Bank Paper Maturity Convention

NZFBF Market Notice

Market Notice No: 202202
Date: 05 May 2022

Bank Paper Maturity Convention Change – 9 May 2022

The New Zealand Financial Benchmark Facility Limited (NZFBF) reminds all interested parties that the bank paper maturity convention will change on 9 May 2022 from early/late to actual maturity date +5 business days for primary issuance and actual maturity date -5/+5 business days for secondary issuance. 

This change follows a market consultation held late 2021/early 2022. The consultation document, noted above, can be found on the NZFBF website as can the summary of the feedback and 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.

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.

To assist with the transition NZFBF has calculated the actual maturity date for the one-, three- and six-month tenors, along with the -5/+5 business days for the remainder of May 2022. This can be found here.

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.