S&P/NZX New Zealand Fixed Interest Index Series Methodology*

Transcription

1 S&P/NZX New Zealand Fxed Interest Index Seres Methodology* S&P Dow Jones Indces: Index Methodology December 2015 * Ths methodology s not offcal untl S&P Dow Jones Indces takes over the calculaton and mantenance of the Swap, Bank Bll and Call Rate Depost ndces governed by ths methodology document. Ths s currently scheduled to occur on December 1, 2015.

2 Table of Contents Introducton 3 Collaboraton 3 Index Famly 3 Elgblty Crtera 5 Elgblty Factors 5 Tmng of Changes 6 Index Constructon 7 Index Calculatons 7 Index Mantenance 8 Rebalancng 8 Index Governance 10 Index Commttee 10 Index Polcy 11 Announcements 11 Holday Schedule 11 End-of-Day Calculaton 11 Index Releases 11 Recalculaton Polcy 11 Index Dssemnaton 13 Tckers 13 FTP 14 Web ste 14 Appendx I Bond Index Calculatons 15 Calculaton of Index Bond Market Values and Relatve Weghts 15 Calculaton of Index Total Returns 16 Calculaton of Index Returns and Levels 17 Monthly Cash flows 18 S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 1

3 Appendx II Swap Index Calculaton 19 Appendx III Bank Bll Index Calculatons Day Bank Bll Index Calculaton Day Bank Bll Index Calculaton 20 Appendx IV Call Rate Depost Index Calculaton 21 S&P Dow Jones Indces Contact Informaton 22 Index Management 22 Product Management 22 Meda Relatons 22 Clent Servces 22 Dsclamer 23 S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 2

4 Introducton The S&P/NZX New Zealand Fxed Interest Index Seres s a broad benchmark ndex famly desgned to measure the performance of the New Zealand bond market, whle meetng certan nvestablty crtera. Ths methodology was created by S&P Dow Jones Indces to acheve the aforementoned objectve of measurng the underlyng nterest of each ndex governed by ths methodology document. Any changes to or devatons from ths methodology are made n the sole judgment and dscreton of S&P Dow Jones Indces so that the ndex contnues to acheve ts objectve. Collaboraton In July 2015, pursuant to an agreement between S&P Dow Jones Indces and NZX Lmted, the exstng sute of NZX Indces was co-branded and S&P Dow Jones Indces assumed responsblty for calculatng, mantanng and lcensng the ndces. NZX contnues to dstrbute and lcense the real-tme and delayed ndex values va ts data feed product. Wth the ntroducton of the ndex seres, New Zealand s ndces have been placed at the forefront of the global market. The ndces showcase the performance of the New Zealand fxed nterest market. Index Famly S&P/NZX Bond Indces. The S&P/NZX Bond Indces consst of the followng: S&P/NZX Government Bond Index. The ndex s comprsed of soveregn bonds ssued by the New Zealand Government. In addton to the man ndex, ndces coverng varous maturty bands are also calculated. S&P/NZX Government Inflaton-Lnked Bond Index. The ndex s comprsed of nflaton-lnked bonds ssued by the New Zealand government. The consttuents of ths ndex are excluded from the S&P/NZX Government Bond Index. S&P/NZX Local Authorty Bond Index. The ndex s comprsed of bonds ssued by Local Authortes n New Zealand, as well as bonds ssued by the New Zealand Local Government Fundng Agency. Bonds ssued by Watercare Servces Ltd., a councl-controlled organzaton, wholly-owned by Auckland Councl, are also elgble for ncluson n the ndex. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 3

