‘Government, Semi-Government and Corporate Bond’ Reference Rates

ELIGIBLE ISSUES

Government & Semi-Government Bonds

‘End-of-day’ reference rates are calculated for “benchmark” Government Bonds with maturities greater than six (6) months at time of issue. Government Bonds reference rates are provided for bonds issues by: Commonwealth of Australia; New South Wales Treasury Corporation; Treasury Corporation of Victoria; Queensland Treasury Corporation; Western Australia Treasury Corporation; South Australian Government Financing Authority; Tasmanian Public Finance Corporation; and the Northern Territory Treasury Corporation and where at least three Contributing Price Makers (“Price Maker”) are willing to provide regular AFMAdata Government Bond Reference Rates for the relevant Issue.

Corporate Bonds

End-of-day’ reference rates are calculated for “benchmark” Corporate Bonds (including Mortgage Backed Securities) that are defined as Australian Dollar denominated fixed term debt securities that are primarily cleared through Austraclear and where:

  • they are issued by a bank, corporate or other non-government entity, acceptable to the AFMA Debt Capital Markets (“DCM”) Committee;

  • the Issue has a minimum face value greater than AUD 100 million outstanding;

  • the Issue has more than twelve (12) months to run to maturity at time of issue; and

  • At least three Contributing Price Makers are willing to provide regular Reference Rates

    • Note: End-of-day reference rates are also calculated for all “benchmark” Floating Rate Note (FRN) issues.

    CONTRIBUTING FINANCIAL INSTITUTIONS:

    Contributing ‘price makers’ are recommended and approved, from time to time, by the AFMA DCM Committee.

    Current Contributing Price Makers:

  • Australian & New Zealand Banking Group Limited/li>

  • Citigroup Global Markets

  • Commonwealth Bank of Australia

  • Deutsche Bank AG

  • Macquarie Bank Limited

  • National Australia Bank Limited

  • Royal Bank of Canada

  • Royal Bank of Scotland

  • Societe Generale, Australia

  • St. George Bank Ltd

  • TD Securities

  • Westpac Banking Corporation

    • COLLECTION

    Contributing Price Makers electronically submit to the calculation agent their closing Mid Yield Reference Rate or their Exchange For Physical (“EFP”) spreads between 4:30pm and 5:30pm (AEST) each day.

    CALCULATION:

    Average mid yields for individual Issues are submitted (via Microsoft Excel spreadsheet) by contributing price markers. All bond reference rates are calculated using standard deviation methodology (all contributions lying more than “1” standard deviation from the mean are excluded from the calculated yield).

    If less than three (3) Price Makers provide reference rates then an asterix (*) will be inserted.

    If no reference rates are received then it will result in no display for that day.

    Yields are calculated to three decimal places and are rounded to the nearest half basis point.

    Screen Display:

    Display of Bond Reference Rates on AFMAdata pages are in ascending order of maturity and for each Issue includes issuer name, amount outstanding, fixed or floating coupon, maturity, price (mid-yield or trading margin).

    Calculated Bond Reference Rates will be published on the AFMAdata pages, via the information vendors: Bloomberg; Reuters and MoneyLine Telerate by no later than by 5.50pm (AEST) on the day to which they apply.

    CONFIDENTIALITY:

    All Prices are submitted by Contributing Price Makers on the basis that they will not be disclosed to any party other than AFMA or the calculation agent. AFMA will monitor all prices quoted to ensure they are reasonable and consistent over time. A “no name” report on the performance of Contributing Price Makers will be considered by the Debt Securities & DCM Committees from time to time. If in the opinion of those Committees there is any significant irregularity in rates that are submitted, AFMA will consult with the relevant Contributing Price Maker and if the irregularity continues the relevant Contributing Price Maker may be removed by AFMA from the pricing process.

    Reviewed November 2005

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