2.1.4.60.3.1 Commentary

In Australia, the following types of transactions use a particular formula for the purposes of discounting:

  • AUD FRAs;
  • NZD FRAs; and
  • some AUD & NZD Caps, Collars and Floors.

AFMA recommends that if market participants intend to enter into these types of Transactions, then the relevant formulae should apply. The means of including the formulae depends on whether the parties are using the 2000 Definitions or 2006 Definitions. Although AFMA recommends that the 2006 Definitions are used by participants, commentary with respect to FRA Yield Discounting when participants use the 2000 Definitions is included in 2.1.4.60.3.2 "FRA Yield Discounting with 2000 Definitions". Commentary with respect to FRA Yield Discounting when participants use the 2006 Definitions is included in 2.1.4.60.3.3 "FRA Yield Discounting with 2006 Definitions".


Last Update Date 29 Jun 2011