5 S&P/NZX Investment Grade Corporate Bond Index. The ndex s comprsed of nvestment grade, non-new Zealand government bonds ssued by domestc enttes n local currency. A sub-ndex comprsng bonds wth credt ratngs of A- or above s also calculated (the S&P/NZX A-Grade Corporate Bond Index), as are composte ndces combnng the nvestment grade corporate and government bond ndces, and A-grade corporate and government bond ndces (the S&P/NZX Composte Investment Grade Bond Index and S&P/NZX Composte A-Grade Corporate Bond Index, respectvely). S&P/NZX Kaur Bond Index. The ndex s comprsed of nvestment grade bonds ssued n New Zealand dollars by foregn enttes ( Kaur bonds ). An ndex comprsng elgble Kaur bonds and New Zealand government bonds s also calculated (the S&P/NZX Composte Kaur Bond Index). S&P/NZX Swap Indces. Ths ndex famly comprses nne ndces representng the return of an ndvdual swap maturty and a further sx aggregate ndces representng the average return of two or more ndvdual maturtes. S&P/NZX Bank Bll Indces. These ndces are desgned to measure the performance of shorter-dated securtes. 30-day and 90-day versons of the ndces are calculated, representng a hypothetcal portfolo of blls valued at ether the 30-day, 60-day or 90-day market yeld, dependng on the number of days to maturty. S&P/NZX Call Rate Depost Index. Ths ndex represents the performance of a rollng overnght depost at the New Zealand Reserve Bank Offcal Cash Rate (OCR). S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 4

6 Elgblty Crtera Elgblty Factors Currency and Market of Issue. Only New Zealand dollar-denomnated bonds that are ssued n the New Zealand market are elgble. Bonds ssued through prvate placements are excluded from the ndex. Maturty. Bonds must be of bullet maturty wth no embedded optonally (no callable or extendable structures). Securtes must have an ntal term to maturty greater than or equal to one year. Ratng. Each S&P/NZX New Zealand Fxed Interest Index consttuent must be rated by Standard & Poor s, Moody's, or Ftch. The mnmum credt ratng for ncluson s BBB-/Baa3/BBB-, dependng on the agency s ratng scheme, to ensure that only nvestment-grade ssues are ncluded. For an ssue rated by more than one ratngs agency, the lowest of the ratngs s used as the ssue's credt ratng. For each of the credt ratng bands ndces, the lowest ratng allocated by any of the ratng agences for each correspondng bond determnes whch ratng band a bond belongs to. Prcng. Daly prcng s provded by Thomson Reuters Md-prcng. Coupon. Only fxed rate, non-zero coupon bonds are elgble. Fxed rate bonds wth step-up, or extendable coupons, are excluded. All nflaton adjusted coupon payout bonds are only applcable to S&P/NZX Government Inflaton-Lnked Bond Index. Collateral Types. Bonds secured by mortgages, wth the excepton of Covered Bonds, are excluded. Bond Type. Only fxed rate coupons are ncluded. Deferral opton callable, extendable and perpetual bonds are excluded. Sze. A mnmum par amount of NZ$ 100 mllon at each rebalancng selecton date s requred. Renvestment. Coupon payments and maturty cash flows are nvested n the ndex daly. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 5

7 Tmng of Changes S&P/NZX Bond Indces. The ndces are revewed and rebalanced on a monthly bass, wth selecton takng place fve busness days pror to the last busness day of the month (T-5, Selecton Date ). Based on new ssuance, sze, and maturty, the bonds n the ndces are subject to change every month, effectve after the close of the last busness day of the month. Addtons, deletons and other changes to the ndces arsng from the monthly rebalancng are publshed after the close of busness, no earler than three busness days pror to the last busness day of the month (the announcement date). Bonds that are settled on or before fve busness days pror to the last busness day of the month make the cut-off for rebalancng screenng. Newly-ssued bonds that do not settle for the frst tme on or before fve busness days pror to the last busness day of the month are added at the subsequent month s rebalancng. Changes become effectve after the close on the last busness day of the month (the rebalancng date). S&P/NZX Swap Indces. The ndces are rebalanced on the last busness day of each month. On the rebalancng date, mmedately pror to rebalancng, each swap s one month shorter than at ncepton. S&P/NZX Bank Bll Indces. The ndces undergo a theoretcal rebalancng on a daly bass. S&P/NZX Call Rate Depost Index. The ndex represents the performance of a rollng overnght depost and does not undergo a rebalancng n the manner of the ndces descrbed above. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 6

8 Index Constructon Index Calculatons The ndces are market-value-weghted. The total return s calculated by aggregatng the nterest return, reflectng the return due to pad and accrued nterest, and prce return, reflectng the gans or losses due to changes n the end-of-day prce and prncpal repayments. For further detals regardng Index Calculatons please refer to Appendces I-IV. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 7

