ICE swap rate

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The ICE swap rate is a globally used reference interest rate for fixed interest rates in interest rate swap transactions. Until the restructuring in April 2015, the value was known as ISDAfix .

history

ISDAfix was developed in 1998 and is based on a cooperation between ISDA and Reuters (now Thomson Reuters ) and Intercapital Brokers (now ICAP ). It was based on the (voluntary) submissions of a number of banking houses announcing the interest rate at which they would buy or sell a reference swap with a face value of $ 50 million. As of February 2014, ISDAfix rates were determined for four currencies (euro, pound sterling, Swiss francs, US dollars) and each for different terms; the rates for the Hong Kong dollar and the Japanese yen were suspended in April 2013 and January 2014 because not enough notifications would have been received following the withdrawal of individual banks. The collection of interest reports and the final calculation of the reference rates are now carried out for all currencies by Thomson Reuters.

The main purpose of collecting the ISDAfix rates was to make it easier to determine the strike price of swap options with cash settlement. ISDAfix rates were also often used as a reference rate for close-out payments in the event of the early cancellation of interest rate swaps. They are also used generally to determine the market value of swap products.

In the course of the Libor scandal that began in 2012, the ISDAfix rates also came under fire; the American Commodity Futures Trading Commission and the British Financial Conduct Authority are both investigating allegations of manipulation. ICAP, which was fined US $ 87 million by British and American authorities in the wake of the Libor scandal, lost its role in collecting data for and calculating the ISDAfix rates during the ongoing investigations at ISDAfix in early 2014 for the US dollar. The ISDA also announced profound changes to ISDAfix. First the US dollar rates and later all others were to be converted to a market-based, automated calculation process; Furthermore, the portfolio of the offered reference rates should be further reduced if the associated swap market turns out to be insufficiently liquid.

On April 1, 2015, the calculation was taken over by the ICE Benchmark Administration (IBA), a subsidiary of the Intercontinental Exchange .

Isdafix scandal

After the Libor scandal, US authorities investigated a total of 15 banks in the Isdafix scandal. Several pension funds and municipalities had accused the banks of having colluded to manipulate the Isdafix in their favor between 2009 and 2012. In May 2016, seven major banks, Bank of America , Barclays , Citigroup , Credit Suisse , Deutsche Bank , JPMorgan Chase and Royal Bank of Scotland fined $ 324 million.

Web links

Individual evidence

  1. ↑ a b ICE Benchmark Administration Completes Transition to New ISDAFIX Calculation Methodology; Benchmark Renamed ICE Swap Rate . Business Wire. April 1, 2015.
  2. ↑ a b ISDA: ISDAFIX. ( Memento of July 6, 2014 in the Internet Archive ) Retrieved March 11, 2014.
  3. ↑ Lina Saigol: How the ISDAfix benchmark is calculated. In: FT.com. April 9, 2003. Retrieved March 11, 2014.
  4. ↑ ISDA: ISDAFIX Rate Suspensions Guidance Note. January 27, 2014, accessed March 11, 2014.
  5. ↑ Bloomberg Online: UK Probing Alleged ISDAfix Manipulation, Regulator Says. September 11, 2013, accessed March 11, 2014.
  6. ↑ Reuters: Broker ICAP sees role in benchmark setting. February 5, 2014; Börsen-Zeitung: ISDA lets Reuters calculate. January 28, 2014, p. 2.
  7. ^ Hazel Sheffield: ISDA Starts Transition To Automated Benchmarks. In: Derivatives Week. January 31, 2014.
  8. ↑ n-tv NEWS: Bafin examines the Isdafix scandal. Retrieved August 20, 2019 .
  9. ↑ Seven big banks settle US rate-rigging lawsuit for $ 324 million . In: Reuters . May 3, 2016 ( reuters.com [accessed August 20, 2019]).