Date: 30 June 2008
Embargo: For Immediate Release
HEDGE SETTLEMENT RATE AUSTRALIA (HSRA)
AFXC, in conjunction with the Australian Financial Markets Association (AFMA) and ACI Australia, announced today the introduction of new methodology and timing for calculation of an Australian dollar reference rate.
WM/Reuters has provided access to its hourly calculations of reference rates for global currencies. Under this arrangement, a reference rate for the Australian dollar against the US dollar will be published electronically at 10.00 am and 4.00 pm Sydney time each day. From 1 July 2008, the WM/Reuters Australian Fix 10.00 am rate will replace the Hedge Settlement Rate which was published each morning at 9.45 am Sydney time.
The rates are available via the following outlets and notations:
- Reuters RICs:
- Reuters pages:
- HSRA (from 1 July)
- ACI Australia website
- AFMA website
- Bloomberg HSUSRA
About the Hedge Settlement Rate
When the ‘hedge’ market (non-deliverable forward) began in Australia in the mid 1970s it was necessary to establish a daily reference rate against which transactions could be measured for settlement of differences in Australian dollars. Calculation of a ‘Hedge Settlement Rate’ was established and published electronically each morning with the rate capture focussing on 9.45 am.
During the 1980s and 1990s the rate was calculated by taking readings from a number of banks around this time, topping and tailing them and calculating the mean of the remainder.
There were various refinements to this process over the years, the most recent of which was to have the rate calculated based on the mean of all live updates on the Reuters D3 deal matching system, between 9.43 am and 9.45 am. The new calculation uses an internationally accepted calculation method and can be used with other spot and forward rates available from WM/Reuters calculated at the same time, to allow market participants a complete revaluation package.
Established in 1994, WM/Reuters is a joint-venture of The World Markets Company plc, a wholly owned subsidiary of State Street Corporation, and Thomson Reuters. It is universally accepted as a leading provider of independent foreign exchange valuation rates.
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