9 Index Mantenance S&P/NZX Bond Indces. The ndces are mantaned n accordance wth the followng rules: Elgble bonds are added to the relevant ndex on the next rebalancng date, subject to the schedule of the monthly rebalancng procedure. Any ndex bond falng to meet any one of the elgblty factors s removed from the ndex on the rebalancng date. Par amounts of ndex bonds are adjusted on the rebalancng date to reflect any changes that have occurred snce the prevous rebalancng date, due to partal calls, tenders, etc. Smlarly, changes to par amounts due to mandatory snkng fund payments and scheduled amortzaton payments are made effectve after the close on the payment date. Any ndex bond that s downgraded below nvestment grade between rebalancng dates s removed at the next rebalancng. Bonds mature n the ndex, wth proceeds renvested n the ndex after the close of busness on the maturty date. Where an ndex bond s n default or msses an nterest payment, the prce reported by our prmary data vendor s used. However, the Index Commttee may determne that the bond be removed from the ndex at a dfferent prce and may specfy a prce of $0.00. The decson of the Index Commttee s fnal. Rebalancng S&P/NZX Bond Indces. The ndces are revewed and rebalanced on a monthly bass. The Index Commttee, nevertheless, reserves the rght to make adjustments to an ndex at any tme that t beleves approprate. Pro-forma addtons, deletons and other changes to the ndces arsng from the monthly rebalancng are publshed, after the close of busness, no earler than three busness days pror to the last busness day of the month. Bonds that are settled on or before fve busness days pror to the last busness day of the month make the cut-off for the rebalance screenng. Newly-ssued bonds that do not settle for the frst tme on or before fve busness days pror to the last busness day of the month are added at the subsequent month s rebalancng. Changes become effectve after the close on the last busness day of the month (the rebalancng date). S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 8

10 Publcly avalable nformaton, up to and ncludng the close on the busness day precedng the rebalancng date (the reference date), s consdered n the fnal rebalancng. S&P/NZX Swap Indces. The ndces are rebalanced on the last busness day of each month whereby the underlyng postons are termnated at market value and replaced wth new par swaps and cash deposts. S&P/NZX Bank Bll Indces. The ndces undergo a theoretcal rebalancng on a daly bass, whereby each day a new bll wth ether thrty or nnety days to maturty s added to the ndex, replacng one bll that matures. S&P/NZX Call Rate Depost Index. The ndex represents the performance of a rollng overnght depost and does not undergo a rebalancng n the manner of the ndces descrbed above. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 9

11 Index Governance Index Commttee The S&P/NZX Fxed Income Index Commttee mantans the ndces. All members of the Commttee are full-tme professonals at S&P Dow Jones Indces or the NZX. Meetngs are held whenever deemed approprate. The Commttee oversees the management of the ndces, ncludng determnatons of ntra-rebalancng changes, mantenance and ncluson polces, and other matters affectng the mantenance and calculaton of the ndces. In fulfllng ts responsbltes, the Commttee has full and complete dscreton to () amend, apply, or exempt the applcaton of ndex rules and polces as crcumstances may requre and () add, remove, or by-pass any bond n determnng the composton of an ndex. The Commttee may rely on any nformaton or documentaton submtted to t or gathered by t that the Commttee beleves to be accurate. The Commttee reserves the rght to renterpret publcly avalable nformaton and to make changes to the ndces based on a new nterpretaton of that nformaton at ts sole dscreton. All Index Commttee dscussons are confdental. For nformaton on Qualty Assurance and Internal Revews of Methodology, please refer to S&P Dow Jones Indces Fxed Income Polces & Practces document located on our Web ste, S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 10

