Consultation on Inter-Dealer Cross Currency Swap Market Conventions for Risk Free Rates

20 November 2020

The New Zealand Financial Markets Association are consulting on proposed inter-dealer cross currency swap market conventions for risk free rates (RFR). There is a strong expectation from Regulators that USD and GBP LIBOR benchmarks will not occur in new derivative contracts past June 2021. Therefore, it is likely that participants in the Cross-Currency Swap market may look to move away from LIBOR based fixings on the USD leg of the swap as preferences for the USD Secured Overnight Funding Rate (SOFR) benchmark evolve.

This consultation discusses the establishment of RFR/RFR Cross-Currency Swaps in New Zealand and the conventions that should apply to the NZ dollar leg.

The consultation document can be found here. Formal submissions are invited, via email, to by 5.00pm Friday, 11 December 2020. Should you have any initial questions or comments please contact John Groom, Director Operations and Compliance, NZFMA -

Data Summary

RATES as at 26/09/2023
Delayed Data

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