Statement concerning Cibor

Cibor is a reference rate for liquidity offered on an uncollateralized basis for up to 1 year in the inter-bank market to one of the most creditworthy banks.

The financial crisis resulted in a spread between collateralised and uncollateralised money-market interest rates in Denmark, and since 2009 the average 3-month spread has been approximately 25 basis points higher than in the euro area. The spread has narrowed to around 5 basis points since the turn of the year.

Danmarks Nationalbank's survey of the Danish money market in September 2010 indicated a decline in turnover in the market for uncollateralised lending in Danish kroner. This implies a reduced traded basis for quoting Cibor.

Danmarks Nationalbank has conducted a dialogue with the Cibor reporting banks about the possible reasons why the Danish spread between collateralised and uncollateralised interest rates is wider than spreads abroad, but the issue remains unresolved.

In view of the limited turnover, Danmarks Nationalbank is not able to assess the quality of the Cibor rate. Against this backdrop, Danmarks Nationalbank has decided to discontinue the collection, calculation and publication of Cibor, with effect from 4 April.

This function will be assumed by Nasdaq OMX. The overall responsibility for Cibor still rests with the Danish Bankers Association. As of 4 April, Cibor will be available on the website of Nasdaq OMX. With the transfer of the daily Cibor fixing, the Danish setup is harmonised to international standards where reference rates are fixed outside the central bank.

At the beginning of 2011, Dannarks Nationalbank established a working group with the mandate of looking into the possibilities of a supplementary reference rate for the Danish money market. The working group consists of representatives of Danmarks Nationalbank, the Danish Bankers Association, the Association of Danish Mortgage Banks and the Danish Mortgage Banks' Federation.



The working group is tasked with evaluating possible reference rates, harvesting international experience and recommending one or more supplementary reference rates in addition to the existing ones. The working group is expected to complete its work before the summer holiday period.