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Jibar: Post-trade Disclosures
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The JIBARs were established in the 1990s as benchmarks for short-term money market activities in South Africa. The money market activities are systemic to the funding needs of the domestic banking system, whereby local banks issue tradable money market instruments such as NCDs and Floating Rate Notes (FRNs) to support their funding needs.
JIBAR is determined by the average of the bid and offer rates (redemption and deposit taking rates) provided by local bank Contributors for both primary and secondary market trade in NCDs. The determination process is administered by the Johannesburg Stock Exchange (JSE Ltd) who collates each contributing banks indicated bid and offer rates, discards the top and bottom twenty five percentiles and aggregates the remaining contributions to arrive at the official benchmark reference rates for the 1, 3, 6, 9 and 12 month JIBAR for each business day in South Africa.
The JIBARs are a formal reflection of the aggregate real time pricing commitments of Contributing banks for volumes of up to R100m per trade (as regulated) for investors to either invest new funds or redeem existing investments in NCDs, informally these pricing commitments go well beyond R100m.
Source: Strate
