Hong Kong authorities look at term structure for risk-free rate

hong-kong

Hong Kong’s exchange operator is planning to develop a term structure for the market’s local risk-free rate using forward foreign exchange rates and US dollar Libor’s replacement.

The fixing would be a term proxy for the existing overnight interbank rate in Hong Kong, Honia, which currently lacks a forward curve. The structure is “based on interest rate parity”, says Bipin Patel, group risk officer at Hong Kong Exchanges and Clearing.

The move could help build an overnight index swap (OIS)

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