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RBA Glossary definition for RFRs

RFRs – risk-free rates

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Glossary

2 May 2023
A glossary of terms used on the RBA website
https://www.rba.gov.au/glossary/

Progress on Benchmark Reform

11 Apr 2019 Speech
Guy Debelle
Speech delivered by Guy Debelle, Deputy Governor, at ISDA's 34th Annual General Meeting,
https://www.rba.gov.au/speeches/2019/sp-dg-2019-04-11.html

The End of Libor and the Australian Market

18 Mar 2021 Speech
Christopher Kent
Speech delivered by Christopher Kent, Assistant Governor (Financial Markets), to ISDA Benchmark Strategies Forum Asia Pacific, Online
https://www.rba.gov.au/speeches/2021/sp-ag-2021-03-18.html

Risks to the Outlook

15 Aug 2019 Speech
Guy Debelle
Speech delivered by Guy Debelle, Deputy Governor, at the 14th Annual Risk Australia Conference, Sydney
https://www.rba.gov.au/speeches/2019/sp-dg-2019-08-15.html

Box A: The Transition Away from LIBOR

8 Apr 2021 FSR – April 2021
National bodies have identified (nearly) ‘risk-free rates’ (RFRs) to replace LIBOR in the 5 major currencies (Table A.1). ... needed to prepare for the use of alternative RFRs for LIBOR-linked exposures that extend beyond 2021.
https://www.rba.gov.au/publications/fsr/2021/apr/box-a-the-transition-away-from-libor.html

8/15/2019 Risks to the Outlook | Speeches ...

15 Aug 2019 PDF 295KB
The transition from LIBOR to alternative risk-free rates (RFRs) is accelerating internationally. ... ISDA found strong support forusing as the fall-back: the compounded RFR with an adjustment for the historical spread betweenthe RFR and LIBOR.
https://www.rba.gov.au/speeches/2019/pdf/sp-dg-2019-08-15.pdf

Material Developments | Assessment of LCH Limited's SwapClear Service-December 2019

9 Mar 2023
This has resulted in the establishment of alternative risk-free rates (RFRs) being introduced and, in some cases, reforms to existing reference rate methodologies such as BBSW in Australia. ... Through its consultations, ISDA has found there to be strong
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2019/material-developments.html

Progress on Benchmark Reform

12 Apr 2019 Speech PDF 191KB
These forward-looking rates could potentially be constructed from derivativesreferencing the overnight RFRs. ... RFR. While the development of term RFRs is desirable, it is not yet clear that they will be sufficientlyrobust.
https://www.rba.gov.au/speeches/2019/pdf/sp-dg-2019-04-11.pdf

The Transition Away from LIBOR

8 Apr 2021 FSR PDF 317KB
https://www.rba.gov.au/publications/fsr/2021/apr/pdf/box-a-the-transition-away-from-libor.pdf

Abbreviations

21 Oct 2021 PSB Annual Report – 2021
Reserve Bank of Australia. RFR. Risk-free rate. RITS. Reserve Bank Information and Transfer System.
https://www.rba.gov.au/publications/annual-reports/psb/2021/abbreviations.html