What is ISDAfix?
Now known as the ICE Swap Rate, it’s a common global reference rate value for fixed interest rate swap rates. Developed in 1998, ISDAfix was established on voluntary quotations given by specific banks that determined the fixed rates they would receive or pay to pass into a reference swap.
Where have you heard about ISDAfix?
In 2014, ISDAfix fixes were worked out for four currencies – Euros, British pounds, Swiss francs and US dollars – each in various maturities. Daily quotations messages were collected by Thomas Reuters from each reference bank and then final calculations of the references were done for the individual currencies.
What you need to know about ISDAfix.
In addition to working out exercise prices for the cash agreements for swaptions, ISDAfix sets were also occasionally used to determine close out payments if interest rate swaps were terminated early. In 2012, as part of the Libor Scandal, ISDAfix came under heavy scrutiny by the Commodities Futures Trading Commission and the Financial Conduct Authority under allegations of manipulations. After the scandal, certain sets were switched to a market based, automated calculation method and it was agreed that when the associated swap market were insufficiently liquid, reductions to the portfolio of offered reference rates would occur.
Find out more about ISDAfix.
To find out about the origins of ISDAfix, read about the International Swaps and Derivatives Association.