Australian Interbank Benchmarks: BBSW, LIBOR, and Overnight Rates
Summary
The discussion distinguishes Australian interbank borrowing rates from benchmarks used more broadly in bond and interest-rate markets. It identifies Australian-dollar LIBOR as a rate cited for interbank lending in the answers, while naming the Bank Bill Swap Rate (BBSW) as a commonly used Australian reference for wider interest-rate markets and swaps. It also lists the Australian overnight index used for overnight swaps as the RBA Interbank Overnight Cash (IBOC) rate, with 30-day interbank contracts and overnight swaps noted as curve-building instruments.
The examples show that benchmark choice depends on the instrument and market convention: the swap answer lists BBSW for Australian-dollar interest-rate swaps, with LIBOR as an alternative, and describes IBOC for overnight swaps. The discussion is an informal Q&A and gives no time series or comparative analysis. Its LIBOR statements reflect the period and terminology of the source; the material does not explain subsequent benchmark reforms or establish current market conventions.
Key ideas
- The answers distinguish Australian-dollar interbank lending references from benchmarks used more generally in domestic markets.
- BBSW is identified as a widely used Australian reference rate and a preferred fixing for Australian-dollar interest-rate swaps.
- The discussion lists the RBA IBOC rate as the Australian overnight fixing for OIS curve construction.
- Benchmark conventions vary by instrument, and the cited answer also lists LIBOR as an alternative swap fixing.
- The material is a market-convention overview and does not document later benchmark changes.
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Full text
# Is there an Australian Interbank Rate? # Is there an Australian Interbank Rate? Most widely used Interbank Rates are LIBOR, EURIBOR. Then I read online on SIBOR (Singapore). It says Canda, US are following LIBOR as well. So for Australia, is there a dedicated interbank rate like AUSIBOR or AUDIBOR? If not what is the correct interbank rate for Australian bond and interest market? ## Answer by Matt Wolf (score 2, accepted) https://quant.stackexchange.com/a/7318 Here are your Australian LIBOR rates: http://www.homefinance.nl/english/international-interest-rates/libor/libor-interest-rates-aud.asp Couple points in addition: - Every major financial market has an established rates market at which banks are borrowing and lending among themselves. In fact such transactions are performed every single day in order to settle overnight transactions. The settlement of such inter-bank loans are usually the responsibility of each bank's treasury department and the respective currency's libor rates are used. - As long as the loan is denominated in Australian dollar and is cleared and settled in Australian dollars by a bank (the bank needs to be meeting LIBOR credit requirements otherwise spreads above the pertaining LIBOR rate are applied as direct function of credit risk), regardless of whether it is a US ,Australian, or Japanese institution, then Australian libor rates are applied. Despite all the media and scandal reporting, LIBOR is by far the prevailing rate applied to interbank-loans even today and into the foreseeable future. Edit: You changed your original question by quite a bit. My answer above pertains to the interbank market, financial institutions lending/borrowing amongst each other. You now broadened your question to cover general interest rates and bond markets, meaning, including agreements between banks and non-bank counter parties. In that I would add that the most often used reference rate is BBSW. ## Answer by Phil H (score 4) https://quant.stackexchange.com/a/7324 Regarding swaps, the current preferred fixings for IRS in various currencies are given below. As with all OTC instruments, you're free to use whatever you like when you agree a deal, though most banks will stick to particular fixings. ``` Ccy Dom Int Alt Int AUD BBSW BBSW LIBOR CAD CDOR CHF LIBOR CZK PRIBOR DKK CIBOR EUR EURIBOR EURIBOR LIBOR GBP LIBOR LIBOR HKD HIBOR ? LIBOR HUF BUBOR JPY TIBOR LIBOR TIBOR (LIB/TIB spreads traded) NOK OIBOR NIBOR (OIBOR == NORIBOR) NZD LIBOR PLN WIBOR RUB MOSIBOR/MOSPRIME SEK STIBOR USD LIBOR LIBOR EURIBOR ZAR JIBAR LIBOR JIBAR ``` General fixings available via the FT: http://markets.ft.com/RESEARCH/Markets/Interest-Rates Quick look at what's traded in London via LCH: http://www.lchclearnet.com/swaps/volumes/settlement_prices.asp BBSW (AFMA) delayed data CDOR (TMX) CIBOR (NASDAQ OMX) EURIBOR (wikipedia) JIBAR (wikipedia) HIBOR (Hang Seng) LIBOR (wikipedia) MOSIBOR/MOSPRIME (arb.ru) PRIBOR (Czech National Bank) STIBOR (NASDAQ OMX) TIBOR (JBA) WIBOR (money.pl) BUBOR At Freddy's suggestion, here are the overnight swap (OIS) fixings for a few currencies, along with the instruments available for curve construction: ``` Ccy Fixes on Instruments USD Fed effective FedFund contracts, then OIS EUR EONIA Meeting to meeting (ECB) and IMM-dated fwd OIS, then spot OIS GBP SONIA Meeting to meeting (MPC) fwd OIS, then spot OIS AUD RBA IBOC 30 day IB contracts (like FedFunds), then OIS ``` The following all just have spot OIS available, as far as I know: ``` Ccy Fix CAD (COInS) BoC Overnight MM finance rate (I think) CHF TOIS DKK DKKOIS JPY TONAR PLN POLONIA ``` Depending on your role in the market and access to market data etc, the spot OIS past a year or two may be available either as quoted OIS rates or as OIS-3m basis swaps. ## Answer by Joshua (score 3) https://quant.stackexchange.com/a/7321 The reference rate used in Australia is the Bank Bill Swap Rate. According to Investopedia "The bank bill interest rate is the wholesale interbank rate within Australia and is published by the Australian Financial Markets Association (AFMA). It is the borrowing rate among the country's top market makers, and is widely used as the benchmark interest rate for financial instruments."
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