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
JPY TONAR ON ACT/365 JPTO 1 No
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 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 (Chapter~\ref{ChapTransition}). 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\index{European Central Bank}\index{Central bank!Europe|seeonly{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

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/

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


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
DKK CIBOR 1W--12M ACT/360 2
EUR EURIBOR 1W--12M ACT/360 2
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

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/

In progress !


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
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 "gliches" in the list or to propose new information.

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