AUD Swap Tenor Does Not Determine the Reference-Rate Tenor

Summary

The document clarifies the difference between an Australian dollar interest rate swap’s maturity and the tenor of the floating reference rate used by that swap. A multiyear swap does not require a reference rate quoted for the same multiyear term. The answer gives a five-year swap referencing a short-term rate, such as three-month BBSW, as an example; there is no corresponding five-year BBSW or five-year AUD LIBOR rate in the convention described.

This distinction matters when identifying inputs for a swap curve: the swap’s term and the floating index’s reset tenor are separate contract features. The response answers the tenor question but does not provide market quote sources, curve-building instruments, or details of current AUD conventions. Its example should therefore be read as an explanation of the convention, not a full curve-construction guide.

Key ideas

• An AUD swap’s maturity is distinct from the tenor of its floating reference rate.
• A multiyear AUD swap can reference a short-term BBSW rate, such as three-month BBSW.
• The document says there is no same-tenor multiyear BBSW rate analogous to multiyear LIBOR.
• The response clarifies the contract convention but does not describe a complete swap-curve construction method.

Tags

# AUD Swap Reference Rate?


# AUD Swap Reference Rate?












So I understand that BBSW is the reference rate used in AUD swap transactions since AUD LIBOR has been discontinued. If I want to build a curve out of the reference rates used to price AUD swaps, I can use the BBSW rates for maturities ranging from 1 day to 12 months, but what is the correct reference rate for maturities past 1 year? There is no BBSW rate for a 3 year maturity for example. What is the AUD BBSW analogue to a 5 year LIBOR or 10 year LIBOR rate?

## Answer by dm63 (score 2)

https://quant.stackexchange.com/a/24957

A 5 year AUD swap, for example, references a short term rate such as 3month BBSW. There is no such thing as 5 year BBSW or 5 year AUD Libor. The maturity of an interest rate swap is not the same thing as the maturity of its reference rate.

Is that what you were asking?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.