ICE Begins ISDA Benchmark Calculation
Under the agreement, ICE Benchmark Administration is responsible for oversight, methodology, systems and controls for ISDAFIX, as well as data collection and rate calculation, and submission checks to ensure integrity of the benchmark, which provides the average mid-market swap rate for euro, pounds sterling, Swiss franc and US dollar on a daily basis.
IBA will initially continue the existing benchmark methodology of polling mid prices from contributing banks, but will transition to a new model based on trades and executable quotes on regulated trading venues.
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