During August and September 2022, DFBF conducted public consultation concerning the CITA benchmark reformation. As a consequence of the hearing, it was concluded to adopt the reformation approach which requires the CITA methodology to be changed in two sequences:

• Sequence 1 – An interim definition effective from 1 February 2023, where the CITA methodology is adjusted such that panel banks’ submissions become based on DESTR OIS plus a Spread (19bp) added by DFBF.

• Sequence 2 – Effective from 1 January 2026, panel banks’ submissions to CITA will remain based on DESTR OIS, but DFBF will no longer add the defined Spread. Consequently, the reference rate will on 1 January 2026 be reduced (fall) (all other things being equal, by the 19bps spread previously applied).

The 2 and 9-month CITA tenors will cease to be calculated and published from the commencement of Sequence 1, from 1 February 2023. For clarification the last date of publication for the 2 and 9-months tenors will be 31 January 2023.

To accommodate for the changes in the Tom/Next methodology that were effective from April 2022 and the CITA tenor mix that will come into effect on 1 February 2023, the CITA definition will change from the commencement of Sequence 1 on 1 February 2023 to the following: “CITA being the interest rate swap offered rate quoted for the day-to-day rate Tom/Next (DESTR plus a Spread* until 1 January 2026) against a fixed DKK rate for the following maturities: 1 month, 3 months, 6 months, and 12 months’ maturity.”

Upon the commencement of Sequence 2, on 1 January 2026, the CITA definition will again be changed to a final definition as follows: “CITA is a benchmark for risk-free interest rates for DKK over the relevant forward-looking tenors as implied by Overnight Index Swap contracts that reference DESTR.”

For more information on the CITA benchmark reformation please visit this page.

 

*0,190% (19,0 basis points) as determined by DFBF and Danmarks Nationalbank.