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 be reduced by the previously applied 19bps spread on 1 January 2026 (all other things remaining equal).
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.