Benchmarks

Overnight Benchmarks

Overnight benchmarks (or indices) are indices related to lending (collateralised or not) on a one day horizon. The rates are typically computed as a weighted average or median of actual transactions. The standard overnight indices for some currencies and their characteristics are summarised in the table below.

Currency Name Reference Convention Calendar Pub. lag Col.
AUD AONIA ON ACT/365 AUSY 1 No
CAD CORRA ON ACT/365 CATO 1 Yes
CHF SARON ON ACT/360 CHZU 0 Yes
CNY SHIBOR ON ACT/365 CNBE 1 No
DKK DESTR ON ACT/360 DKCO 1 No
EUR ESTR ON ACT/360 EUTA 1 No
EUR EONIA ON ACT/360 EUTA 1 No
GBP SONIA ON ACT/365 GBLO 1 No
HKD HONIA ON ACT/365 HKHK 0 No
IDR IndONIA ON ACT/360 IDJA 1 No
ILS SHIR ON ACT/365 ILTA 0 No
JPY TONAR ON ACT/365 JPTO 1 No
MXN TIIE ON ACT/360 MXMC 0 Yes
NZD OCR ON ACT/365 NZAU 0 No
PLN WIRON ON ACT/365 PLWA 0 No
SEK SWESTR ON ACT/360 SEST 1 No
SGD SORA ON ACT/365 SGSI 1 No
USD AMERIBOR ON ACT/360 USNY 0 No
USD EFFR ON ACT/360 USNY 1 No
USD SOFR ON ACT/360 USGS 1 Yes
ZAR ZARONIA ON ACT/365 ZAJO 1 No

The most common usage of those indices in interest rate derivatives is in overnight indexed swaps and in collateral interest payment.

AUD-RBA Interbank Overnight Cash Rate - AONIA

The rate is computed by the Reserve Bank of Australia (RBA). It is calculated as the weighted average of the interest rate at which overnight unsecured funds are transacted in the domestic interbank market (the cash market). The Cash Rate is also known by the acronym AONIA in financial markets.

Reference: http://www.rba.gov.au/mkt-operations/resources/cash-rate-methodology/

CAD-CORRA

CORRA is the acronym of Canadian Overnight Repo Rate Average. It measures the cost of overnight general collateral funding in Canadian dollars using Government of Canada treasury bills and bonds as collateral for repurchase transactions. It is published by the Bank of Canada. The Bank of Canada took over the calculation and publication of CORRA 15 June 2020 with a changed methodology.

Reference: https://www.bankofcanada.ca/rates/interest-rates/corra/

CHF-SARON

SARON is the acronym of Swiss Average Rate Overnight. It is based on overnight interest rate of the secured money market for CHF. The underlying quotes are transactions and quotes posted in the Swiss repo market. Its administrator is SIX Swiss Exchange. The index was introduced on 25 August 2009 (historical data available from 30 June 1999).

Reference: https://www.six-group.com/en/products-services/the-swiss-stock-exchange/market-data/indices/swiss-reference-rates.html.

CNY-SHIBOR

SHIBOR is the acronym of Shanghai Interbank Offered Rate. It is published on the technological platform of the National Interbank Funding Center in Shanghai. It is a uncollateralized wholesale interest rate calculated by arithmetically averaging all the interbank CNY lending rates offered by the price quotation group of banks with a high credit rating. It is published at 11:00 am (Beijing Time) each business day.

Reference: https://www.shibor.org/shibor/homeen/.

DKK-DESTR

DESTR is the acronym of Denmark Short-Term Rate. It is a transaction-based reference rate based on unsecured overnight deposit transactions. Danmarks Nationalbank calculates DESTR on all Danish banking days based on the specific transactions made in the Danish krone market the previous banking day. The benchmark was launched on 1 April 2022.

Reference: https://www.nationalbanken.dk/en/what-we-do/stable-prices-monetary-policy-and-the-danish-economy/destr

EUR-ESTR

ESTR is the acronym of Euro short-term rate. It is published by the European Central Bank (ECB) on each TARGET2 business day based on transactions conducted and settled on the previous business day. The benchmark is published since 1 October 2019.

Reference: https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_short-term_rate/html/index.en.html

EUR-EONIA

EONIA is the acronym of Euro OverNight Index Average. It is listed here for completeness and its relevance to the benchmark transition. The benchmark was discontinued on 1 October 2019. It was computed as a weighted average of all overnight unsecured lending transactions undertaken in the interbank market, initiated within the euro area by the contributing banks. It was calculated by the European Central Bank. The rate was published in the evening (around 19:00) of the period start date.

