Non-deliverable forwards: impact of currency internationalisation and derivatives reform

Robert McCauley and Chang Shu

BIS Quarterly Review, 2016

Abstract: Global turnover in non-deliverable forwards (NDFs) continues to rise in aggregate. But the paths of NDF markets have diverged across currencies: renminbi internationalisation has led to rapid displacement of NDFs by deliverable forwards, while the NDF market has retained or even gained in importance in other emerging market economy currencies. Policy reforms to reduce systemic risk in derivatives markets are changing the microstructure of the NDF market.

Date: 2016
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