What’s happening to BBSW

What’s happening to BBSW

This article will discuss the issues with BBSW fixings and look at movements in the BBSW to OIS spread and the BBSW tenor spreads over the last couple of years to show how changes in the market structure have affected it. Also, to demonstrate that Australia is not the...
Sourcing Credit Spreads For CVA

Sourcing Credit Spreads For CVA

The valuation of derivatives under IFRS 13 has introduced the notion of non-performance risk. According to the standard, “this includes, but may not be limited to, an entity’s own credit risk”.  In practice this has led to a requirement for credit adjusted valuations...
Where to next for the Chinese Yuan?

Where to next for the Chinese Yuan?

After the sudden devaluation in the yuan in August last year which led to market ructions, the currency has been more volatile.  This article will discuss the moves in the yuan since then against the USD and the CFETS RMB index and highlight some issues to consider...
Is anything uncorrelated?

Is anything uncorrelated?

For corporates who wish to hedge in the foreign exchange market and wish to exercise some discretion as to timing and/or hedging ratios, it is important to understand what is driving exchange rates in the short, medium and long term. To do this, it is useful to be...
Are negative rates coming to Australia?

Are negative rates coming to Australia?

Switzerland, Sweden, Denmark, the Euro zone and most recently Japan, all have a negative interest rate policy. This means that their central banks charge commercial banks to hold their cash overnight. Even in the US, the probability of negative rates in two years’...

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