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: Friday, 16 May, 2008

Government Bond Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
NZ Government Stock	954.89	-0.027	6.41	3.48	3.37
NZ Trading Bonds	984.43	-0.027	6.41	3.48	3.37
0-3 year maturities	262.20	-0.010	6.77	0.72	0.70
0-5 year maturities	238.91	-0.019	6.45	2.21	2.14
3-7 year maturities	276.40	-0.031	6.38	4.29	4.16
1 year & longer maturities	275.92	-0.034	6.40	4.04	3.92
5 year & longer maturities	256.04	-0.046	6.37	6.48	6.28
7 year & longer maturities	285.05	-0.053	6.37	7.21	6.98
NZ Inflation-Indexed	248.68	0.021	4.00	6.67	6.54

Composite Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
Composite A Grade	2593.81	-0.053	6.97	3.40	3.29
Composite Investment Grade	2610.70	-0.054	7.01	3.39	3.27

Corporate Indices

Index	Value	Move(%)	Yield	Duration	Modifed Duration
A Grade	2726.78	-0.105	8.16	3.26	3.13
Investment Grade	2801.45	-0.103	8.23	3.22	3.10

Benchmark Swap Indices^*

Index	Value	Move(%)	Yield	Duration	Modifed Duration
1 Year Swap Index	113.84	-0.028	8.25	0.95	0.91
2 Year Swap Index	112.68	-0.086	7.82	1.85	1.78
3 Year Swap Index	111.96	-0.123	7.61	2.70	2.60
4 Year Swap Index	111.05	-0.132	7.54	3.49	3.36
5 Year Swap Index	110.13	-0.123	7.50	4.22	4.07
7 Year Swap Index	108.33	-0.114	7.45	5.54	5.35
10 Year Swap Index	106.52	-0.051	7.41	7.20	6.94

Aggregate Swap Indices^*

Index	Value	Move(%)	Yield	Duration	Modifed Duration
All Swaps Index (1Y – 10Y incl.)	110.63	-0.094	7.53	3.71	3.57
Short End Swap Index (1Y, 2Y & 3Y)	112.83	-0.079	7.79	1.83	1.76
Short-Mid Curve Swap Index (1Y – 5Y incl.)	111.93	-0.098	7.63	2.64	2.54
Mid Curve Swap Index (3Y - 7Y incl.)	110.36	-0.123	7.51	3.99	3.84
Mid-Long End Swap Index (5Y, 7Y & 10Y)	108.32	-0.096	7.45	5.66	5.45
Long End Swap Index (7Y & 10Y)	107.43	-0.083	7.43	6.37	6.14

Bank Bill indices

Index	Value	Move (%)	Yield
30 Day Bank Bills	517.07	0.024	8.63
90 Day Bank Bills	517.77	0.028	8.63
Call Deposits	496.49	0.023	8.25

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