Daily Reference Rate
Definition
The Daily Reference Rate is the official rate calculated and published once per day as a daily fixing.
It aggregates trade data over a defined window immediately preceding the calculation point, so it is not driven by a single trade at that moment or by the momentary price at one exchange. This structure limits the effect of short-term volatility and anomalous trading and produces a daily reference price that can be compared on the same basis every day.
Details
The Daily Reference Rate is calculated once per day, with the calculation point and aggregation window fixed by the methodology.
Once fixed, published rates are final and are not restated, and it is delivered with its calculation time so the valuation date is unambiguous. Rates for past dates are available and were calculated under the same methodology.
The Daily Reference Rate is used where a fixed single valuation price per date is required, such as fund NAV calculation, settlement of financial products and fair value measurement.