Non-Material Changes to the Closing Rate Benchmarks

NZFBF Market Notice

Market Notice No: 202203
Date: 26 July 2022

Non-Material Changes to the Closing Rate Benchmarks 

New Zealand Financial Benchmark Facility Limited (NZFBF) has recently undertaken the annual review of the Closing Rate Benchmarks, in consultation with the relevant NZFMA committees. This review encompassed the day-to-day operations of the Closing Rates, the Operating Rules and Guidelines, as well as the methodologies for each Closing Rate market.


The outcome of this review was that the Closing Rate process is operating well and remains representative of the benchmarks they intend to represent. There were however, two non-material changes that resulted from the review.


These non-material changes are as follows:

  • All Closing Rate benchmarks to be rounded to 4 decimal places, to the nearest quarter basis point (aligns with NZSW and NZOS).
  • The addition of 25- and 30-year tenors in the interest rate swap market (NZSW).


These changes will be enacted from Monday 08 August 2022.


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