NZFBF
New Zealand Financial Benchmark Facility
Welcome to the New Zealand Financial Benchmark Facility’s (NZFBF) website. NZFBF is a subsidiary of the New Zealand Financial Markets Association (NZFMA) and was formed in October 2021 to act as the Benchmark Administrator for New Zealand’s Interest Rates Benchmarks. The NZFMA continues to operate its other core functions such as managing fee liable access to benchmarks, training, accreditation and advocacy for members.
NZFBF is responsible for the daily calculation and publication of New Zealand’s Interest Rate benchmarks (BKBM, OCR Compound Index and Closing rates). The team will also review Benchmark methodology and monitor benchmark developments in other jurisdictions.
On this website you will find documentation relating to Governance, Operating Rules, Guidelines and Principles for each of the Benchmarks. NZFBF also publishes announcements concerning the benchmarks via market notice or benchmark updates on this website.
Latest News
23 February 2024
New Zealand Financial Markets Association (NZFMA), the Industry Association for wholesale financial markets and the facilitator of the provision of key New Zealand financial benchmarks, and its subsidiary New Zealand Financial Benchmark Facility Limited (NZFBF), as the benchmark administrator, have today issued Consultation Two – Viable Benchmark Replacement Options.
19 January 2014
The inclusion of a credit market criteria for securities to be added to the NZNG Closing Rate market.
27 November 2023
BKBM benchmark for 27 November was published late at vendors due to technical difficulties upstream of our internet service provider.
22 September 2023
NZFBF advise that the BKBM benchmark for 22 September was published late at 10:57 due to technical difficulties.
04 August 2023
This benchmark update serves as a reminder to all benchmark stakeholders and market participants that the closing date for all submissions on the NZFBF consultation document – viable options for establishing an interest rate benchmark to potentially replace BKBM, is two weeks from today on August 18, 2023.
26 June 2023
New Zealand Financial Markets Association (NZFMA), as benchmark owner, and its subsidiary New Zealand Financial Benchmark Facility Limited (NZFBF), as benchmark administrator, have issued a consultation document seeking submissions on viable options for establishing an interest rate benchmark to potentially replace BKBM.
14 June 2023
NZFMA and NZFBF are evaluating options for establishing an interest rate benchmark to potentially replace BKBM.
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
20 March 2023
NZFBF advise that the BKBM data today (20 March) was published at some vendors with a delay.
07 March 2023
To support the integrity of New Zealand Credit Market (NZNG) Closing Rate benchmarks, the New Zealand Financial Benchmark Facility (NZFBF) has been working to review and clarify the minimum criteria for NZNG securities to be included in the NZNG Closing Rate set.
25 October 2022
Amendment of the BKBM Waterfall (step 2) to include the use of one-sided quotations (bids or offers) in the calculation process.
The New Zealand Government has announced a New Zealand public holiday on 26 September 2022 to mark the passing of Her Majesty Queen Elizabeth II.
26 July 2022
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
05 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...
07 March 2022
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.
20 December 2021
NZdata afternoon closes will publish early on 24th and 31st December
17 December 2021
NZFBF welcomed ISDA’s announcement that they have published a fall-back protocol for legacy derivative transactions, as well as a fall-back supplement for new derivative transactions...
13 December 2021
The New Zealand Financial Benchmark Facility Limited (NZFBF) are consulting on a proposed change to the maturity convention used for short-term bank paper (i.e., with a maturity of <12 months).
14 December 2021
The New Zealand Financial Benchmark Facility Limited (NZFBF) today published an updated version of the BKBM Operating Rules and Principles.
24 November 2021
NZFBF encountered a technical issue when generating the BKBM History for its XML Vendor feed which also prevented the subscription BKBM spreadsheet emails from being sent
15 November 2021
The initial BKBM Rate Set published on the 15th November 2021 by the NZFBF used an incorrectly entered trade in the 3month tenor. The value used was 0.85 where it should have been 0.84.
12 November 2021
Early in 2021, the New Zealand Financial Markets Association (NZFMA) consulted with stakeholders on a proposal to move Credit Market bonds from yield to clean price. As a result of that consultation, the NZFMA agreed to continue pricing vanilla bonds on a yield basis and non-vanilla bonds on a clean price basis.
13 October 2021
Given the recent wholesale market transition from USD LIBOR to SOFR, the New Zealand Financial Markets Association (NZFMA) is moving the convention for Interdealer Cross Currency Basis Swaps in the New Zealand wholesale markets from LIBOR/BKBM to SOFR/BKBM.
27 September 2021
New Zealand Financial Benchmark Facility (NZFBF) published the NZGS Closing Rates on Friday 24 September 2021 at the usual time of 4:46pm. However, this data did not publish to Bloomberg.
19 July 2021
The New Zealand Financial Benchmark Facility (NZFBF) launched its website today. The website contains information relating to the administration...