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ISDAfix

ISDAFIX refers to a worldwide common reference rate value for fixed interest rate swap rates. ISDAFIX sets exist for various currencies and are collected daily by the International Swaps and Derivatives Association (ISDA) and Thomson Reuters from survey data.

ISDAFIX was developed in 1998 as a cooperative effort of ISDA with Reuters (now Thomson Reuters) and InterCapital Brokers (now ICAP). It is based on voluntary quotations by certain banks that indicate the rate at which they would buy or sell a reference swap with a nominal value of 50 million dollars ISDAFIX fixes are currently (as of February 2014) 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. Thomson Reuters now collects all quotation messages and performs the final calculation of the reference sets for all currencies.

The main purpose of the collection of ISDAFIX fixes was to determine the exercise price to facilitate swaptions with cash settlement. 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 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. 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.