Skip to content
All library documents

How BBSW and AUD LIBOR Differ as Interest Rate Benchmarks

Article Quant Q&A · Author: Cattie
Read the original

Summary

The answer contrasts the former Australian dollar LIBOR benchmark with BBSW by describing how each rate was formed. BBSW is quoted by major Australian banks and is based on prices for discounted securities. The former AUD LIBOR, by contrast, relied on submissions from a partly overlapping group of contributors about a hypothetical interbank loan or deposit rate.

The response notes that AUD LIBOR is no longer quoted, but it does not discuss the circumstances or timing of its cessation in detail. It clarifies that BBSW has an interbank-related contributor base, while its underlying price reference differs from LIBOR’s theoretical lending and deposit quotes. The brief answer does not assess BBSW’s suitability as a replacement benchmark, its governance, or how either rate is used in specific financial contracts.

Key ideas

  • BBSW is based on prices for discounted securities and is quoted by major Australian banks.
  • Former AUD LIBOR was based on theoretical loan or deposit rate submissions.
  • The contributor groups for the two benchmarks overlapped only partly.
  • The answer states that AUD LIBOR is no longer quoted but does not assess BBSW’s replacement role.

Tags

Fixed incomeMulti-asset
Full text
# What is the difference between BBSW and AUD LIBOR?


# What is the difference between BBSW and AUD LIBOR?












I understand that BBSW is the reference rate for financial instruments while AUD LIBOR is the interbank rate benchmark. However, since AUD LIBOR has been discontinued due to the rigging scandal, can BBSW be considered as an interbank benchmark rate in Australia?

## Answer by imanuelcostigan (score 1)

https://quant.stackexchange.com/a/16556

AUD LIBOR is no longer quoted. See list of fixes: https://www.theice.com/iba/libor

AUD BBSW is quoted by prime AU banks and is based on the price of a discounted security while what was formerly the BBA AUD LIBOR was based on quotes by a different (but overlapping) set of rate contributors on a theoretical loan/depo.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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