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Fixing offset in AUD swaps

Posted: January 4th, 2019, 3:22 pm
by BerndSchmitz
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

Re: Fixing offset in AUD swaps

Posted: January 4th, 2019, 9:03 pm
by bearish
I cannot claim to have current expertise on Aussie swaps but, for what it’s worth, Bloomberg SWPM defaults to 0 days.

Re: Fixing offset in AUD swaps

Posted: January 5th, 2019, 2:38 pm
by DavidJN
Commonwealth countries (UK, Canada, Aussie, New Zealand) tend to have a zero day lag, that is fixing dates are the same as value dates.

Re: Fixing offset in AUD swaps

Posted: January 7th, 2019, 7:49 pm
by riskneutralprob
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.

Re: Fixing offset in AUD swaps

Posted: January 8th, 2019, 11:36 am
by BerndSchmitz
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?

Re: Fixing offset in AUD swaps

Posted: January 8th, 2019, 1:57 pm
by riskneutralprob
[img]file://.d:/temp/audswap5y_2fltleg.gif[/img][img]file:///d:/temp/audswap5y_1.gif[/img]

Re: Fixing offset in AUD swaps

Posted: January 8th, 2019, 2:00 pm
by riskneutralprob
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.

Re: Fixing offset in AUD swaps

Posted: January 11th, 2019, 9:42 am
by HarryHancock
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