Cross Currency Basis Swap Convention and Closing markets

NZFBF Market Notice

Market Notice No: 202103
Date: 13 October 2021

Cross Currency Basis Swap Convention and Closing markets

Given the recent wholesale market transition from USD LIBOR to SOFR, the New Zealand Financial Markets Association (NZFMA) is moving the convention for Interdealer Cross Currency Basis Swaps in the New Zealand wholesale markets from LIBOR/BKBM to SOFR/BKBM. The NZFMA and its members see this step as a transition to SOFR/OCR Cross Currency Basis Swaps at a later date. These changes are reflected in the NZFMA’s Interest Rates Derivative Conventions which can be found on their website.


As a result of this change, the New Zealand Financial Benchmark Facility (NZFBF) has today implemented three new Closing Rate markets. They are SOFR/BKBM, NZD Bills/OIS (BOBs) and SOFR/OCR. These Closing Rate markets will be available to current subscribers under their existing subscription fee. The Closing Rate Operating Guidelines and Principles, and the relevant Methodology documents can be found on the NZFBF’s website.     

If you have any questions or comments regarding the above, please email or phone (+64 4 333 1387) John Groom, General Manager NZFBF.