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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, 9 May, 2008

Government Bond Indices

Index Value Move(%) Yield Duration Modifed Duration
NZ Government Stock 952.80 0.064 6.44 3.48 3.37
NZ Trading Bonds 982.28 0.064 6.44 3.48 3.37
0-3 year maturities 261.76 0.035 6.83 0.74 0.72
0-5 year maturities 238.21 0.057 6.53 2.21 2.14
3-7 year maturities 275.35 0.077 6.45 4.26 4.13
1 year & longer maturities 275.28 0.071 6.43 4.04 3.91
5 year & longer maturities 255.94 0.080 6.36 6.50 6.30
7 year & longer maturities 285.61 0.087 6.33 7.23 7.01
NZ Inflation-Indexed 248.25 0.020 4.01 6.62 6.49

Composite Indices

Index Value Move(%) Yield Duration Modifed Duration
Composite A Grade 2590.04 0.053 6.98 3.41 3.29
Composite Investment Grade 2606.93 0.053 7.01 3.38 3.26

Corporate Indices

Index Value Move(%) Yield Duration Modifed Duration
A Grade 2726.73 0.031 8.11 3.27 3.14
Investment Grade 2801.29 0.032 8.19 3.19 3.06

Benchmark Swap Indices*

Index Value Move(%) Yield Duration Modifed Duration
1 Year Swap Index 113.74 0.040 8.18 0.97 0.93
2 Year Swap Index 112.66 0.076 7.75 1.87 1.80
3 Year Swap Index 111.99 0.079 7.55 2.72 2.62
4 Year Swap Index 111.10 0.031 7.48 3.51 3.38
5 Year Swap Index 110.18 0.011 7.45 4.24 4.09
7 Year Swap Index 108.33 -0.059 7.42 5.56 5.36
10 Year Swap Index 106.45 -0.101 7.40 7.22 6.96

Aggregate Swap Indices*

Index Value Move(%) Yield Duration Modifed Duration
All Swaps Index (1Y – 10Y incl.) 110.62 0.011 7.49 3.73 3.59
Short End Swap Index (1Y, 2Y & 3Y) 112.80 0.065 7.72 1.85 1.78
Short-Mid Curve Swap Index (1Y – 5Y incl.) 111.93 0.047 7.57 2.66 2.56
Mid Curve Swap Index (3Y - 7Y incl.) 110.40 0.015 7.46 4.01 3.86
Mid-Long End Swap Index (5Y, 7Y & 10Y) 108.31 -0.050 7.42 5.67 5.47
Long End Swap Index (7Y & 10Y) 107.39 -0.080 7.41 6.39 6.16

Bank Bill indices

Index Value Move (%) Yield
30 Day Bank Bills 516.23 0.026 8.60
90 Day Bank Bills 516.93 0.040 8.63
Call Deposits 495.71 0.023 8.25
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