Closes

This service provides Closing Rates that represent the mid-rates for pre-approved and eligible instruments and tenors. The Closing Rates are sourced from live and deal-able two-way quotations extracted from Bloomberg ALLQ pages at 16:32 NZST every Business Day. Closing rates are determined each business day for the following markets:

 

NZ Government Bonds (NZGS) - The New Zealand Government Bond Closing mid-rate represents the outright yield for a selected range of government issued maturities traded in the local New Zealand Market.

 

NZ Interest Rate Swaps (NZSW) – The New Zealand Interest Rate Swap Closing mid-rate represents pricing of a market standard interest rate swap for a range of different tenors, where the periodic floating rate payment is based on BKBM.

 

NZ Overnight Indexed Swaps (NZOS) – The Overnight Indexed Swap Closing mid-rate represents pricing of an interest rate swap for a range of different tenors, where the periodic floating payment is based on a return calculated from a daily compound of the overnight cash rate.

 

NZD/USD Basis Swaps (NZBL) – The NZD/USD Basis Swap Closing mid-rate represents the basis floating rate differential between USD Libor funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to BKBM.

 

NZD Bills/OIS Basis Swap (NZBO) - The NZD Bills OIS Basis Swap Closing mid-rate represents the differential between OCR and the equivalent tenor BKBM (flat), expressed as a margin in basis points plus or minus to OCR. 

 

RFR/BKBM Basis Swap (NZBR) - The NZD/USD Basis Swap Closing mid-rate represents the basis floating rate differential between USD SOFR funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to BKBM.

 

RFR/RFR Basis Swap (NZRR) - The NZD/USD Basis Swap Closing mid-rate represents the basis floating rate differential between USD SOFR funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to OCR

 

NZ Credit Markets (NZNG) - The New Zealand Credit Markets Closing mid-rates represent pricing in outright yield on a range of Corporate, Local Authority and Kauri fixed income instruments as well as pricing for Floating Rate Notes.

 

Operating Guidelines and Principles can be found here.