Sarb says new interest rate benchmarks may be calculated with ‘actual’ transactions
Current benchmark rate based on flawed market data, South African central bank says
The method used to calculate the Johannesburg Interbank Average Rate (Jibar) will probably be “phased out”, according to a statement from the South African Reserve Bank.
Jibar is currently based on flawed market data, Sarb said this August after investigating how the rate is compiled.
“There is general acceptance that risk-inclusive reference rates should be used for the pricing of unsecured on-balance sheet (Jibar-linked) items and that risk-free reference rates should be used for derivative
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