Interest Benchmark Definitions

Fed Funds Effective (USD only) is the volume weighted average of the transactions processed through the Federal Reserve between member banks. It is intended to reflect the best estimate of interbank financing activity for Reserve Bank members and is the reference for many short term money market transactions in the broader market.

LIBOR (many currencies) stands for London Inter-Bank Offered Rate. It is a daily fixing for deposits with durations from overnight to 1 year and is determined by a group of large London banks. It is the most widely used measurement for interest rates on most currencies outside the domestic market(s).

EONIA (EUR only) is the global standard for overnight Euro deposits and is determined by a weighted average of the actual transactions between major continental European banks mediated through the European Central Bank.

HIBOR (CNY and HKD) is a daily fixing based on a group of large Hong Kong banks. The same methods and durations are set as for LIBOR currencies.

KORIBOR (KRW only) is an average of the leading interest rates for KRW as determined by a group of large Korean banks. The benchmark utilizes the KORIBOR with 1 week maturity.

STIBOR (SEK only) is a daily fixing based on a group of large Swedish banks. The same methods and durations are set as for LIBOR currencies.

TIIE (MXN only) is the interbank "equilibrium" rate based on the quotes provided by money center banks as calculated by the Mexican Central Bank. The benchmark TIIE is based on 28-day deposits so is atypical as a measure for short term funds (most currencies have an overnight or similar short term benchmark).

Overnight (O/N - CZK, HUF, ILS and SGD) rate is the most widely used short term benchmark and represents the rate for balances held from today until the next business day.

Spot-Next (S/N - DKK only) refers to the rate on balances from the next business day to the business day thereafter. Due to time zone and other criteria, Spot-Next rates are sometimes used as the short-term reference.

Day-Count conventions: it is beyond the scope of this document to describe day-count conventions and their use in interest calculations. IB conforms to the international standards for day-counting wherein deposits rates for most currencies are expressed in terms of a 360 day year, while for exceptional currencies (ex: GBP) the convention is a 365 day year.