This report is the first deliverable by the Risk-Free Rate Working Group under Finance Denmark regarding a CITA-reform to ensure the continuation of this forward-looking term reference rate after the introduction of DESTR.
The report focuses on making a recommendation on the preferred transition model for the current CITA into a new or a reformed CITA with DESTR as the variable leg.
The background for the transition is the introduction of DESTR and the fixing of the existing Tom/Next reference rate to DESTR plus a spread as per 4 April 2022 followed by the cessation of the Tom/Next rate by 1 January 2026.
This report and the results of the consultation are intended to serve as a guide to DFBF (Danish Financial Benchmark Facility) who, in line with their policy, will launch a subsequent consultation(s) in due course.
Stakeholders are hereby invited to comment on all matters in this report and on the questions summarized in Appendix 1.
The RFR Working Group will consider all comments received by latest March 23rd 2022 COB. An anonymized 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 mof@fida.dk
