Johannesburg Interbank Average Rate (JIBAR)

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Johannesburg Interbank Average Rate (JIBAR)

The Johannesburg Interbank Average Rate (JIBAR) is South Africa’s primary short-term money market benchmark. It exists in one-, three-, six- and 12-month terms, with the three-month JIBAR the most commonly used reference for pricing loans, deposits and short-term derivatives. Lenders often quote borrowing rates as “JIBAR + margin” (for example, “JIBAR + 3%”), so movements in JIBAR directly affect borrowing costs.

How JIBAR is calculated

  • Participating banks submit bid and offer rates for negotiable certificates of deposit (NCDs) with face values of at least 100 million rand.
  • For each submitting bank a mid-rate (the midpoint between its bid and offer) is computed.
  • The two highest and two lowest mid-rates are discarded.
  • The remaining four mid-rates are averaged to produce JIBAR.
  • The Johannesburg Stock Exchange calculates and publishes JIBAR daily. The rate is determined as a yield and then converted to a discount rate appropriate for NCD pricing.

Main uses

  • Pricing of bank-issued NCDs and other short-term instruments.
  • Reference for floating-rate loans, mortgages and corporate debt (e.g., quoted as “three‑month JIBAR + spread”).
  • Input for FX forwards and domestic fixed deposit pricing (as a component of funding cost).
  • Underlying rate for short-term interest rate futures (STIR) traded on exchanges.

JIBAR derivatives (STIR futures)

  • Three-month JIBAR is the underlying for South African short-term interest rate futures.
  • The contract settlement value is expressed as 100 minus the three-month JIBAR at expiry. Consequently:
  • If market participants expect higher future JIBAR, futures prices fall and traders may short the contract.
  • If they expect lower future JIBAR, futures prices rise and traders may go long.
  • These contracts are used by hedgers to manage interest-rate risk and by speculators for directional exposure.

Historical context and equivalents

  • The current reference-rate system evolved from earlier bank-bill reference rates in the 1990s; the term JIBAR has been in use since the system was formalized in the late 1990s.
  • From 1999 through 2020 the three-month benchmark averaged roughly 8.19%, with historic extremes including an approximate high near 16.96% and a low near 5.06%.
  • Comparable short-term interbank benchmarks elsewhere include LIBOR, EURIBOR and other national interbank offered rates.

Where to find JIBAR

  • JIBAR is published daily by the Johannesburg Stock Exchange and is available from market data providers (e.g., Bloomberg, Refinitiv).

Key takeaways

  • JIBAR is South Africa’s principal short-term interest benchmark (1–12 months); three-month JIBAR is the most widely used.
  • It is calculated from submitted bid/offer mid-rates for large NCDs, with outliers removed before averaging.
  • JIBAR underpins pricing for NCDs, floating-rate loans and short-term interest-rate futures, and is a key indicator of money-market borrowing costs.