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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?

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3 Answers 3

up vote 2 down vote accepted

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.

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Thanks Freddy. I was searching online to notice a particular named rates for Australia. I saw the norm Australian Dollar LIBOR rates, then I had the impression it's talking about LIBOR again.. So is it correct to concluse that there's no dedicated local name for Australian Interbank Rate? Appreciate the additional points as well. –  bonCodigo Feb 17 '13 at 13:59
    
I do not know of any for Australia such as TIBOR for Japan. Hence, the term AUD Libor. –  Matt Wolf Feb 17 '13 at 14:02
    
Except BBSW? afma.com.au/data/bbsw.html –  Phil H Feb 18 '13 at 10:56
    
BBSW is an Australian interbank rate but is more rarely used than AUD Libor, especially each time a non Australian bank is involved in the deal. BBSW is essentially similar to a Prime Rate except that prime defines the credit quality of banks rather than the bank's clients. In any way, my last comment was referring to the OP's question what the Australian Interbank Rate is generally called, to which I responded that one of the Interbank Rates, AUD Libor, does not enjoy any goofy abbreviation such as the Yen rates among others. –  Matt Wolf Feb 18 '13 at 11:02
    
Agree. I've added an answer with domestic/international conventions as far as I'm aware of them. –  Phil H Feb 18 '13 at 12:30

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)

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.

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While I laud your effort, interbank loans are not negotiated by the respective treasury offices in a "free to use whatever" type of fashion. It is Libor and for AUD denominated loans it is AUD Libor and not BBSW, even in the US it is not Fed Funds but dollar Libor. We are talking about banks settling hundreds of millions and many times billions of dollars between each other on a daily basis. We are not talking about deposits by the bank with the Fed. –  Matt Wolf Feb 18 '13 at 13:44
    
Perhaps you're right on AUD; I only know that we had to change from LIBOR to BBSW because we had 'the wrong fixing'; that may have been for an Aussie client. A few sites note BBSW being standard rather than LIBOR. I'm aware of the users of these fixings..! OTC is by choice; if you look at the EUR IRS rates quoted on Reuters and Bloomberg, some are EURIBOR, some are LIBOR fix. They don't always tell you, and each bank might standardise on one. Some European banks have started using the USD EURIBOR fix for USD. Caveat: we are London-based, NY may be different. –  Phil H Feb 18 '13 at 14:33
    
but you are talking about interest rate swaps. Those are instruments dealt between banks and corporate clients. Not for settlement of overnight as well as longer term loans between two banks, hence the term inter-bank loan which this topic is about. –  Matt Wolf Feb 18 '13 at 14:35
    
Good point, I didn't think the questions was about actual interbank lending, who does that these days? The swap market dwarfs depos. I just assumed the question was about fixings. –  Phil H Feb 18 '13 at 14:45
    
who does it? Every bank you can think of, from the smallest mom and pop shop until the largest tier 1 megabanks settle amounts from the tens of millions to tens of billions in whatever currency you can imagine at every single day. I am willing to bet (though cannot prove it ;-) that not one day over the last 10 years went by in which at least one investment bank or banking institution did not settle interbank loans. Liquidity and cash management is the bread and butter of every financial institutions treasury department. Just to give some perspective. –  Matt Wolf Feb 19 '13 at 5:30

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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Indeed, BBSW is the preferred fixing in Australia, so if you are trading domestic AUD swaps, they are likely to be BBSW-fixed, not AUD Libor fixed. –  Phil H Feb 18 '13 at 10:56
    
What about a cross currency swap? e.g. SGD/AUD assuming fix leg is in SGD and variable on AUD, what could be used? AUD Libor or BBSW? (ps: didn't notice there has been other answers here) [also with reference to your comment on : Good point, I didn't think the questions was about actual interbank lending, who does that these days? The swap market dwarfs depos. I just assumed the question was about fixings] –  bonCodigo Feb 21 '13 at 14:50
    
Yes, it could be AUD Libor or BBSW. I would guess BBSW unless you have reason to think differently, particularly for an Australian bank. Note that having a fixed leg in either currency is not usual as far as I know. Both legs float, each on the appropriate index, and the basis is added to usually the lower-ranking currency, in this case SGD. If you have a question about that, ask it as a new question and we'll try to answer! –  Phil H Feb 22 '13 at 9:30

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