The Danish Financial Benchmark Facility will be responsible for the calculation, distribution and licensing of these benchmarks from the 1st October 2019;
- CIBOR ®
CIBOR being the rate of interest, at which a Panel Bank would lend DKK for a period of 1 week, 2 weeks, 1, 2, 3, 6, 9 and 12 months’ maturity to a prime bank on an uncollateralized basis (i.e. unsecured interbank loan).
- CITA
CITA being the interest rate swap offered rate quoted for the (T/N) rate against a fixed DKK rate for the following maturities – 1, 2, 3, 6, 9 and 12 months’ maturity
- Tomorrow/Next
Tomorrow/Next being the rate of interest at which a Panel Bank would lend DKK with starting value on the first Danish banking day after the day of entry and expiry on the second Danish banking day after the day of entry on an uncollateralized basis (i.e. unsecured interbank loan).
- SWAP
SWAP being the interest rate swap mid-market quoted rate for the following maturities: 2, 3, 4, 5, 6, 7, 8, 9 and 10 years’ maturity, priced against 6-month CIBOR.
- CIBOR Calculation Methodology
- CITA Calculation Methodology
- Tom/Next Calculation Methodology
- Swap Calculation Methodology