Featured Product

    RBNZ Supports OCR as Fallback Benchmark Interest Rate for New Zealand

    January 28, 2020

    RBNZ is supporting the selection of the Official Cash Rate (OCR) as the fallback benchmark interest rate in New Zealand. The New Zealand Financial Markets Association (NZFMA) has made changes to further improve reliability and robustness of the benchmark, in line with developments in the global best practices. As a part of these improvements, NZFMA, in conjunction with consultation from industry representatives, selected the OCR to act as the risk-free fallback benchmark interest rate for BKBM, which is benchmark interest rate of New Zealand. The new risk-free interest-rate benchmarks will be calculated independently to the BKBM fallback benchmark rate, with the NZFMA in the process of developing a term structure methodology.

    In the first quarter of 2020, ISDA is expected to update its 2006 fallback provisions. Following this, it would be prudent for market participants to adopt them in contracts that reference the BKBM. ISDA will also publish a protocol to enable market participants to include fallback benchmark rates within legacy inter-bank offered rate trades, if they choose to. ISDA appointed Bloomberg Index Services to calculate and publish the term rate adjustment (using compounded setting in arrears) and credit spread adjustment (using a historical median) for the fallback benchmark rate, should it be needed. Furthermore, NZFMA advised that it intends to operate dual interest rate benchmarks, retaining BKBM and developing risk-free rates.

    Internationally, it is widely recognized that the London Inter-bank Offered Rate, or LIBOR, will no longer be calculated and published beyond 2021. Market participants in New Zealand with contracts referencing LIBOR should continue to prepare for this by transitioning to the alternative benchmark rates and by adopting more robust fallback provisions in their contracts. While some banks have made good progress, market participants need to accelerate efforts to ensure they are prepared for LIBOR cessation by the end of 2021.


    Related LinkPress Release


    Keywords: Asia Pacific, New Zealand, Banking, LIBOR, IBOR, Fallback Provisions, NZFMA, Interest Rate Benchmark, OCR, BKBM, RBNZ

    Related Articles

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News

    ESMA Publishes 2022 ESEF XBRL Taxonomy and Conformance Suite

    The General Board of the European Systemic Risk Board (ESRB), at its December meeting, issued an updated risk assessment via the quarterly risk dashboard and held discussions on key policy priorities to address the systemic risks in the European Union.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8699