Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
Certain elements of Australia’s derivatives market could see it become an early adopter of a term risk-free rate (RFR), ahead of the US and Europe, according to a senior data vendor executive.
“The Australian market has some features that lend themselves very well to the development of a term risk-free rate. It has a long-standing risk-free rate in terms of Aonia; it has a deep overnight indexed swap market in terms of liquidity; and it’s obviously got an established futures market,” said Ross
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Are market-makers better at dealing with central bank intervention?
Lack of pain following BoJ intervention suggests dealers are better at handling event risk
MassMutual adds to mammoth interest rate swaps book
Counterparty Radar: Firm was responsible for 28% of US life insurers’ notional aggregate in Q4 2023
Europe’s FXPBs take advantage of margin rule carve-out
Some big FX options users have switched to dealers capitalising on regulatory mismatch
Breaking out of the cells: banks’ long goodbye to spreadsheets
Dealers are cutting back on Excel amid tighter regulation and risk concerns
FXSpotStream looks to growth products beyond spot
New chief exec Jeff Ward highlights NDFs and FX swaps as next boom area for the venue
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Most read
- Breaking out of the cells: banks’ long goodbye to spreadsheets
- Too soon to say good riddance to banks’ public enemy number one
- Industry calls for major rethink of Basel III rules