Bank Paper Maturity Convention

The New Zealand Financial Benchmark Facility Limited (NZFBF) are consulting on a proposed change to the maturity convention used for short-term bank paper (i.e., with a maturity of <12 months).


Bank paper is quoted and transacted in the BKBM two-minute rate-set window, between 10:20 and 10:22am, to set the benchmark. There is also an interbank market. The consultation proposes changing the maturity convention from the current early/late to the actual maturity date -/+ 5 business days. The consultation document provides more detail on both the current and proposed conventions.

Please download the consultation document here