CHANGE TO CAPTURE & CALCULATION OF NZ AFTERNOON CLOSING RATES
The New Zealand Financial Markets Association will be changing the way the NZ afternoon closing rates are captured and calculated on Monday 27 March 2017.
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 monthly NZLA (Local Authority Matrix) will cease publication effective 28 February 2017.
Operating Guidelines & Principles:
About the NZdata System...
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. NZdata is a data feed of real time and reference information relating to New Zealand’s wholesale (over-the-counter) financial markets that can be taken into back office systems or viewed on vendors’ screens.
The NZdata Service is overseen by the Benchmark Oversight Committee, NZFMA Board, and the Rates and Foreign Exchange Committees. The system is owned by the NZFMA and its members, and provides one consistent and transparent view of the wholesale market rates in New Zealand. Contributors to the NZdata Service are bound by the Operating Rules & Principles of the market to which they contribute to ensure a robust process that safeguards market transparency and rate accuracy.
The NZdata Service offers both free to air and fee liable data to users, and the service can be accessed via information vendors, direct xml feed, or automatic email sent to subscribers at the time of publication.
Given that the NZFMA is a ‘not for profit’ association, any surpluses generated from the sale of data are invested to the benefit and development of the New Zealand financial markets.
New Zealand’s Bank Bill reference rate calculation system was referenced in a 2011 Financial Times article as being an accurate barometer of the cost of funding. The NZFMA Board are committed to ensuring all current and future NZdata reference rates and pricing pages are an accurate and transparent reflection of the New Zealand markets. For increased market transparency, NZFMA now publish the NZ Bank Bill Daily Rate Set Transaction Report which lists trades occuring during the 2 minute trading window prior to the BKBM rate set.
The Benchmark Oversight Committee, NZFMA Board and Committees regularly review the NZdata Service with a view to enhancing the Service with new reference rates and pricing pages to ensure that the Service remains at the forefront of data processing and delivery to national and global subscribers.
As new markets evolve, NZdata will continue to add useful and relevant data to the Service to ensure New Zealand remains at the forefront of market data capture, reliability and distribution.