ISDAFIX

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Revision as of 22:40, 20 March 2015 by imported>Doug Williamson (Link with ISDA and Swap pages.)
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ISDAFIX is a benchmark reference rate for annual swap rates in CHF, EUR, GBP, JPY, USD and (historically up to April 2013) 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.

Published 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.


See also

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