12 Index Polcy Announcements Announcements of any relevant nformaton pertanng to the ndces are made at approxmately 12:00 AM Auckland Tme. Press releases are posted on the S&P Dow Jones Indces Web ste at Holday Schedule The ndces are calculated daly, throughout the calendar year. The only days an ndex s not calculated are on New Zealand natonal holdays. A complete holday schedule for the year s avalable at End-of-Day Calculaton Index levels are calculated and publshed at the end of each busness day, at approxmately 12:00 AM Auckland Tme, va S&P Dow Jones Indces Web ste. Ths may be subject to change. Index Releases Releases are ssued by S&P Dow Jones Indces at the end of the busness day. The release tme s generally 12:00 AM Auckland Tme. Recalculaton Polcy S&P Dow Jones Indces reserves the rght to recalculate an ndex under certan lmted crcumstances. S&P Dow Jones Indces may choose to recalculate and republsh an ndex f t s found to be ncorrect or nconsstent wthn two tradng days of the publcaton of the ndex level n queston for one of the followng reasons: 1. Index methodology event 2. Late announcement 3. Revsed source data Any other restatement or recalculaton of an ndex s only done under extraordnary crcumstances to reduce or avod possble market mpact or dsrupton as solely determned by the Index Commttee. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 11

13 For more nformaton on the recalculaton polcy please refer to S&P Dow Jones Indces Fxed Income Polces & Practces document located on our Web ste, For nformaton on Calculatons and Prcng Dsruptons, Expert Judgment and Data Herarchy, please refer to S&P Dow Jones Indces Fxed Income Polces & Practces document located on our Web ste, S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 12

14 Index Dssemnaton Index levels are avalable through S&P Dow Jones Indces Web ste at major quote vendors (see codes below), numerous nvestment-orented webstes, and varous prnt and electronc meda. Tckers Index (Total Return Index) S&P/NZX Bond Indces: S&P/NZX NZ Government Bond Index S&P/NZX NZ Tradng Bond Index S&P/NZX NZ Government Bond 0-3 Year Index S&P/NZX NZ Government Bond 0-5 Year Index S&P/NZX NZ Government Bond 3-7 Year Index S&P/NZX NZ Government Bond 1+ Year Index S&P/NZX NZ Government Bond 5+ Year Index S&P/NZX NZ Government Bond 7+ Year Index S&P/NZX NZ Inflaton-Indexed Government Bond Index S&P/NZX A-Grade Corporate Bond Index S&P/NZX Investment Grade Corporate Bond Index S&P/NZX Local Authorty Bond Index S&P/NZX Kaur Bond Index S&P/NZX Kaur Bond 0-5 Year Index S&P/NZX Kaur Bond 5+ Year Index S&P/NZX Composte Kaur Bond Index S&P/NZX Composte A-Grade Bond Index S&P/NZX Composte Investment Grade Bond Index S&P/NZX Swap Indces: S&P/NZX 1 Year Swap Index S&P/NZX 2 Year Swap Index S&P/NZX 3 Year Swap Index S&P/NZX 4 Year Swap Index S&P/NZX 5 Year Swap Index S&P/NZX 7 Year Swap Index S&P/NZX 10 Year Swap Index S&P/NZX 15 Year Swap Index S&P/NZX All Swaps Index (1Y 10Y ncl.) S&P/NZX Short End Swap Index (1Y, 2Y & 3Y) S&P/NZX Short-Md Curve Swap Index (1Y 5Y ncl.) S&P/NZX Md Curve Swap Index (3Y 7Y ncl.) Bloomberg SPBNGBT SPBNGTT SPBNG3T SPBNG05T SPBNG37T SPBNG1T SPBNG5T SPBNG7T SPBNILT SPBNCAT SPBNCIT SPBNLAT SPBNKAT SPBNK05T SPBNK5T SPBNCKT SPBNCOT SPBNCOIT SPBNS1T SPBNS2T SPBNS3T SPBNS4T SPBNS5T SPBNS7T SPBNS10T SPBNS15T SPBNSCT SPBNSST SPBNSSMT SPBNSMT S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 13

15 Index (Total Return Index) S&P/NZX Md-Long End Swap Index (5Y, 7Y & 10Y) S&P/NZX Long End Swap Index (7Y & 10Y) S&P/NZX Bank Bll Indces: S&P/NZX 30-Day Bank Bll Index S&P/NZX 90-Day Bank Bll Index Other Indces: S&P/NZX Call Rate Depost Index Bloomberg SPBNSMLT SPBNSLT SPBNB30T SPBNB90T SPBNCRT FTP Daly ndex levels and ndex data are avalable va FTP subscrpton. For product nformaton, please contact S&P Dow Jones Indces, Web ste For further nformaton, please refer to S&P Dow Jones Indces Web ste at S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 14

