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

22 February 2021

The New Zealand Financial Markets Association consulted on proposed inter-dealer cross currency swap market conventions for risk free rates (RFR) at the end of 2020. The NZFMAs' Working Group and Rates Committee have recently reviewed the feedback and considered the next steps.

The NZFMA is now in a position to publish a summary of the feedback received, the proposed changes to the conventions as a result of that feedback and the next steps.

Link HERE to the summary document. The NZFMA is inviting final comment on the current proposal, for a short period. Submissions should be sent, via email, to by 5.00pm Friday, 26 February 2021.

Data Summary

RATES as at 7/10/2022
Delayed Data

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