RDP 2026-03: Designing an Efficient Reference Rate: Lessons from SOFIA Appendix A: Supplementary Information

James Brugler, Calebe de Roure, Marta Khomyn, Max Prakoso and Talis Putniņš

June 2026

Table A1: Comparison of Reference Rates – Expert Judgement and Related-party Transactions
Reference rate Threshold for expert judgement Related-party transactions
BBSW (Australia) Yes – $100 million, three trades and four counterparties No
AONIA (Australia) Yes – $500 million, three trades and four counterparties No
SOFR (US) No No
SONIA (UK) Yes – the volume of SONIA-eligible transactions is < 70% of the mean of the previous five business days for which SONIA has been calculated in line with the statement of methodology No
€STR (euro area) Yes – the number of reporting banks is less than twenty; or five banks account for 75% or more of total transaction volumes No
SARON (Switzerland) No No
TONAR (Japan) No No
CORRA (Canada) Yes – if the trimmed volume is below C$3 billion No

Sources: ASX; Bank of Canada; Bank of England; Bank of Japan; European Central Bank; Federal Reserve Bank of New York; Reserve Bank of Australia; Swiss National Bank.

Table A2: Variables Description
Variable Description
Time series
Noise (per cent) Absolute value of estimated noise term; SOFIA – efficient rate
No of related-party transactions Number of related-party transactions
HHI (values between 0 to 100) Herfindahl-Hirschmann Index; sum of (transaction volume / market volume)2 × 100
Bid-ask 3-year (per cent) Bid-ask spread of 3-year Australian Government securities
Hui-Huebel ratio Hui-Huebel liquidity ratio; (SOFIAMax – SOFIAMin) / SOFIAVolume
Amihud ratio Absolute value of Amihud illiquidity ratio; ((SOFIA – L.SOFIA) / SOFIAVolume) × 100
Market volume (log) Sum of all SOFIA-eligible transaction volume
Panel data
Noise (per cent) Absolute value of estimated noise term; transaction rate – efficient rate
Related-party dummy Dummy variable that takes the value 1 if transaction is between related parties
Market share (values between 0 and 1) Transaction volume / total SOFIA-eligible market volume
Transaction volume (log) Log dollar amount of haircut-adjusted transaction size
Figure A1: Binned Scatter Plot after New Treatment of Holidays
Figure A1: Binned Scatter Plot after New Treatment of Holidays - A four-panel binned scatter plot (two rows, two columns) relating benchmark noise (vertical axis) to liquidity measures after removing NSW Labour Day and Bank Holiday observations, with a fitted line in each panel. The left column shows the full sample and the right column zooms in on the bottom 5 percentile of observations. Top row, transaction volume: noise is low and broadly flat across the range, with no spike at low volumes. Bottom row, number of trades: noise is low and stable, and in the zoomed panel the fitted line is hump-shaped, peaking around 30 to 35 trades before declining, with no spike at the low end. With holiday observations removed, the sharp low-liquidity noise spike seen in Figure 9 no longer appears.

Sources: ASX; Authors' calculations.