16 Appendx I Bond Index Calculatons Calculaton of Index Bond Market Values and Relatve Weghts A market value s calculated for each ndex bond as of the close on each calendar day. The market value of an ndex bond on day t s calculated as follows: ( Pt + AIt) MVt = PARt (1) 100 where: MV t = Market value of the ndex bond on day t. PAR t = Par amount of the ndex bond as of the last monthly rebalancng, adjusted for prncpal pre-payments and mandatory snkng fund payments up to and ncludng day t. P t = Prce of the ndex bond on day t. AI t = Accrued nterest 1 on the ndex bond up to and ncludng day t. If the valuaton date s not a busness day, the market value s based on the prce as of the mmedate pror busness day, plus nterest accrued to the valuaton date. The relatve weght of an ndex bond s defned as the market value of that bond expressed as a percentage of the aggregate market value of all ndex bonds n the ndex portfolo, as follows: MVk weght k = (2) MVk k The market value for an nflaton-lnked bond s adjusted by the CPI from ts ssue date to the trade date. 1 AIt n (1) s calculated on a calendar date bass and uses the conventons for calculatng settlement accrued. Accordngly, accrued nterest s zero on a coupon payment date. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 15

17 Calculaton of Index Total Returns Daly returns are calculated for all ndex bonds on every calendar day. Total Return The total return, TR, of an ndex bond on day t s the sum of the market prce return and the nterest return on day t: TR + t = IRt PRt (3) where: IR t = Interest return on day t. PR t = Prce return on day t. Prce return measures the return due to the change n the market prce of the bond. Interest return (or coupon return) ncludes the return due to the nterest earned on that bond. In the case of zero coupon bonds, the accreton n prce due to nterest return s reported as prce return. Interest Return The formula for the nterest return on an ndvdual ndex bond on day t s as follows: IRt AIt PARt PAR 100 = MV t 1 Beg AI 100 t 1 + Intt (4) where: IR t = Interest return at tme t. PAR t = Par amount of the ndex bond as of the last monthly rebalancng, adjusted for prncpal pre-payments and mandatory snkng fund payments up to and ncludng day t. AI t = Accrued nterest, up to and ncludng day t. AI t-1 = Accrued nterest, up to and ncludng day t-1. PAR t-1 = Par amount of the ndex bond as of the last monthly rebalancng, adjusted for prncpal pre-payments and mandatory snkng fund payments up to and ncludng day t-1. Int t = Interest payment on day t. MV Beg = Market value at the begnnng of day t. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 16

18 Prce Return The formula for the prce return for an ndex bond at tme t s as follows: PRt Pt Pt 1 RP Pt 1 PARt + Prnt = (5) MVBeg where: PR t = Prce return on day t. PAR t = Par amount of the ndex bond as of the last monthly rebalancng, adjusted for prncpal repayments and mandatory snkng fund payments up to and ncludng day t. P t = Prce of the ndex bond on day t. P t-1 = Prce of the ndex bond on day t-1. Prn t = Prncpal prepayments or mandatory snkng fund payments on day t. RP = Redempton prce. MV Beg = Market value at the begnnng of day t. Note that the formula for prce return (5) has two components. The frst term, n the numerator on the left sde, represents the unrealzed return due to any change n the prce, whle the second term (on the rght) represents the realzed return due to recevng a prncpal repayment at the redempton prce (whch could dffer from par) rather than at the current end of day prce. Calculaton of Index Returns and Levels Daly Index Returns The ndvdual ndex bond returns are aggregated to calculate returns for the ndex. Specfcally, the total return, nterest return and prce return for the ndex, on a gven day, are equal to a weghted average of the returns of the ndex bonds that consttute the ndex. The weght of each ndex bond return s equal to the relatve weght of that ndex bond n the ndex as of the prevous calendar day (adjusted for prncpal pre-payments and mandatory snkng fund payments). Thus, the begnnng day ndex value may dffer from the end of day ndex value due to consttuent adjustments. The formulas are as follows: IndexTR t = MV, Beg MV TR, Beg, t (6) S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 17

