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Rules for trading CIBOR quota fixings

Current rules establish an obligation for CIBOR group 1 supporters to trade with other CIBOR supporters on their own CIBOR quota fixings. CIBOR group 1 consists of CIBOR supporters that are already market makers in a range of money market products. CIBOR group 2 supporters have the option of signing up to the scheme.

Prerequisites
The current rules have been drafted in direct continuation of the applicable rules on fixing and participating in CIBOR and are therefore only addressed to the circle of CIBOR supporters. The circle of CIBOR supporters are therefore the only people, who have the right to participate in the current scheme. In addition, rights and obligations in relation to the current scheme only cover the CIBOR supporters that are currently part of the scheme.

Obligation
Trading obligations apply to deposits and loans for CIBOR maturities of 1, 2, 3 and 6 months.

Only CIBOR supporters that have sent quotas to the CIBOR fixing system are entitled to the obligation and right to trade.

Amounts
CIBOR supports are obliged to trade on their own quota fixings maximum once per day for one maturity and with a counter-party for up to the following amounts on the precondition that the necessary credit lines are present:
1 month
DKK 200 million
2 months
DKK 100 million
3 month
DKK 100 million
6 months
DKK 50 million

For CIBOR group 2 supporters, the obligation in terms of value is half of the size.

Loans
Upon request from another CIBOR supporter, every CIBOR supporter is obliged to provide liquidity in DKK in their CIBOR quota fixings (loans) on the conditions that are stated in the current spread overview.

Trading for prime banks only takes place on CIBOR. Prime banks are defined in the Guidelines for fixing CIBOR.

Deposits
Upon request from another CIBOR supporter, every CIBOR supporter is obliged to receive liquidity in DKK in their CIBOR quota fixings, deducted from a spread that is stated in the currently applicable spread overview.

Time
The obligation commences immediately when the supporter’s individual quota fixings are published at 11.00AM and until 11.10AM. The publication takes place in this context via e-mail directly to the individual supporters. This means in practice that one will never be obliged to trade after 11.10AM, even if the publication is delayed.

If there is an error in the quoted rates the supporter is not obliged to trade on it or fixings that are wrong. Error corrections must follow the normal procedure. Re-sending corrected rates does not establish a new right to trade.

Suspension of trading obligations
In the case of technical breakdowns or in other unforeseen situations that mean that trading cannot be concluded immediately after the rates are published the right to trade is suspended.

If larger changes on the market occur, i.e. changes in official rates of interest in the period between the fixings and publication of the quoted rates, the right to trade is suspended.

Credit lines
CIBOR supports should strive to have reasonable credit lines to comply with current rules. If two supporters often trade with each other in different products, there may no longer be credit lines that comply with current obligations, which will thereby be temporarily suspended. A request to trade can therefore be denied if the overall mutual trading extent is too large.

Deposits and loans with identical maturity (expiration) should, where possible, be netted against each other.

Changes
Changes to the current rules requires a 2/3 majority in the group of participating CIBOR supporters.

Complying with rules and exclusion
Compliance and cases concerning possible violation of current rules is dealt with by the circle of CIBOR supporters that are participants in the scheme.

Violation of current obligations can lead to exclusion from the current scheme. Any exclusion will come into force immediately.

Decisions will be made with 2/3 majority of participating CIBOR supporters.

Decisions can be brought before the Money Market Committee by any CIBOR supporter, which participates in the scheme. The Money Market Committee decides matters with a 2/3 majority in final decisions.

Resignation
Obligations and rights in relation to current rules depend on participation as a supporter in the CIBOR fixings. A general resignation from CIBOR also means withdrawing from the current rules.

CIBOR group 2 supporters can upon their own request resign from the current scheme. The resignation must occur by written warning to the other CIBOR supporters before the end of the month (running month) with effect from the end of the following month.

Ethical rules
All market makers are obliged to show reasonable and honest conduct in connection with the performance of their duties.

Entry into force
The scheme enters into force on 1 September 2014.

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Finance Denmark is an interest organisation 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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