Has the use of Danish Benchmarks (CIBOR, CITA, SWAP and TOMNEXT) by UK supervised users been affected by Brexit?
Could you please outline the licensing requirements for CIBOR, CITA, Tom/Next, SWAP, what is fee liable and what is not (for example if the data is 24h delayed), access methods, and any other relevant information related to the change. In relation to vendor access, will there be any change requirements for users?
The subscription requirements can be found on our “How to Subscribe” page – https://dfbf.dk/subscribe/how-to-subscribe/.
Fees are only applicable to subscribers if they wish to receive the live data (up to 24 hours delayed) from an authorised vendor.
I understand that live CIBOR fixings became fee liable on 1st October 2019. However, if we take a delayed feed of 24 hours, no fees are applicable. If we decide to take the delayed feed, do we still need to complete a contract? Also, I want to understand what you mean by re-distribution – if we were taking a delayed feed and applying it to customer accounts on our bank’s ledgers, is that considered re-distribution? We wouldn’t be sending anything directly to customers.
The DFBF website will provide delayed data and this is for a users internal business use and not intended to be resold to third parties. Many vendors are providing the delayed data at no charge. There is no requirement to have any direct subscription agreement with DFBF to receive this data from your existing vendor.
Delayed data can be used according to the use conditions of your existing vendor.
In the case that you wish to distribute delayed data to third parties as a data service, you will need to enter into a distribution agreement with DFBF.
DFBF distributes data in three ways;
- It provides 24 hour delayed data on the DFBF website. This is free of charge
- Authorised Delayed Data vendors provide 24 hour delayed data to their clients at no charge (some vendors provide live and delayed options)
- Live data (up to 24 hour delayed) is distributed to subscribers who have signed a subscription agreement directly with DFBF (available from the DFBF website). The method of distribution is via an Authorised vendor who has a license to distribute live data. Once the subscriber has a subscription with DFBF, the DFBF advises the vendor to provide access in accordance with the type of subscription. This will allow access via vendor terminals, datafeeds and other applications.
When looking up Tomnext in the time series published on certain Information Vendor pages, there is no Tomnext rate published with the Date 31.03.2022. Has Tomnext not been published on that day?
Some Information Vendors are publishing Tomnext in time series available to the end users. Generally, the time series includes a ‘Date’ and a calculated Tomnext Rate. Since the Tomnext reform came to effect, there has been a change of the values published in the ‘Date’ field:
For Tomnext published prior to April 2022, the ‘Date’ field shows values of the former ‘Trade Date’. In the rates published after 1st April 2022, the ‘Date’ field contains the newly introduced ‘Reference Date’. In both time periods, the values displayed in the ‘Date’ field are one business day previous to Tomnext publication, however their definitions are different and can be found in the respective methodologies.
While Tomnext was not published on 1st April 2022, as illustrated on the excerpt from the Tomnext historical data series, an uninterrupted series of 1 day interest rates has been preserved during the transition. Please observe the various pre-/post-reform dates and their relevance to the calculation date in the chart below, with the emphasis on the critical dates around the reform date 1st April 2022 in red.
|Calculation/Fixing Date||Value Date||Trade Date||Reference Date||Tomnext Rate|
I see a difference in the Tom/Next rates, on some dates they are published with 4 decimals and on others with only 3 decimals. Why is there a difference?
Until 31 March 2022 the Tom/Next rates were published with 4 decimals, however, as part of the transition of Tom/Next becoming DESTR + a spread it was decided to mirror the format of DESTR which is published with 3 decimals.
As of 1 April the CIBOR tenors 2 weeks, 2 months, and 9 months have ceased to exist, can I still find historical data for these tenors on your website?
The historical data for the CIBOR tenors which ceased to exist on 1 April 2022 can no longer be found on the DFBF website. Should you have a need for this data kindly contact firstname.lastname@example.org.
DESTR is the new risk free reference rate for the Danish market.
Please visit the “How to Subscribe” page to view the steps required to obtain a subscription agreement – https://dfbf.dk/subscribe/how-to-subscribe/
The fees for the subscription services are explained in full on the subscription charges page – https://dfbf.dk/subscribe/subscription-charges/
From the 1st October 2019 the Danish Financial Benchmark Facility ApS will be the benchmark administrator for the DFBF benchmarks detailed below.
It will collect submissions from a panel of Danish banks, calculate the benchmarks according to the published methodology and then publish the rates to the financial markets.
The data package includes all four benchmarks and no benchmarks are distributed individually.
|CIBOR||Copenhagen Interbank Offered Rate|
|CITA||Copenhagen Interbank Tomorrow/Next|
|SWAP||SWAP Reference Rates|
|TOM/NEXT||Tomorrow/Next Interest Rates|
Please go to our “How to Subscribe” page – https://dfbf.dk/subscribe/how-to-subscribe/
A subscription can be obtained online from the DFBF website. Once you accept the terms and conditions you will be provided with a subscription from DFBF, this is a system generated file and is not countersigned. Should you require a coutersigned version please contact us at email@example.com and we will arrange for one to be created for you.
Will my company need some sort of agreement with DFBF to re-distribute the data (both direct and derived data)?
A subscription agreement allows use of the data for internal business purposes and to provide subsets of the benchmarks to clients for reporting purposes. The subscription agreement describes the use rights.
If however, you wish to distribute the benchmarks as a service, you will need to contact DFBF to get a distribution licence agreement.
Older browsers are still being used in many financial markets institutions, many of these browsers do not support SNI and will generate this error. Please try a later version of browser. If you are unable to utilise a supported browser in your environment please contact firstname.lastname@example.org and we will endeavour to find a work around for you.