Notification of financial benchmark reforms

A reform of financial benchmarks is underway globally. Overseas regulators have overseen the cessation of a number of Interbank Offered Rates (IBOR) benchmarks. 

The following currencies discontinued as benchmarks at the end of 2021: 

  • GBP (British Pound)
  • CHF (Swiss Franc)
  • JPY (Japanese Yen)
  • EUR (Euro).

The USD (US Dollar) was discontinued as a benchmark from June 2023. 

In most jurisdictions, risk-free rates (RFRs) replaced the legacy interest rate benchmarks.  The effect of these changes differ across the financial markets and will impact new product replacement and the treatment of legacy products that reference the historical IBOR benchmarks.

Financial benchmark reform will impact derivatives. If you have entered in to a derivative which references an impacted IBOR (especially a derivative that references LIBOR and has an expiry date after December 2021 for GBP, JPY, CHF or June 2023 for USD), the transaction will need to be adjusted to accommodate the cessation of LIBOR. 

International Swaps and Derivatives Association (ISDA) updates

To support this change, on 23 October 2020, ISDA supplemented existing definitions with robust fallback language for prescribed IBORs. This supplement and the associated protocol covers derivatives and other contracts that reference ISDA definitions.

  1. IBOR Fallbacks Supplement (PDF 874KB)
    This amends the 2006 ISDA Definitions to incorporate new fallbacks for prescribed IBORS. The updated definitions apply to all new trades referencing the prescribed benchmarks that are transacted after 25 January 2021.

  2. IBOR 2020 Fallbacks Protocol (PDF 669KB)
    This incorporates the new fallbacks from the IBOR Fallbacks Supplement into existing legacy contracts referencing the prescribed IBORs prior to 25 January 2021.

For more information about protocols, and benchmark reform and transition from LIBOR, visit

ISDA confirmed that the FCA announcement constitutes an 'Index Cessation Event' under the IBOR Fallbacks Supplement and IBOR 2020 Fallbacks Protocol. The Spread Adjustment for each LIBOR tenor was fixed accordingly and will take effect from the Cessation Date.

Other helpful information about fallbacks

For more updates on the financial benchmark reforms, visit the New Zealand Financial Markets Association website.

FX Global Code of Conduct 

On 22 May 2018, BNZ committed to adopt and comply with the BIS Foreign Exchange Global Code of Conduct. BNZ signed a statement of commitment to the Code which enhances the integrity and effective functioning of wholesale foreign exchange markets. In July 2021, the Global Foreign Exchange Committee (GFXC) published an updated version of the FX Global Code. On 2 November 2023, BNZ renewed its Statement of Commitment to the latest FX Global Code.

FX Global Code of Conduct (PDF 44KB)

Wholesale Markets Sales and Trading Practices

This letter outlines how BNZ will communicate and transact in relation to Wholesale foreign exchange, fixed income and commodities transactions and our management of potential or actual conflicts of interest in our Wholesale Markets related activities. This letter concerns Wholesale clients only.

Sales and Trading Practices (PDF 280KB)
Spot Order Management Fact Sheet for Wholesale Customers (PDF 60KB)

FMSB Statement of Commitment - Reference Price Transactions

The FICC Markets Standards Board (“FMSB”) was established in 2015 as a private sector response to the conduct problems revealed in global wholesale markets after the global financial crisis. BNZ has signed a Statement of Commitment in relation to Reference Price Transactions.

FMSB Statement of Commitment (PDF 46KB)

Contact us

If you have any questions about our financial markets regulatory disclosures, send us an email.