NZFBF Market Notice

Market Notice No: 202201
Date: 07 March 2022

Consultation Summary Feedback & Next Steps – Bank Paper Maturity Convention

The New Zealand Financial Benchmark Facility Limited (NZFBF) issued a consultation on 13 December 2021 on a proposed change to the maturity convention used for short-term bank paper (i.e., with a maturity of <12 months). Today, NZFBF is releasing a summary of the feedback received from the consultation and the next steps.

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 proposed changing the maturity convention from the current early/late to the actual maturity date + 5 business days. The consultation document provided more detail on both the current and proposed conventions. The consultation document can be found on the NZFBF website.

The consultation closed on Monday 31 January 2022 and since this time NZFBF has been assessing the feedback and having further discussions within NZFBF, with the NZFMA and its Rates committee and with the BKBM price-makers. The summary of the feedback and next steps can be found on the NZFBF website. The next steps are:

• The maturity convention for bank paper will change from early/late to actual maturity date +5 business days for primary issuance and actual maturity date -5/+5 business days for secondary issuance. 
• The convention change will be implemented in a two-month time frame on Monday 9 May 2022.

We encourage all recipients of this release to share this information with the relevant people within your organisation and with any clients who may be impacted.

The bank paper maturity convention change has no impact on the methodology used to calculate BKBM or the processes to publish and distribute the benchmark.

If you have any questions in the interim, please contact the NZFBF team.