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Reference Rates


The Tomorrow/Next interest rate (T/N interest rate)
Danmarks Nationalbank collect, calculate and publish the money market rate the T/N fixing on a daily basis.


Date04/15/201404/14/201404/11/201404/10/201404/09/2014
T/N rate-0,0632
0,0300
0,0220
-0,1017
0,0319

The T/N interest rate is an uncollateralized day-to-day interest rate for money-market lending. The T/N interest rate is calculated as a weighted average of the interest rates on actual lending. The market for day-to-day loans is divided into several segments, depending on the starting point of the transaction. The T/N market, which is the dominating segment, comprises loans commencing on the first banking day after the transaction date and expiring on the second banking day after the transaction date.

Calculation of the T/N interest rate is based on daily reports from 8 banks. Each bank reports the uncollateralised day-to-day inter-bank lending and the average interest rate for these loans. The report is made with a time lag of one day, e.g. Monday's lending is reported on Tuesday. On the basis of the reports Danmarks Nationalbank calculates an average interest rate which comprises each bank's interest rate weighted according to the bank's share of the total reported lending.


The Cibor fixing
From 4 April 2011 Danmarks Nationalbank stopped collecting, calculating and publishing the cibor fixing.

Cibor (Copenhagen Interbank Offered Rate) is a reference interest rate for liquidity offered in the inter-bank market (in Denmark) on an uncollateralised basis with maturities from 1 week to 12 months. NASDAQ OMX publishes Cibor on a daily basis at 11:00 hr. The Danish Bankers Association has the overall responsibility for Cibor.

Link to NASDAQ OMX´s website

Link to The Danish Bankers Associations website

The Swap fixing
From 4 April 2011 Danmarks Nationalbank stopped collecting, calculating and publishing the Swap fixing.

The swap fixing is a reference rate for the Danish swap curve with maturities between 2 and 10 years. NASDAQ OMX publishes the swap fixing on a daily basis at 11:00 hr. The Danish Bankers Association has the overall responsibility for the swap fixing.

Link to NASDAQ OMX´s website

Link to The Danish Bankers Associations website





Last update: 16-04-2014

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