NZFBF Evaluating Replacement Interest Rate Benchmark

NZFBF Benchmark Update


Benchmark Update No: 012023

Date: 14 June 2023

NZFBF Evaluating Replacement Interest Rate Benchmark


New Zealand Financial Markets Association, as benchmark owner, and New Zealand Financial Benchmark Facility Limited (NZFBF), as benchmark administrator, are evaluating options for establishing an interest rate benchmark to potentially replace BKBM.

NZFBF has formed a Working Group (WG), consisting of BKBM price-makers and benchmark users, to identify suitable potential replacement benchmarks, taking into account the FMA’s Regulations for Benchmark Administrators, the IOSCO Principles for Financial Benchmarks and global benchmark developments.

BKBM will continue to operate as usual, and no decision has been made to cease its production.


Why are we undertaking this work?

Traded volumes in the BKBM rate-set window have been in gradual decline for several years increasing the instances where BKBM’s determination requires the use of executable bids and offers. While this practice aligns with the IOSCO Principles for Financial Benchmarks, the reduction in transaction volumes is not desirable.

Most international jurisdictions, including the US and the UK, have moved to risk-free or near risk-free benchmark rates which are determined using a market that has large transaction volumes. While New Zealand interest rate markets are smaller than most of their international counterparts, New Zealand would ideally have an interest rate benchmark that has higher transaction levels than those currently seen in BKBM. There may be merit in New Zealand’s key benchmark aligning with the new risk-free benchmarks in other key jurisdictions. 

This work does not constitute a public statement, nor publication of information, that current benchmarks have ceased, or will cease, permanently or indefinitely.



In 2023, NZFBF, in consultation with the WG, will explore whether there are viable replacement benchmark options. Stakeholders will have an opportunity to provide feedback on these options through two rounds of formal consultation.  NZFBF expects to publish the first consultation in late June or early July 2023.


Contact Us

If you have any questions or comments, please email or phone (+64 4 333 1377) the NZFBF team.