LCH SwapClear with 91% share and CME OTC with 9% over the 12 month period So while 1Q 2021 shows good growth over 4Q 2020 in gross notional terms, it’s DV01 of $930 million is below the $1.1 billion in 4Q 2020 (the quarter when LCH and CME changed to SOFR discounting and cond...
摩根大通执行了一项与芝加哥商品交易所集团(CME Group)担保隔夜融资利率(SOFR)远期利率挂钩的新型贸易融资交易,标志着Libor替代利率的使用取得了进步。摩根大通在一份声明中表示,这是第一个与SOFR条款挂钩的自动交易。该交易与CME集团的SOFR 90天远期合约有关。摩根大通在8月5日完成了交易,就在几天前,监管美国从...
Fed Fund Futures: active futures market by CME, with underlying Fed Fund rates. 36 monthly futures listed for 3y, cash settle at the end of calendar month. Notional = 5M. LIBOR futures fix on settlement day, while Fed Fund futures fix of arithmetic average of calendar daily fixings (Fri ...
汇通财经APP讯——伦敦同业拆借利率(London InterBank Offered Rate,简写LIBOR),是大型国际银行愿意向其他大型国际银行借贷时所要求的利率。它是在伦敦银行内部交易市场上的商业银行对存于非美国银行的美元进行交易时所涉及的利率。LIBOR常常作为商业贷款、抵押、发行债务利率的基准。同时,浮动利率长期贷款的利率也会在LIBOR...