Calculation method and data


​The following describes the data collected for DESTR and processes for calculating DESTR on a daily basis.

Transaction dataset

DESTR is a rate which reflects the wholesale Danish krone unsecured overnight borrowing costs of banks active in the Danish krone market. DESTR is calculated using overnight unsecured fixed rate deposit transactions.

The transaction dataset used to calculate DESTR is collected from the reports submitted by the following banks as part of the statistics for unsecured short-term money market transactions:

  • Arbejdernes Landsbank
  • Danske Bank
  • Handelsbanken
  • Jyske Bank
  • Nordea Bank
  • Nykredit Bank
  • SEB
  • Sparekassen Kronjylland
  • Spar Nord Bank
  • Sydbank

The transactions included in the DESTR calculation should be conducted with counterparties categorized within the following sector codes (ESA 2010 standards):

  • 121: Central banks (except transactions conducted with Danmarks Nationalbank as part of monetary policy operations)
  • 122: Deposit-taking corporations except central banks
  • 123: Money market funds (MMF)
  • 124: Non-MMF investment funds
  • 125: Other financial intermediaries except insurance and pension funds
  • 126: Financial auxiliaries
  • 127: Captive financial institutions and money lenders
  • 128: Insurance corporations
  • 129: Pension funds

The transaction volume must also exceed an amount of DKK 5 million.

Robustness requirements

To ensure that the transaction dataset is representative of the overnight market in Danish kroner, Danmarks Nationalbank has set certain criteria that the transaction dataset must fulfil.

A contingency procedure for the calculation of DESTR will be triggered, if

      i.        the total transaction volume is below DKK 0.5 billion, or

     ii.        the total transaction volume is below DKK 1.5 billion and one bank accounts for more than 70 per cent (rounded to nearest whole number) of the total transaction volume

Trimming

With the aim of avoiding extreme values in the transaction dataset affecting DESTR, 12.5 per cent of the transaction volume is trimmed before the calculation of the reference rate is made. Trimming the dataset is in line with international practice to avoid outlier values.

Normal calculation method

If the transaction dataset fulfils the robustness requirements, Danmarks Nationalbank calculates DESTR according to the normal calculation method. DESTR is then determined as a volume-weighted mean value of the interest rates in the trimmed calculation dataset.

See Methodology and Policies for a full explanation of the calculation. The method follows international practice for the calculation of transaction-based reference rates.

Alternative calculation method

If any of the robustness requirements is not fulfilled, an alternative method is applied for the calculation of DESTR.

DESTR will be calculated as the level of the central bank rate plus the mean of the spread between DESTR and the central bank rate over the previous five days where a normal calculation method has been used, excluding the days with the highest and lowest spread to the central bank rate.

The central bank rate is defined as the average of the rate on the current account and the lending rate of Danmarks Nationalbank.