What is ISDAFIX?

ISDAFIX is a leading benchmark for fixed rates on interest rate swaps 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 mid-day and, 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 the 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. The rates are collected by Thomson Reuters and ICAP, tabulated, and then posted on the applicable Thomson Reuters and Bloomberg screen at various times throughout the day.

Where can one find ISDAFIX?ISDAFIX rates are displayed on Thomson Reuters and Bloomberg. The Thomson Reuters 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

How does ISDAFIX work?Rate Definition. The rate provided by the dealer should be 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. The rates are determined by an ICAP or Thomson Reuters representative polling data received from the panel bank members with a sample of dealers rates each day at the specified local time. The polls take place by electronic interface with secondary alternatives being emailing or a direct line to the polling representative. The rates appear on the screens as soon as possible after polling.

The rate is taken at the end of the polling window relevant to each currency.  During the window, panel members may update or amend a rate they have contributed by contacting ICAP for USD or Thomson Reuters directly for other currencies.  Following this window contributed rates can not be amended or withdrawn and are considered final.

Rate Computation. For the majority of currently published rates, the determination will eliminate the four highest and the four lowest of all the

rates that have been submitted, and calculate the simple average of the remaining rates. The result will normally be an average of eight quotes, assuming every dealer reports. A rate will be posted as long as the minimum number of rates are received from the institutions, as set by the relevant fixing; six for CHF, 10 for GBP, USD and EUR Libor, and 12 for EUR Euribor and HKD. Quotes may be submitted out to five decimal places and will be averaged to three for the screen.

ISDA expects to receive all maturities from each of the dealers each day. Thomson Reuters provides secondary screens daily with the rates reported by each dealer (ISDA10 - ISDA61). ISDA will save copies of the secondary screens.

How are panel member firms selected?Contributor panel banks 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 perceived expertise in the currency concerned. Dealers that consistently fail to provide rates or provide rates that appear to be consistently off the market will be replaced at ISDA's discretion.