Working group on short-term reference rate

Danmarks Nationalbank established in January 2021 a working group on short term reference rate in Danish kroner to support the adoption of DESTR and the transition from the Tom/Next-rate to DESTR. 

The working groups mandate includes a recommendation on the preferred future short-term reference rate in Danish kroner and to prepare a plan for the adoption of DESTR and the transition from the Tom/Next-rate to DESTR, cf. Terms of Reference.

The participants represent a broad range of players in the Danish market, cf. member list. In addition Danmarks Nationalbank and the Danish FSA participate as observers.

Meeting agenda, minutes, and publications from the working group will be made publicly available on this page.

Publications and milestones

Final recommendation on the transition from Tom/Next to DESTR

Following the public consultation on the the transition from Tom/Next to DESTR the working group states its final recommendation on the transition. The public consultation did not give rise to any changes to the recommendation proposed in the consultation paper. 

 Link: Final recommendation on the transition from Tom/Next to DESTR.

 Link: Summary of responses to public consultation.

Public consultation on the transition from Tom/Next to DESTR 

The Working Group proposes the following transition away from Tom/Next to DESTR: Once DESTR is launched on 1 of April 2022 at the latest, the Tom/Next will be recalibrated to DESTR plus a spread adjustment. The spread should be based on the historical daily differences between DESTR and Tom/Next observed from 19 March 2021 until a date prior to the launch of DESTR. No trimming should apply for the spread calculation. The specific end date for the observation period will be decided by Danish Financial Benchmark Facility, the administrator of Tom/Next. Once DESTR is launched and Tom/Next has been recalibrated, a transition period will follow in which market participants should start trading DESTR related instruments instead of Tom/Next. It is the Working Group's recommendation that the transition period ends on 1 January 2026, where the recalibrated Tom/Next will cease to exist.

The Working Group will consider all comments received by 3 November 2021. An anonymised summary of the comments and the final recommendation from the Working Group will be published shortly thereafter. All contributions should be submitted via email to DESTR@nationalbanken.dk under the heading 'Comments to consultation'.

Link: Public consultation on the transition from Tom/Next to DESTR 

DESTR recommended as the preferred risk-free reference rate in Danish kroner

In june 2021 the working group recommended DESTR as the preferred risk-free reference rate in Danish kroner. It is the working group's belief that DESTR will be a robust reference rate that can serve as a strong, reliable anchor in the short end of the curve, enhance a liquid swap and loan market and function as both a complement to and fallback for the CIBOR fixings. This recommendation delivers on the first part of the working groups mandate, cf. Terms of Reference.

Link: Recommendation of DESTR as the preferred risk-free reference rate in Danish kroner


Working Group Meetings

5. meeting in working group - September 28 2021
4. meeting in working group - September 2 2021
3. meeting in working group - May 18 2021
2. meeting in working group - April 8 2021
1. meeting in working group - February 11 2021