Should you have any queries on this matter, please email info nzfma. In order to maintain global best practice, NZFMA recently reviewed the capture and calculation methodologies of the range of NZdata market closing rates. Following this review which was conducted with the oversight of New Zealand regulators, NZFMA embarked on a project to remove the need for panel bank submission and moved to capturing the data from live trading platforms where executable quotes are posted by bank participants on information vendor pages.
This approach represents a significant improvement in both the accuracy and transparency in the provision of closing rate market reference rate data. Details of the data capture and calculation methodologies for each market are explained in the Operating Guidelines and Principles documents for each market listed below. Please note that the format of Credit Market closing rate data will change from "credit spread" to an "outright yield or price" basis. The New Zealand Financial Markets Association captures, calculates and publishes a range of official reference rates and pricing data for New Zealand markets through the NZdata Service.
Because the banks do not have to make trades at the Libor rates they quote, the incentive to base quotes on actual tradable levels is low. All panelists are obliged to contribute mid-rates for prime bank bill paper for maturities of one to six months by am in Sydney each business day. The highest and lowest rates are eliminated for each maturity until there is a maximum of eight contributions.
When there are between five and eight contributions remaining, the highest and lowest are removed, and the average of the remaining three to six mid-rate contributions are displayed on Reuters page BBSW. Services Banking and Finance Financial Services. Categories News Alerts. What do they cover? The FMA briefly set out further advice and examples on how to meet these principles.
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