ISDAfix

{{Infobox company

|name = International Swaps and Derivatives Association

|logo = ISDA Mark & Tag Final.jpg

|logo_size = 150px

|type = Trade association

|caption =

|foundation = {{start date|1985}}

|location = New York City

|key_people =

|industry =

|num_employees =

|assets =

|homepage = [http://www.isda.org www.isda.org]

}}

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.{{cite web |url=http://www.businesswire.com/news/home/20150401005074/en/ICE-Benchmark-Administration-Completes-Transition-ISDAFIX-Calculation |date=1 April 2015 |title=ICE Benchmark Administration Completes Transition to New ISDAFIX Calculation Methodology; Benchmark Renamed ICE Swap Rate |publisher=Business Wire }}

ISDAFIX was developed in 1998 as a cooperative effort of the International Swaps and Derivatives Association (ISDA) with Reuters (now Thomson Reuters) and InterCapital Brokers (now ICAP).{{cite web |url=http://www2.isda.org/asset-classes/interest-rates-derivatives/isdafix |title=ISDAFIX |date=11 March 2014 |publisher=ISDA - International Swaps and Derivatives Association, Inc. |access-date=13 August 2014 |archive-url=https://web.archive.org/web/20140706105057/http://www2.isda.org/asset-classes/interest-rates-derivatives/isdafix |archive-date=6 July 2014 |url-status=dead }} 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.{{cite news |first=Lina |last=Saigol |url=http://www.ft.com/cms/s/0/1f3b7856-A10b-11e2-990c-00144feabdc0.html |title=How the ISDAFIX benchmark is calculated |date=9 April 2003 |accessdate=11 March 2014 |publisher=Financial Times }} ISDAFIX fixes as of February 2014 were determined for four currencies (Euros, British pounds, Swiss francs, and 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.ISDA.: [https://www2.isda.org/attachment/NjI1NQ==/ISDAFIX%20Suspension%20Guidance%20FINAL%2027%2001%2014.pdf] "ISDAFIX - Rate Suspensions - Guidance Note". January 27, 2014, accessed on 11 March 2014 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 for the cash settlement of swaptions (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 of swap products.