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. ISDAFIX was developed in 1998 as a cooperative effort of the International Swaps and Derivatives Association (ISDA) with Reuters (now

Thomson Reuters Thomson Reuters Corporation ( ) is a Canadian multinational media conglomerate. The company was founded in Toronto, Ontario, Canada, where it is headquartered at the Bay Adelaide Centre. Thomson Reuters was created by the Thomson Corpora ...

) and InterCapital Brokers (now ICAP). It was based on voluntary quotations provided by certain banks that indicated the fixed rate they would pay or receive to enter into a reference swap with a nominal value of 50 million dollars. ISDAFIX fixes as of February 2014 were determined for four currencies (

Euros The euro (symbol: €; code: EUR) is the official currency of 19 out of the member states of the European Union (EU). This group of states is known as the eurozone or, officially, the euro area, and includes about 340 million citizens . T ...

British pounds Sterling (abbreviation: stg; Other spelling styles, such as STG and Stg, are also seen. ISO code: GBP) is the currency of the United Kingdom and nine of its associated territories. The pound ( sign: £) is the main unit of sterling, and t ...

, Swiss francs, and

U.S. dollars The United States dollar (symbol: $; code: USD; also abbreviated US$ or U.S. Dollar, to distinguish it from other dollar-denominated currencies; referred to as the dollar, U.S. dollar, American dollar, or colloquially buck) is the official ...

), each in different maturities; the rates for the

Hong Kong dollar The Hong Kong dollar (, currency symbol, sign: HK$; ISO 4217, code: HKD) is the official currency of the Hong Kong, Hong Kong Special Administrative Region. It is subdivided into 100 cent (currency), cents or 1000 Mill (currency), mils. The H ...

and the

Japanese yen The is the official currency of Japan. It is the third-most traded currency in the foreign exchange market, after the United States dollar (US$) and the euro. It is also widely used as a third reserve currency after the US dollar and the ...

were suspended in April 2013 and January 2014, respectively, because the withdrawal of individual banks reduced the number of available quotations. Thomson Reuters collected quotation messages daily from the reference banks and performed the final calculation of the reference sets for each currency. The main purpose of the collection of ISDAFIX fixes was to determine an

exercise price In finance, the strike price (or exercise price) of an option is a fixed price at which the owner of the option can buy (in the case of a call), or sell (in the case of a put), the underlying security or commodity. The strike price may be set b ...

for the cash settlement of

swaption A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps. Types of ...

s (that is, options to enter into fixed rate swaps). ISDAFIX sets were also often used to determine close-out payments if interest rate swaps were terminated early. Swap dealers also used ISDAFIX to determine the

market value Market value or OMV (Open Market Valuation) is the price at which an asset would trade in a competitive auction setting. Market value is often used interchangeably with ''open market value'', ''fair value'' or ''fair market value'', although the ...

of swap products.

Restructuring

As part of the Libor scandals from 2012 the ISDAFIX fixes came in for criticism. The American

Commodity Futures Trading Commission The Commodity Futures Trading Commission (CFTC) is an independent agency of the US government created in 1974 that regulates the U.S. derivatives markets, which includes futures, swaps, and certain kinds of options. The Commodity Exchange Ac ...

and the UK

Financial Conduct Authority The Financial Conduct Authority (FCA) is a financial regulation, financial regulatory body in the United Kingdom, but operates independently of the UK Government, and is financed by charging fees to members of the financial services industry. The ...

investigated manipulation allegations. ICAP, which in the wake of the Libor scandal paid penalties in the amount of $87 million to British and American authorities, during the ongoing investigations in early 2014 lost its role in the

data collection Data collection or data gathering is the process of gathering and measuring information on targeted variables in an established system, which then enables one to answer relevant questions and evaluate outcomes. Data collection is a research com ...

for and calculation of the ISDAFIX rates for the U.S. dollar. ISDA also announced changes to ISDAFIX. The US dollar sets and others were switched to a market-based, automated calculation process; it was also agreed to further reduce the portfolio of offered reference rates when the associated swap market is insufficiently liquid.Sheffield, Hazel (January 31, 2014). 'ISDA Starts Transition To Automated Benchmarks.' Derivatives Week.

References

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External links

Overview on the website of ISDA
Financial markets Interest rates Settlement (finance)