NZX Debt Conventions Protocol

The NZX Debt Market (NZDX) contains three major types of quoted debt instruments: vanilla bonds, structured products (with reset features), and hybrid instruments (such as perpetual instruments). NZX has prepared the debt conventions protocol to standardise the treatment and enhance the transparency of its practices for the following types of debt instrument:

Negative yield or zero coupon instruments;
AT1 instruments;
Instruments with ‘ABCHA’ ticker codes;
Tier 2 instruments;
Non-vanilla debt instruments affected by NZFMA changes; and
Early call and redeemable instruments.

The conventions set out below, reflect NZX’s standard approach to the treatment of certain types of debt instruments. A further explanation of these protocols is available in the NZX Debt Conventions Protocol.

Debt Convention	Protocol
Convention 1: Negative yield or zero coupon instruments	New negative yield or zero coupon debt instruments will be quoted on a price basis rather than a yield basis.
Convention 2: AT1 Instruments	NZX will quote AT1 instruments on a price basis and denote those instruments with a hybrid instrument ticker code (XYZHA). NZ RegCo has issued a class decision that declares that Bank PPSs (as defined in the decision) which include certain instruments that qualify as Additional Tier 1 (AT1) capital for the purposes of the Reserve Bank of New Zealand Document BPR 110, are Debt Securities for the purposes of the NZX Listing Rules. The decision also waives other requirements of the Listing Rules in relation to those instruments.
Convention 3: Instruments with ‘ABCHA’ ticker codes	NZX will quote instruments that have an ‘ABCHA’ or ‘ABCHC’ ticker code on a price basis.
Convention 4: Tier 2 Instruments	NZX will quote instruments that meet the RBNZ’s requirement for Tier 2 capital quoted on a yield basis with a bespoke hybrid ticker code (ABCXT2).
Convention 5: Non-vanilla debt instruments affected by NZFMA changes	NZX will continue to quote the instruments identified by NZFMA as ‘non-vanilla instruments’ on a yield basis.
Convention 6: Early call and redeemable instruments	NZX will maintain the current treatment of debt instruments that are callable or redeemable by an Issuer, by pricing those instruments to the next interest rate reset date.