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Guidelines for fixing CIBOR

These guidelines have been drafted in accordance with the rules for fixing CIBOR.

CIBOR is the rate of interest, at which a financial institution is willing to lend DKK for a period of 1 week, 2 weeks, 1, 2, 3, 6, 8 or 12 months' maturity to a prime bank on an uncollateralized basis (i.e. unsecured interbank deposit).

At a meeting on 10 December 2012, the Money Market Committee updated the official guidelines for understanding the term "prime bank" and the conditions for how CIBOR should be fixed.

Prime bank

Danish circumstances are a starting point, which is why a prime bank is understood as the CIBOR supporter in group 1 with the best credit rating based on the extended rating by S&P, Moodys or Fitch. The CIBOR supporter must also have access to the collection of instruments relating to monetary policy at the Central Bank of Denmark.

Participants in CIBOR group 1 are the CIBOR supporters with the closest affiliation to the Danish money market in DKK.

The quota system

The fixing of quotas should reflect the rate that individual CIBOR supporters are willing to lend at in DKK for a period of 1 week, 2 weeks, 1, 2, 3, 6, 9 or 12 months maturity to a prime bank on an uncollateralized basis.

It is emphasised in the rules that CIBOR supporters are not obliged to provide liquidity on their fixed quotas to other CIBOR supports (or others). Each CIBOR supporter should aim towards their CIBOR reflecting an interest level that is as realistic as possible.

When quotas are fixed individual CIBOR supporters must as a starting point have the necessary liquidity to lend in DKK.

In practice this means that CIBOR supporters can take general liquidity circumstances etc. on the market and therefore also normal fluctuations in a CIBOR supporter's own liquidity situation into account. A CIBOR supporter may not use a situation where they themselves immediately and exceptionally need liquidity and are not in a position to procure it on the market with special market conditions.

As the market for uncollateralized loans for a longer period is in decline, CIBOR supporters should still quote based on an individual evaluation of where interest rates stand on the applicable day.


Examples of the criteria that can be included in CIBOR fixings (this overview is not exhaustive).

Individual CIBOR supporters use their own situation as a starting point when quoting a CIBOR rate, but individual CIBOR supporters must presume that they have the necessary liquidity available.

Listed below are elements that are typically part of daily quota fixings. It should be pointed out that the list is not exhaustive, as external events, specific circumstances for individual banks and legislation can be influential factors.

All of the factors below can be compared with the definition of CIBOR and any effect of the current day's quota fixing can be evaluated. Not all elements will be of significance on a daily basis i.e. because there are no actual changes.

1. Danish and foreign monetary policy interest rates

  • Incurred changes to monetary policy interest rates
  • Individual banks' expectations towards impending interest rate changes from the Central Bank of Denmark. The following elements can be included in this assessment:
    - a strong or weak DKK rate on the FX market and movements here
    foreign exchange inflows to foreign exchange reserves 
    - individual banks' expectations towards impending interest rate changes from leading foreign central banks.
    - news from markets that can affect the future development of interest rates
    - current interest spread to the Eurozone.

2. Developments in money market interest rates

  • developments in EURIBOR and spread to CIBOR
  • developments in interest spread between CIBOR rates and CITA rates and between EURIBOR rates and EONIA rates
  • significant news in the market that can affect interest rates.

3. Liquidity circumstances and credit risk in the banking sector, as well as significant news

  • if the market is awash with liquidity, additional liquidity products will be affected by this and interest rates could be influenced in a downward way
  • liquidity provision and/or changes to this from the Central Bank of Denmark
  • any relevance for Danish banks of liquidity provisions from ECB
  • the repo market what are the options of procuring liquidity via the repo market?
  • the general liquidity situation
  • changes in credit risk premiums.

4. Alternative placement options and differences in capital requirements

  • as an alternative to an unsecured loan the supporting bank can place liquidity in another way i.e. deposit in a current account or buying certificates of deposit, buying treasury bills and government bonds
  • buying RTL bonds and other mortgage bonds
  • buying Junior Covered Bonds (JCBs)
  • other alternative products.

Applicable rules on capital requirements and liquidity

Capital requirements and thereby supporting bank's required rate of return varies between these placement options, where an unsecured loan to another bank is on the complete opposite end of the scale, which is reflected in the supporters rates.
Alternative placement options can also have different effects on supporter
s liquidity percent (Section 152 of the Danish law on financial activities).

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Finance Denmark is an business association for banks, mortgage institutions, asset management, securities trading and investment funds in Denmark. Our members are mortgage institutions, banks, savings banks, cooperative savings banks, Danish branches of foreign banks, asset managers, Danish securities dealers and investment funds. 

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