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BerndSchmitz
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Posts: 242
Joined: August 16th, 2011, 9:48 am

Fixing offset in AUD swaps

January 4th, 2019, 3:22 pm

Hi,

I'm looking for any AUD swaps experst out here. My question: In a standard AUD fix-float swaps, how many days prior to each period's start does the AUD-LIBOR rate fix? According to Marc Henrard's convention guide it's -1D. However, all our AUD swaps (admittingly we only have very few of them) have 0D - even the ones coming throug MarkitWire (so I would consider this information to be reliable).

So what is the standard? -1D or 0D?

Thanks,
Bernd
 
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bearish
Posts: 4631
Joined: February 3rd, 2011, 2:19 pm

Re: Fixing offset in AUD swaps

January 4th, 2019, 9:03 pm

I cannot claim to have current expertise on Aussie swaps but, for what it’s worth, Bloomberg SWPM defaults to 0 days.
 
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DavidJN
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Joined: July 14th, 2002, 3:00 am

Re: Fixing offset in AUD swaps

January 5th, 2019, 2:38 pm

Commonwealth countries (UK, Canada, Aussie, New Zealand) tend to have a zero day lag, that is fixing dates are the same as value dates.
 
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riskneutralprob
Posts: 37
Joined: December 16th, 2005, 5:16 pm

Re: Fixing offset in AUD swaps

January 7th, 2019, 7:49 pm

I think it used to be a 1 day rate fixing lag when the reference rate was LIBOR.  I think they switched to BBSW with a 0 day rate fixing lag.
 
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BerndSchmitz
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Posts: 242
Joined: August 16th, 2011, 9:48 am

Re: Fixing offset in AUD swaps

January 8th, 2019, 11:36 am

I think it used to be a 1 day rate fixing lag when the reference rate was LIBOR.  I think they switched to BBSW with a 0 day rate fixing lag.
Interesting. Is it possible that they stuck to the old spot lag of a swap of 1D (i.e. if you enter a swap today, the first period starts in 1D), but the BBSW rate now fixes with a lag of 0? This would, however, imply that the first floating rate is not yet fixed when the you enter into the swap - something that I find unusual but not impossible. Does anybody know for sure?
 
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riskneutralprob
Posts: 37
Joined: December 16th, 2005, 5:16 pm

Re: Fixing offset in AUD swaps

January 8th, 2019, 1:57 pm

[img]file://.d:/temp/audswap5y_2fltleg.gif[/img][img]file:///d:/temp/audswap5y_1.gif[/img]
 
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riskneutralprob
Posts: 37
Joined: December 16th, 2005, 5:16 pm

Re: Fixing offset in AUD swaps

January 8th, 2019, 2:00 pm

I looked again on bloomberg and in the description of the AUD 5Y Swap, it actually says the Fixing Lag on the Float Leg is 2 business days.  Sorry I tried to post the screenshot but it failed to post.
 
HarryHancock
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Joined: January 11th, 2019, 9:35 am

Re: Fixing offset in AUD swaps

January 11th, 2019, 9:42 am

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