19 IndexIR t = MV, Beg MV IR, Beg, t (7) where: IndexPR t = MV, Beg MV PR, Beg, t TR, t = Total return of ndex bond on day t. IR, t = Interest return of ndex bond on day t. PR, t = Prce return of ndex bond on day t. MV, Beg = Market value of ndex bond, at the begnnng of day t. (8) Daly Index Values Index values are calculated each day by applyng the current day s ndex return to the prevous day s ndex value, as follows: TRIV t TRIVt 1 + ( 1 TRt) = (9) PRIV t PRIVt 1 + ( 1 PRt) = (10) ( 1 IRt) = IRIV (11) IRIV t t 1 + where: TRIV t = Total return ndex value on day t. PRIV t = Prce return ndex value on day t. IRIV t = Interest return ndex value on day t. Monthly Cash flows All nterest payments, pre-payments, pay-downs, snkng fund payments, and other forms of cash flow are renvested n the ndex on the payment date. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 18

20 Appendx II Swap Index Calculaton Index values are calculated by takng the rato of the present value of the swap today and after the prevous rebalancng and multplyng ths by the ndex value at the prevous rebalancng: IndexTR t = PV PV, t, Re balance * IndexTR Re balance Inputs: Settlement Dates: Spot Rate: Day Count: Conventon: Interpolaton: Md-market swap and bll rates from Thomson Reuters; New Zealand Reserve Bank Offcal Cash Rate (OCR) Same day (T) for cash and bll rates; T+2 for swap rates OCR compounded for two days Actual/365 Interest rate swaps are sem-quarterly Lnear nterpolaton of market rates s used to derve rates for ntervenng dates S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 19

21 Appendx III Bank Bll Index Calculatons 30-Day Bank Bll Index Calculaton Index values are calculated by multplyng the prevous day s ndex value by the rato of the market value of the bank bll portfolo today to the market value on the prevous day: IndexTR t = MVPortfolo MVPortfolo t * IndexTRt 1 t 1 MVPortfol o t = 29 1 = = 0 1+ R30 ( / 365) where: MVPortfol o t = = = 1 1+ R30 ( / 365) MV Portfolo t = Market value of Bank Bll portfolo on day t. IndexTR t = Index value on day t. = The number of days to maturty. 90-Day Bank Bll Index Calculaton Index values are calculated by multplyng the prevous day s ndex value by the rato of the market value of the bank bll portfolo today to the market value on the prevous day: IndexTR t = MVPortfolo MVPortfolo t * IndexTRt 1 t 1 MVPortfol o t = = 30 1 = 60 1 = = 0 = 31 = R30 ( / 365) 1+ R60 ( / 365) 1+ R90 ( / 365) where: MVPortfol o t 1 = = 30 1 = 60 1 = = 1 = 31 = R30 ( / 365) 1+ R60 ( / 365) 1+ R90 ( / 365) MV Portfolo t = Market value of Bank Bll portfolo on day t. IndexTR t = Index value on day t. = The number of days to maturty. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 20

22 Appendx IV Call Rate Depost Index Calculaton IndexTR IndexTR [, 1] n T T t = 1 + * r * 365 t 1 where: n[t,t-1] = The number of days between the current and prevous busness days. r = The Offcal Cash Rate (OCR) publshed by the New Zealand Reserve Bank. S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 21

23 S&P Dow Jones Indces Contact Informaton Index Management Davd M. Bltzer, Ph.D. Managng Drector & Charman of the Index Commttee Susan Yang Index Manager, Fxed Income d susan.yang@spdj.com Product Management J.R. Reger Vce Presdent, Fxed Income Indces james.reger@spdj.com Kevn Horan Drector, Fxed Income Indces kevn.horan@spdj.com Heather Mcardle Drector, Fxed Income Indces heather.mcardle@spdj.com Mchele Leung Assocate Drector, Fxed Income Indces mchele.leung@spdj.com Meda Relatons Davd Guarno Communcatons dave.guarno@spdj.com Clent Servces ndex_servces@spdj.com Bejng Duba Hong Kong London New York or Sydney Tokyo S&P Dow Jones Indces: S&P/NZX New Zealand Fxed Interest Index Seres Methodology 22

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