko Morita tmorita@isda.org +(813) 5200-3301
Asia/Pacific Jeffrey Kan jkan@isda.org +(852) 2200 5900

DateTitle / DescriptionDocuments
January 27, 2014
ISDAFIX – Rate Suspensions – Guidance Note
Guidance to assist market participants who have outstanding trades that reference any ISDAFIX rate that is currently suspended. Please note that these materials have been prepared and published for informational purposes only and should not be construed as legal, accounting, or other professional advise.
ISDAFIX Suspension Guidance FINAL 27 01 14.pdf