NZX: Debt Index Summaries

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NZX Debt Indices

The NZX Debt Indices are the definitive benchmarks for the New Zealand Fixed Interest markets. Rules for the construction and calculation of these indices can be found here: www.nzx.com/nzxmarket/nzdx/debt_rules

Last Updated: Tuesday, 26 April, 2005

Government Bond Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
NZ Government Stock	810.99	0.201	5.96	4.16	4.04
NZ Trading Bonds	836.10	0.201	5.96	4.16	4.04
0-3 year maturities	218.42	0.096	6.27	1.13	1.09
0-5 year maturities	199.96	0.127	6.06	2.15	2.08
3-7 year maturities	235.34	0.190	5.96	4.28	4.15
1 year & longer maturities	233.44	0.222	5.95	4.74	4.60
5 year & longer maturities	220.86	0.285	5.92	6.41	6.22
7 year & longer maturities	246.15	0.318	5.91	6.96	6.76
NZ Inflation-Indexed	213.23	0.244	3.40	8.73	8.59

Composite Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
Composite A Grade	2204.07	0.191	6.07	3.90	3.78

Corporate Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
A Grade	2312.12	0.143	6.88	2.66	2.57

Benchmark Swap Indices^*

Index	Value	Move(%)	Yield	Duration	Modifed Duration

Aggregate Swap Indices^*

Index	Value	Move(%)	Yield	Duration	Modifed Duration

Bank Bill indices

Index	Value	Move (%)	Yield
30 Day Bank Bills	408.02	0.077	6.91
90 Day Bank Bills	408.60	0.077	7.01
Call Deposits	394.93	0.074	6.75

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