Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
Certain elements of Australia’s derivatives market could see it become an early adopter of a term risk-free rate (RFR), ahead of the US and Europe, according to a senior data vendor executive.
“The Australian market has some features that lend themselves very well to the development of a term risk-free rate. It has a long-standing risk-free rate in terms of Aonia; it has a deep overnight indexed swap market in terms of liquidity; and it’s obviously got an established futures market,” said Ross
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