ISDAFIX is the leading benchmark for annual swap rates for swap transactions 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 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), 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. Contributed rates are collected by Thomson Reuters or ICAP, 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:
Where is ISDAFIX published?
Examples of ISDAFIX users
What currencies does ISDAFIX cover?
How are contributor member firms selected?
How does ISDAFIX fix?
Contingency Plans
Contingency Plans for HKD ISDAFIX rates
Historical data
Contacts
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 ISDAFIX2 Page for EUR LIBOR and EUR EURIBOR.
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 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 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, both the Chicago Mercantile Exchange and the Chicago Board of Trade use ISDAFIX as the settlement price in their swap futures contracts. In the United States, the Federal Reserve uses ISDAFIX as the source for USD swap rates in its H.15 Statistical Release.
What currencies and rates does ISDAFIX cover?
Click on relevant currency for contributor panels.
How are contributor member firms selected?
Contributor member firms 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 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 contributor is asked to provide a rate which is 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 and Computation.
The USD contributions are collected by ICAP and the rate is calculated by Thomson Reuters, all other contributions are collected and the rate calculated by Thomson Reuters.
Contributions collected and calculated by Thomson Reuters (CHF, EUR Euribor, EUR LIBOR, GBP, HKD, JPY):
Contributors contribute 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. In the event of technical difficulties, the Contributor can provide their rate to Thomson Reuters via email or phone. 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 calculate 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 their contributed rates will be included in the ISDAFIX rates for that currency that day.
During the polling window, panel members may update or amend a rate that they have contributed. Following the window, contributed rates can not be amended or withdrawn and are considered final.
Contributions collected by ICAP and the rate calculated by Thomson Reuters (USD, USD Spread):
ICAP collects spread information from contributors via a secure website that contributors log into every morning. Contributors are asked to indicate the USD swap spread as of 11:00 am, in accordance with the criteria set by ISDA as detailed above. At 10:58 am, ICAP will send an email reminder to each contributor reminding them to contribute. At 11:02 am, ICAP will indicate on the secure website a USD swap spread and USD swap rate to serve as a reference point for contributors. This reference point is generated from two sources of information:
(1) Information contained on Reuters page 19901 at 11:00 am, which reflects the most recent swap spreads from completed trades and executable bids and offers in market size done/posted at ICAP.
(2) Information reflecting executed trades and executable bids and offers at 11 a.m. for US Treasury securities from ICAP’s BrokerTec US Treasury electronic trading platform.
By their nature, because both sources of information reflect completed transactions and/or at-risk trading interest, ICAP considers them to be a useful and meaningful reference point for where the market may be at that point in time.
From 11:00 am to 11:15 am, contributors are able to submit their swap spread information and rate to the secure website. In terms of process, contributors may accept the reference swap spread and/or rate indicated on the website, or submit different values. During this time the ICAP swaps desk monitors dealer participation to ensure that the 10-bank minimum is met. As contributors submit spread and rate information, the values are sent to Thomson Reuters on a streaming basis.
At 11:26 am, Thomson Reuters will calculate the USD ISDA FIX rate by eliminating a given number 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 the 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.)
Contingency Plans (for all ISDAFIX rates except HDK)
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 and/or ICAP, 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 1 hour to allow ISDA, ICAP and/or 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).
Contingency Plans for HKD ISDAFIX rates
The following contingency plan will be invoked In the event of the raising by the Hong Kong Observatory of Black Rainstorm or Typhoon Signal No. 8 (“the Signal”) If the Signal is raised at any time
• Between 0001 and 0859 there will be no 1100 fixing.
• Between 0900 and 1159 the 1100 fixing will be calculated at 1430 unless the Signal remains raised at 1430, in which case there will be no fixings on that day.
• From 1200 onwards there will be no 1600 fixing.
All times are Hong Kong time and relate to Hong Kong Business Days
Historical Data
ISDAFIX rates continue to be displayed on Thomson Reuters <ISDAFIX> Screen. In due course, other distributors will also offer historical ISDAFIX data.
Licences for ISDAFIX historical data and on going fixings are available from ICAP, the agent for ISDAFIX licensing and distribution. For queries, please contact ICAP Information Services:
E-mail: icapinformationservices@icap.com Americas: +1 212 341 9789 Asia Pacific: +612 9777 0878 Europe, Middle East, Africa: +44 (0)20 7000 5880
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:
ISDA®