GBP-SONIA

SONIA is the acronym of Sterling OverNight Index Average. SONIA was introduced in March 1997. The Bank of England became its administrator in 2016. It has been reformed in 2018. The data used to calculate it to includes overnight unsecured transactions negotiated bilaterally, as well as those arranged through brokers. It is calculate as a volume-weighted trimmed mean. It is now published at 9:00 on the following business day instead of 18:00 on the same day.

Reference: https://www.bankofengland.co.uk/markets/sonia-benchmark

HKD-HONIA

HIBOR is an acronym for Hong Kong Dollar Overnight Index Average. It is owned and administrated by the Treasury Markets Association.

Reference: https://benchmark.tma.org.hk/benchmark/marketdata

IDR-INDONIA

IndONIA is the acronym for Indonesia Overnight Index Average. IndONIA is the weighted average interest rate index for unsecured overnight interbank rupiah money market transactions reported by all banks to Bank Indonesia. It is administered by Bank Indonesia and published since 1 August 2018. t is published at 19:30 WIB (Western Indonesian Time).

Reference: https://www.bi.go.id/en/fungsi-utama/moneter/indonia-jibor/default.aspx

ILS-SHIR

SHIR is the acronym of Shekel overnight Interest Rate. It is publish by the Bank of Israel since May 2022. The SHIR is equal to the Bank of Israel interest rate.

Reference: https://www.boi.org.il/en/economic-roles/financial-markets/shir/

JPY-TONAR

TONAR is the acronym of Tokyo OverNight Average Rate. It is the weighted average rate of all unsecured overnight cash transactions between financial institutions. The rate is published by the Bank of Japan (BOJ). The day count convention is ACT/365. A provisional result is publish on the evening (at 17:15 JST except on the last business day of the month where it is 18:15 JST) of the period start. The final result is published in the morning (10:00 JST) of the end date.

Reference: http://www.boj.or.jp/en/statistics/market/short/mutan/

MXN-TIIE

The Overnight TIIE Funding Rate represents the Mexican overnight secured interbank funding market for Mexican peso. It is determined solely from transaction data. It is calculated with wholesale overnight repurchase agreement (repo) transactions denominated in Mexican pesos, settled by banks and brokerage firms. It is determined as a volume-weighted median of interest rates. It is published by the Banco de Mexico.

Reference: https://www.banxico.org.mx/markets/securities-prices-and-interes.html

NZD-OCR - NZONIA

The official cash rate (OCR) is set by the Monetary Policy Committee (MPC) of the Reserve Bank of New Zealand. The interest rate payable over a given period is called realised New Zealand Overnight Index Average (NZONIA); it is term risk free rate. Realised NZONIA is a backward-looking rate based on the OCR.

Reference: https://www.rbnz.govt.nz/monetary-policy/about-monetary-policy/the-official-cash-rate

PLN-WIRON

WIRON is the acronym of Warsaw Interest Rate Overnight. Index based on actual deposit transactions that banks having the role of data contributors make with financial institutions and large companies.

Reference: https://www.gpwbenchmark.pl/indices-details

SEK-SWESTR

SWESTR is the acronym of Swedish krona Short Term Rate. It is a reference rate calculated and published by the Riksbank. SWESTR is a transaction-based reference rate based on transactions executed on the money market from one banking day to the next in Swedish kronor.

Reference: https://www.riksbank.se/en-gb/statistics/swestr/

SGD-SORA

SORA is the acronym of Singapore Overnight Rate Average. It is the volume-weighted average rate of borrowing transactions in the unsecured overnight interbank SGD cash market in Singapore between 8am and 6.15pm. It is computed by the Monetary Authority of Singapore (MAS). It is published on the MAS website the next business day at 9am.

Reference: https://www.mas.gov.sg/monetary-policy/sora

USD-AMERIBOR

AMERIBOR is the acronym for AMErican InterBank Offered Rate. It is based on overnight unsecured loans transacted on the American Financial Exchange (AFX).

Reference: https://www.ameribor.net/

USD-EFFR

EFFR is the acronym of Effective Federal Funds Rate. It is calculated as a volume-weighted median of overnight transactions reported in the FR 2420 Report of Selected Money Market Rates. It is calculated by the Federal Reserve Bank of New York. The rate is published daily since 1 July 1954. The rate is published in the morning (around 9:00 am) of the period end date.

Reference: https://www.newyorkfed.org/markets/reference-rates/effr

USD-SOFR

SOFR is the acronym of Secured Overnight Financing Rate. It is a broad measure of the cost of borrowing cash overnight collateralized by US Treasury. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”. The SOFR is calculated as a volume-weighted median. The rate is published daily -- for good business days in the USGS calendar -- since 2 April 2018. It is published in the morning (around 8:00) of the period end date.

