Corporate Bond Reference Rates

ELIGIBLE ISSUES

Eligible Corporate Bond Issues (“Issues”) are defined as Australian Dollar denominated fixed or floating rate term debt securities that are primarily cleared through Austraclear and where:

  • a bank, corporate or other entity acceptable to the AFMA Debt Capital Markets (“DCM”) Committee is the issuer;

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

  • the Issue has more than six months to run to maturity; and

  • at least three Contributing Price Makers (“Price Maker”) are willing to provide regular AFMAdata Corporate Bond Reference Rates (“Price”) for the relevant Issue.

    • CONTRIBUTING FINANCIAL INSTITUTIONS:

    Contributing ‘price makers’ who apply to AFMA to revalue/price nominated issues and who are willing to price at least 33% of Eligible Corporate Bond Issues on terms (ie format and timing) specified and approved by the AFMA DCM Committee, from time to time.

    Current Contributing Price Makers:

  • Australian & New Zealand Banking Group Limited/li>

  • ABN AMRO Bank NV

  • Commonwealth Bank of Australia

  • Credit Suisse First Boston

  • Deutsche Bank AG

  • Macquarie Bank Limited

  • National Australia Bank Limited

  • Royal Bank of Canada

  • Salomon Smith Barney Australia Securities Pty Limited (Citigroup)

  • SG Australia Limited

  • UBS Australia Limited

  • Westpac Banking Corporation

    • REVALUATIONS

    The corporate bond reference rate for ‘Fixed Rate Issues’ and reference margins for ‘Floating Rate Issues’ are the median of the prices submitted by contributing price markers for each Corporate Bond Issue. The rates are rounded up or down to the nearest three decimal places, if required in the event that an even number of prices are submitted.

    Fixed Rate Issues include the margin to the AFMA swap and CGS curves for each Issue.

    Fixed Rate Issues:

    In the case of ‘Fixed Rate Issues’, Contributing Price Makers electronically submit to the calculation agent, between 4.30p.m. and 4.40p.m. their closing Exchange For Physical (“EFP”) spreads as at 4.30p.m. for each Corporate Bond Issue that they are pricing.

    The calculation agent collects all submitted ‘EFP’s’ at 4.40p.m. and calculates prices for each Issue by adding the SFE three (3) year bond futures closing rate to all EFP’s for issues with a term to maturity of less than six (6) years; and, adding the ten (10) year bond futures close to all EFP’s for issues with a term to maturity of six (6) years or greater.

    Fixed Rate Issues include the margin to the AFMA swap and CGS curves for each Issue.

    Floating Rate Issue:

    For ‘Floating Rate Issue’, prices are submitted electronically as a mid margin to the relevant benchmark indicator between 4.30p.m. and 4.40p.m. reflecting the price as at 4.30p.m.

    ‘Floating Rate Issues’ include the payment frequency for each Issue (eg. monthly – M, quarterly – Q, semi-annual – S, annual – A).

    Screen Display:

    Display of Corporate Bond Reference Rates on AFMAdata pages is 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), and the number of Contributing Price Makers.

    Corporate Bond Reference Rates are displayed on the AFMAdata screen service by 5.00pm (Sydney time) 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 DCM Committee at each of its meetings. If in the opinion of the AFMA DCM Committee 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 October 2004

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