ISDAFIX: Difference between revisions
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imported>Doug Williamson (Summarised from ISDA's website: http://www2.isda.org/asset-classes/interest-rates-derivatives/isdafix/#ContingencyHKD) |
(No difference)
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Revision as of 10:55, 20 April 2013
ISDAFIX is a benchmark reference rate for annual swap rates in CHF, EUR, GBP, JPY, USD and (up to April 2013 only) HKD.
Its uses include calculating:
1. Cash settlement amounts on the early termination of swaps.
2. Exercise values for cash-settled swap options.
3. Mark to market valuations for swaps and other derivatives.
ISDAFIX is calculated and published daily.
Maturities differ slightly by currency, for example in USD they are: 1-10 years inclusive, 15, 20, and 30 years.
Sometimes written ISDA FIX, ISDAFix or ISDAfix.