Search: RFRs

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RBA Glossary definition for RFRs

RFRs – risk-free rates

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Operations in Financial Markets

9 Aug 2023 RBA Annual Report - 2022 PDF 764KB
https://www.rba.gov.au/publications/annual-reports/rba/2022/pdf/operations-in-financial-markets.pdf

Developments in the Clearing and Settlement Industry

8 Oct 2023 PSB Annual Report - 2023 PDF 756KB
https://www.rba.gov.au/publications/annual-reports/psb/2023/pdf/developments-in-the-clearing-and-settlement-industry.pdf

Domestic Market Operations and Liquidity Facilities

21 Sep 2020
The cash rate is the (near) risk-free benchmark rate (RFR) for the Australian dollar.
https://www.rba.gov.au/mkt-operations/domestic-market-ops-and-standing-facilities.html

Market Operations Resources – Interest Rate Benchmark Reform in Australia

10 Mar 2023
Interest rate benchmarks are widely relied upon in global financial markets. They are referenced in contracts for derivatives, loans and securities. Reforms have also been undertaken to enhance the robustness of these benchmarks.
https://www.rba.gov.au/mkt-operations/resources/interest-rate-benchmark-reform.html

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

Financial Market Infrastructures

21 Oct 2021 PSB Annual Report - 2021 PDF 713KB
https://www.rba.gov.au/publications/annual-reports/psb/2021/pdf/financial-market-infrastructures.pdf

Developments in Foreign Exchange and Over-the-counter Derivatives Markets

16 Mar 2023 Bulletin – March 2023
Cameron Armour and Jack Beardsley
This article discusses the key results from the 2022 Triennial Central Bank Survey of Foreign Exchange and Over-the-counter Derivatives Markets.
https://www.rba.gov.au/publications/bulletin/2023/mar/developments-in-foreign-exchange-and-over-the-counter-derivatives-markets.html

Other Material Developments | Assessment of LCH Limited's SwapClear Service-December 2020

9 Mar 2023
day processing of newly-registered RFR swaps is computationally more intensive than for IBOR swaps. ... Trading activity in products referencing new RFRs has continued to increase, but remains low as a share of total OTC IRD registered in most currencies.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2020/other-material-developments.html

Payments System Board Annual Report 2021

21 Oct 2021 PSB Annual Report - 2021 PDF 1811KB
https://www.rba.gov.au/publications/annual-reports/psb/2021/pdf/psb-annual-report-2021.pdf

Reserve Bank of Australia Annual Report 2023

8 Feb 2024 RBA Annual Report - 2023 PDF 9570KB
https://www.rba.gov.au/publications/annual-reports/rba/2023/pdf/rba-annual-report-2023.pdf