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The LME distributes gold interest rate swaps data on behalf of the London Bullion Market Association (LBMA) to bring new levels of transparency to the worlds largest over-the-counter (OTC) gold market.
The Exchange provides automated data collection and compilation services to produce a gold interest rate swap (IRS) curve. An interest rate swap refers to a trade of a fixed interest rate for a floating interest rate, with the curve detailing forward interest rates for the gold swaps market. The curve is used to indicate today’s view of the future value of gold.
The data is provided by the eight major market makers of the LBMA who have direct links to LME’s proprietary system for compiling the curve. The curve contains tenors, or valuation points, at different dates in the future when the contracts will mature.
These tenors are:
- 12 months forward
- 2 to 10 years forward
The valuations, collected each day for the curve, reflect the close of the London market, 17.00 London time. The data is then distributed by the LME to its network of licensed data vendors.
Subscribers to this service can benefit from:
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