Risk Free/Risk Free Cross Currency Basis Swap Conventions

20 May 2021

The New Zealand Financial Markets Association (NZFMA) had previously consulted on the introduction of conventions for RFR/RFR Cross Currency Basis Swaps. Following discussion within the NZFMA's working group the NZFMA is now in a position to publish the conventions. The updated conventions also provide guidance on the settlement of interest payments for RFR/BKBM cross currency basis swap.

The NZFMA has also take the opportunity to rename the document from Interest Rate Swap Conventions to Interest Rate Derivative Conventions, as this better reflects the content of the document. The NZFMA has also made some cosmetic changes to the document with regard to lay-out.

The revised conventions for Interest Rate Derivatives can be found here on the NZFMA website.

If you have any questions or comments please contact John Groom, john.groom@nzfma.org








Data Summary

RATES as at 22/09/2021
2pm NZDFIX
0.7023
TWI
74.9
Delayed Data

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