Reference: https://www.newyorkfed.org/markets/reference-rates/sofr

ZAR-ZARONIA

The South African Rand Overnight Index Average (ZARONIA) reflects the interest rate at which rand-denominated overnight wholesale funds are obtained by commercial banks. It is published by the South African Reserve Bank. It is based on actual transactions and calculated as a trimmed, volume-weighted mean of interest rates paid on eligible unsecured overnight deposits.

Reference: https://www.resbank.co.za/en/home/what-we-do/financial-markets/south-african-overnight-index-average

Committee meetings

The overnight rates are strongly influenced by the central banks monetary policy decisions. The meeting dates of the main central banks can be found on the following sites.

Reference: http://www.federalreserve.gov/monetarypolicy/fomccalendars.htm

Reference: http://www.ecb.int/events/calendar/mgcgc/html/index.en.html

Reference: https://www.bankofengland.co.uk/monetary-policy/upcoming-mpc-dates


IBOR Benchmarks

Currency Name Maturities Convention Lag Status
AUD BBSW 1M—6M ACT/365 0
CAD CDOR 1M—12M ACT/365 2 Disc. on 2024-06-30
CHN HIBOR ON—12M ACT/36? 2
DKK CIBOR 1W—12M ACT/360 2
EUR EURIBOR 1W—12M ACT/360 2
HKD HIBOR ON—12M ACT/36? 0
IDR JIBOR 1W—12M ACT/360 ?
JPY Japan TIBOR 1W—12M ACT/365 2
JPY Euroyen TIBOR 1W—12M ACT/360 2 Disc. on 2024-12-31
NOK NIBOR 1W—6M ACT/360 2
PLN WIBOR O/N—1Y ACT/365 2
SEK STIBOR T/N—6M ACT/360 2
SGD SIBOR 1M—12M ACT/365 2 Disc. on 2024-12-31
USD AMERIBOR 1M, 3M ACT/360 2
USD BSBY O/N—12M ACT/360 2 Disc. on 2024-11-15
ZAR JIBAR 3M ACT/365 2

AUD-BBSW

BBSW is the acronym for Bank Bill Swap rate. It is administered by ASX. BBSW is characterised as an interest rate which includes a credit premium representing the market assessment of the rate paid by Prime Australian Banks. BBSW is designed to measure the price at which Prime Bank eligible securities trade in the open market between 8:30 and 10 am on a Sydney business day.

Reference: https://www.asx.com.au/connectivity-and-data/information-services/benchmarks/benchmark-data/bbsw

CAD-CDOR

CDOR is the acronym for Canadian Dollar Offered Rate. It is administered by FTSE Russell (LSEG). The last day of publication for the 6-month and 12-month CDOR tenors was Friday 14 May 2021; the last day of publication for the 3-month CDOR tenor was 30 June 2024.

Reference: https://www.lseg.com/en/ftse-russell/benchmarks/interest-rate-benchmarks/canadian-interest-rates

CNH-HIBOR

HIBOR is an acronym for Hong Kong InterBank Offered Rate. It is owned and administrated by the Treasury Markets Association.

Reference: https://benchmark.tma.org.hk/benchmark/history/cnh-hk-interbank-offered-rate

DKK-CIBOR

CIBOR is the acronym for Copenhagen InterBank Offered Rate. It is calculated from submissions received from a select group of Panel Banks in Denmark. The benchmark has 5 tenors and is published at 11:00am local time, Copenhagen each Danish banking day. It is the trimmed arithmetic mean of the Panel Bank submitted rates.

Reference: https://dfbf.dk/dfbf-benchmarks/

EUR-EURIBOR

EURIBOR is an acronym for EURo InterBank Offered Rate. EURIBOR is a critical benchmark under the EU BMR regulation. The business day convention is modified following and the end-of-month rule applies. There are 19 contributor banks. The rate are published at 11:00 a.m. (CET). It measures ``the rate at which wholesale funds in euro could be obtained by credit institutions in current and former European Union and European Free Trade Association countries in the unsecured money market''.

Reference: https://www.emmi-benchmarks.eu/benchmarks/euribor/

HKD-HIBOR

HIBOR is an acronym for Hong Kong InterBank Offered Rate. It is also called HKD Interest Settlement Rates. It is owned by The Hong Kong Association of Banks and administrated by the Treasury Markets Association.

Reference: https://www.hkab.org.hk/en/rates/hibor

IDR-JIBOR

JIBOR is an acronym for Jakarta InterBank Offered Rate. JIBOR is the average indicative unsecured lending rate offered by contributor banks to other contributor banks for rupiah lending in Indonesia with a tenor longer than overnight. It is published by Bank Indonesia.

Reference: https://www.bi.go.id/en/fungsi-utama/moneter/indonia-jibor/default.aspx

JPY-TIBOR

TIBOR is the acronym for Tokyo InterBank Offered Rate. It is published by the Japanese Bankers Association. There are two types of TIBOR: The ``Japanese Yen TIBOR'' rates reflect prevailing rates on the unsecured Japanese market; the ``Euroyen TIBOR'' rates reflect the Japan offshore market.

