BKBM Waterfall Calculation Update

NZFBF Market Notice

Market Notice No: 202204
Date: 25 October 2022

BKBM Waterfall Calculation Update

New Zealand Financial Benchmark Facility Limited (NZFBF) has recently undertaken the annual review of the Bank Bill Reference Rate (BKBM), in consultation with a BKBM working group. This review encompassed the day-to-day operations of BKBM, the Operating Rules and Principles, and the Calculation Methodology, including the Waterfall.


The outcome of this review was that the BKBM Benchmark determination process remains appropriate and adheres to the IOSCO Principles, where applicable. There was however, one technical change that resulted from the review and several minor changes to the BKBM Operating Rules and Principles.


This technical change is as follows:

- Amendment of the BKBM Waterfall (step 2) to include the use of one-sided quotations (bids or offers) in the calculation process. This amendment was made to incorporate the use of all available data during the rate-set to calculate BKBM.


For more information on this change, please refer to the updated Bank Bill Benchmark Rate (BKBM) Operating Rules and Principles (sections 8.1, Appendix IV & Appendix V). This can be found here or on the NZFBF Website.


These changes will be enacted from Monday 14 November 2022.


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