SAFA is investigating the issuance of an AONIA linked AUD Floating Rate Note.
SAFA has mandated IHS Markit as the Independent Calculation Agent for the proposed notes and UBS as Arranger for the issue.
SAFA, in conjunction with IHS Markit and UBS, conducted a series of market consultations regarding the proposed methodology.
Information regarding the proposed issue, coupon calculation methodology and product conventions can be found here. (1.33MB PDF)
An example of market pricing model can be found here. (267KB XLS)
On 2 April 2019, Standard & Poor's published an article “AONIA As An Alternative to One-Month BBSW In Australian Structured Finance Transactions” (119KB PDF) where they recommended using AONIA as an alternative interest rate benchmark.
A potential capital markets transaction may follow in 2019, subject to market conditions.
For further information please contact SAFA’s Director Treasury Services, Andrew Kennedy: email@example.com.