The JBA TIBOR is calculated based on quotes for 5 different maturities (1 week, 1month, 3month, 6month, 12 months) provided by reference banks as of 11:00. The day-count convention is ACT/365 for the domestic market and ACT/360 for the Euroyen market. The publication of all tenors of Euroyen TIBOR will permanently cease at the end of December 2024.

Reference: https://www.jbatibor.or.jp/english/rate/

NOK-NIBOR

NIBOR is the acronym for Norvegian Interbank Offer Rate. It is the term for Norwegian money market rates at different maturities. NIBOR is intended to reflect the interest rate level a bank require for unsecured money market lending in NOK to another bank. Its administratior is Norske Finansielle Referanser.

Reference: https://nore-benchmarks.com/

PLN-WIBOR

WIBOR is the acronym for Warsaw InterBank Offered Rate. It is administered by GPW Benchmark. WIBOR is a critical benchmark under the EU BMR regulation. There are 10 contributor banks. There are discussion in progress regarding the discontinuation of some or all tenors.

Reference: https://gpwbenchmark.pl/en-dokumentacja

SEK-STIBOR

STIBOR is the acronym for STockholm InterBank Offered Rate. STIBOR is a critical benchmark under the EU BMR regulation.

Reference: https://swfbf.se/stibor/

SGD-SIBOR

SIBOR is the acronym for Singapore Interbank Offered Rate. An individual ABS SIBOR contributor bank contributes the rate at which it could borrow funds, were it to do so by asking for and accepting inter-bank offers in a reasonable market size, just prior to 1100 hrs. The indexes are computed by the Association of Banks in Singapore. The 31 December 2024 will be the last day of publication for 1M and 3M SIBOR.

Reference: https://abs.org.sg/benchmark-rates/rates-sibor

USD-BSBY

BSBY is credit sensitive index administered by Bloomberg. The index is calculated from consolidated transaction data and executable quotes from primary markets in Commercial Papers, Certificate of Deposite, Bank Deposits and Short-term Corporate Bonds. The Index will cease on 15 November 2024.

Reference: https://www.bloomberg.com/professional/products/indices/bsby/

USD-AMERIBOR

AMERIBOR is designed to capture wholesale funding costs for American financial institutions over a thirty-day or ninety-day period. It is published around 18:30 CST. It is calculated using a broad data set of primary issuances of wholesale commercial deposits and commercial paper of U.S.-domiciled financial institutions.

Reference: https://www.ameribor.net/

ZAR-JIBAR

JIBAR is the acronym for Johannesburg Interbank Agreed Rate. It is published by the South African Reserve Bank.

Reference: https://www.resbank.co.za/en/home/what-we-do/statistics/johannesburg-interbank-average-rate


Discontinued IBOR Benchmarks

Currency Name Maturities Convention Lag Status
AUD LIBOR O/N—12M ACT/365 2 Disc. on 2013-05-01
CAD CDOR 1M--12M ACT/365 2 Disc. on 2024-06-30
CAD LIBOR O/N--12M ACT/365 2 Disc. on 2013-05-01
CHF LIBOR O/N--12M ACT/360 2 Disc. on 2022-12-31
DKK LIBOR O/N--12M ACT/360 2 Disc. on 2013-03-01
EUR LIBOR O/N--12M ACT/360 2 Disc. on 2022-12-31
GBP LIBOR O/N--12M ACT/365 0 Disc. on 2022-12-31
JPY LIBOR O/N--12M ACT/360 2 Disc. on 2022-12-31
JPY Euroyen TIBOR 1W--12M ACT/360 2 Disc. on 2024-12-31
NZD LIBOR O/N--12M ACT/365 2 Disc. on 2013-02-01
SEK LIBOR O/N--12M ACT/360 2 Disc. on 2013-03-01
SGD SIBOR 1M--12M ACT/365 2 Disc. on 2024-11-15
SGD SOR 1M--12M ACT/365 2 Disc. on 2023-06-30
USD BSBY O/N--12M ACT/360 2 Disc. on 2024-11-15
USD EURIBOR O/N--12M ACT/360 2 Disc. on 2013-09-01
USD LIBOR O/N--12M ACT/360 2 Disc. on 2023-06-30

AAA-LIBOR

LIBOR is the acronym for London Interbank Offered Rate. Since its creation in 1986 to the announcement of its demise in 2017, it had been the icon of interest rate benchmarks. As reported in the table above, all the LIBORs have now been discontinued. They are listed here for completeness and their relevance to the benchmark transition.

Don't hesitate to contact us if you think there are "glitches" in the list or to propose new information. Thank you to the people that have already done so and helped us to improve the list.

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