For a number of years, AFMA published a daily AUD/USD spot reference rate known as the Hedge Settlement Rate (HSRA) promulgated through the various information vendors.
On 30 June 2008 the Australian Foreign Exchange Committee (AFXC), which operates under the auspices of the Reserve Bank of Australia, in conjunction with AFMA and ACI Australia, announced the introduction of a new methodology and timing for calculation of an Australian dollar reference rate effective 1 July 2008.
Under the new methodology WM/Reuters (a joint-venture of The World Markets Company plc, a wholly owned subsidiary of State Street Corporation, and Thomson Reuters) provides access to its hourly calculations of reference rates for global currencies. A reference rate for the Australian dollar against the US dollar is published electronically at around 10:00am and 4:00pm Sydney time each day. From 1 July 2008, the WM/Reuters Australian Fix 10:00am rate, published on page AUDFIX, replaced HSRA (previously published daily at 9:45am Sydney time).
Recognising that existing documentation in, for example, resets on cross currency swaps, would refer to “HSRA” and not “AUDFIX” and that documentation outside the International Swaps and Derivatives Association® architecture would not incorporate the ISDA Definitions and hence the “successor page” provisions, AFMA will continue to publish HSRA, the source of which from 1 July 2008, is the 10am AUDFIX rate.
The ISDA “Mark-to-market” Matrix now references “AUDFIX” as the “source page” for AUD/USD currency swaps.
The daily 10:00am AUDFIX rate is published on the AFMA website homepage, delayed by one day.
Useful links:
AFXC
AFXC Press Release – 30 June 2008
WM/Reuters Australian Dollar Fixing Definitions
HSRA Methodology (prior to 1 July 2008)
