Transaction-based reference rate


In November 2020, Danmarks Nationalbank assumed responsibility for the new reference rate Denmark Short-Term Rate (DESTR)from Finance Denmark. Similar reference rates are managed by central banks in other countries. Reference rates are used in a wide range of financial contracts,  including bank loans, mortgage bonds and interest-rate swaps. Thus, it is important for Danmarks Nationalbank and the financial system in Denmark that a short-term transaction-based reference rate is introduced in Danish kroner in line with international standards.

The DESTR methodology was first presented in a public consultation by Finance Denmark in May 2019, when a working group commissioned by Finance Denmark had developed a new reference rate in Danish kroner based entirely on O/N-deposit transactions. The consultation suggested a new reference rate similar to the euro short-term rate (€STR) of the European Central Bank (ECB). The consultation showed a broad support for the new reference rate among market participants and Danmarks Nationalbank.

In June 2021, Danmarks Nationalbank published a report with an evaluation of the data and methodology behind DESTR, cf. DESTR – Review of Underlying Data and Methodology. The main conclusions drawn from the public consultation in 2019 were unchanged.

In November 2021 Danmarks Nationalbank published that DESTR would be launched 1 April 2022 (link).

In connection to the transition from the Tom/Next rate to DESTR Danmarks Nationalbank calculated the realised spread between pre-DESTR and the Tom/Next rate for the period 19 March 2021 to 21 March 2022. The spread is calculated to 19.0 basis points (link to annoncement).