Market Notice No:202304
Date: 20 April 2023
New Zealand Financial Markets Association, as benchmark owner, and New Zealand Financial Benchmark Facility Limited (NZFBF), as the benchmark administrator, will cease publication of the NZBL closing rate benchmark from 1 July 2023.
The NZBL (NZD/USD Basis Swap) market represents the basis floating rate differential between USD Libor funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to BKBM (Bank Bill Benchmark Rate).
The NZBL closing rate cessation is a direct result of the USD Libor benchmark ceasing publication post 30 June 2023, as announced on the United Kingdom’s Financial Conduct Authority’s (FCA) website.
Following consultation with NZFBF’s closing rate price-makers, it was decided that the most appropriate time to cease publishing the NZBL market would be post 30 June 2023, to align with USD Libor’s permanent cessation.
NZFBF will continue to publish the following related closes:
a) RFR/BKBM Basis Swap (NZBR) - The NZD/USD Basis Swap Closing mid-rate represents the basis floating rate differential between USD SOFR funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to BKBM (Bank Bill Benchmark Rate).
b) RFR/RFR Basis Swap (NZRR) - The NZD/USD Basis Swap Closing mid-rate represents the basis floating rate differential between USD SOFR funding (flat) and the equivalent tenor NZD floating rate expressed as a margin in basis points plus or minus to OCR (Official Cash Rate).
New Zealand wholesale financial markets transitioned to the SOFR/BKBM (NZBR) Basis Swap in 2022.
A further notice will be provided two weeks prior to the cessation of the NZBL closing rate benchmark.
If you have any questions on this matter, please email or phone the NZFBF team (+64 4 333 1377).