Milliman Report
GROUP OF 100 DISCOUNT RATE
May 2015
Prepared by:
Craig McCulloch, FIAA FFA
Victor Huang, FIAA
Level 5
32 Walker Street
North Sydney
NSW 2060
Tel +61 (0)2 8090 9100
au.milliman.com
Milliman Report Group of 100 Discount Rate
TABLE OF CONTENTS
1
BACKGROUND ..................................................................................................................................... 1
OBJECTIVES AND SCOPE ................................................................................................................................ 1
RELIANCE AND LIMITATIONS ........................................................................................................................... 1
2
METHODOLOGY AND ASSUMPTIONS ............................................................................................. 2
SUMMARY OF THE ASSET CALIBRATION SET .................................................................................................. 2
INTERPOLATION METHODOLOGY .................................................................................................................... 4
EXTRAPOLATION METHODOLOGY ................................................................................................................... 4
3
FITTED YIELD CURVE ......................................................................................................................... 5
4
APPENDIX A: SECURITIES IN THE ASSET CALIBRATION SET .................................................. 9
5
APPENDIX B: G100 DISCOUNT CURVE CHECKLIST .................................................................. 13
May 2015
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Milliman Report Group of 100 Discount Rate
1
BACKGROUND
Objectives and scope
The Group of 100 has commissioned Milliman to generate a standardised set of discount rates to be made
publicly available for the purpose of discounting employee benefit liabilities under Australian Accounting Standard
119 (AASB 119). The scope of the work is limited to Australian employee benefit schemes, and excludes any
schemes of foreign subsidiaries of domestic entities which are denominated in foreign currency.
This report provides the Australian corporate bond discount rate curve as at the end of May 2015 produced under
the methodology and assumptions described in the ‘Discount Rates for Australian Employee Benefit Liability
Valuation’ report.
Reliance and limitations
In producing this report, we have relied upon the following information:

Capital market data as sourced from Bloomberg. Should this data be incorrect, it could materially affect the
analysis and conclusions drawn from it.
Users of this report should also be aware that it is subject to the following limitations:

Current debt market conditions. Issuance of corporate bonds is subject to change over time, which may
impact upon whether the accounting standard requirements of a deep market are met.

Current capital market conditions, in particular the liquidity and credit ratings of corporate bond markets,
which can change rapidly. The asset calibration set could change very rapidly under stressed market
conditions.

Reassessments of the suitability of the asset calibration set would be needed if the AAA and/or AA corporate
bond market thins, which would require a prospective change to the assets selected for AASB 119 calibration
purposes.
This report was prepared solely to provide assistance to the Group of 100 and the relevant Actuaries Institute of
Australia subcommittee. Milliman does not intend to benefit and assumes no duty or liability to other parties who
receive this report. Milliman recommends that any recipient of this report be aided by its own actuary or other
qualified professional when reviewing the report. Milliman does not certify the information in this report, nor does it
guarantee the accuracy, completeness, efficacy, or timeliness of such information. Use of such information is
voluntary and should not be relied upon unless an independent review of its accuracy, completeness, efficacy,
and timeliness has been performed. Materials may not be reproduced without the express consent of Milliman.
May 2015
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Milliman Report Group of 100 Discount Rate
2
METHODOLOGY AND ASSUMPTIONS
Summary of the asset calibration set
The set of assets to be used to calibrate the discount rate curve is defined by those securities that meet the
following conditions:
1.
Individual bonds must have the following characteristics:
a. Physical bonds, with no embedded derivatives (e.g., callable, putable, convertible, extendible,
variable/floating coupon, index-linked)
b. High-quality corporate bonds issued by both domestic and foreign entities
c. Payments denominated in Australian dollars (AUD)
d. Pay fixed (or zero) coupons, non-inflation-linked
e. Maturity terms of greater than one month and less than 10 years
f. Minimum amount outstanding on an individual security of $100 million
g. Securitised bonds are included
2.
A deep market for these bonds must exist, as characterised by the ready availability of observable prices and
current trades.
What is meant by high quality?
Figure 1 defines the credit ratings by each agency that map to each of these broad categories. This forms the
basis for the asset calibration set used in this report.
Figure 1: Definition of AAA and AA Credit Ratings by Agency
Category
S&P
Fitch
Moody’s
AAA
AAA
AAA
Aaa
AA
AA+, AA, AAAA+, AA, AAAa1, Aa2, Aa3
Where there is disagreement between credit rating agencies on particular securities, we use the following
conditions:




If a security has at least two AAA ratings, then it is classified as a AAA security
If a security has at least two AA ratings, then it is classified as a AA security
If a security has only been rated by two agencies with different ratings, then the lower rating is used
If a security has only been rated by one agency, then that rating becomes the sole reference
Hereafter, all references to credit ratings refer to those that meet the above conditions. For the purposes of this
paper, we refer to this as the combined credit rating.
May 2015
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Milliman Report Group of 100 Discount Rate
Corporate bond universe
The table in Figure 2 shows the decomposition of the market by the combined credit rating satisfying all but the
‘high quality’ characteristic.
Figure 2: Australian Corporate Bond Market Outstanding Debt by Combined Credit Rating ($ millions)
Combined Rating
AAA
AA
A
BBB
BB
Other
Total
Number of
Securities
15
123
184
71
4
6
403
Outstanding ($
Millions)
12,200
33,411
51,632
16,765
1,450
1,246
116,704
% of Total
10.5%
28.6%
44.2%
14.4%
1.2%
1.1%
100.0%
Source: Milliman analysis based upon Bloomberg data as at 29 May 2015.
The table in Figure 3 shows the universe of AAA and AA bonds used in the asset calibration set broken down into
the composition of their respective S&P, Moody’s and Fitch ratings.
Figure 3: Australian AAA/AA Corporate Bond Market Outstanding Debt ($ millions)
Credit Rating
Composition
3 AAA ratings
2 AAA ratings
1 AAA rating
Total Combined
AAA
3 AA ratings
2 AA ratings
1 AA rating
Total Combined
AA
Number of
Outstanding ($
Securities
Millions)
Combined Credit Rating of AAA
0
0
13
1,000
2
10,625
15
12,200
Combined Credit Rating of AA
42
14,415
69
16,391
12
2,605
123
33,411
% of Total
0.0%
8.2%
87.1%
100.0%
43.1%
49.1%
7.8%
100.0%
Source: Milliman analysis based upon Bloomberg data as at 29 May 2015.
May 2015
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Milliman Report Group of 100 Discount Rate
Interpolation methodology
For fitting the discount curve to the asset calibration set, the Merrill Lynch Exponential Spline (MLES) method with
nine exponential basis functions was used calibrated to yield data as at 29 May 2015, weighting each issue by the
inverse duration of the issue. The results of the calibrated MLES parameters are shown in Figure 4.
Figure 4: MLES-Calibrated Parameters as at 29 May 2015
MLES Parameters
Long-Run
b0
5.7%
Param1
λ1
125.2%
Param2
λ2
14.5%
Param3
λ3
-71.1%
Param4
λ4
36.4%
Param5
λ5
39.3%
Param6
λ6
-3.0%
Param7
λ7
-66.7%
Param8
λ8
-15.2%
Param9
λ9
40.7%
For the calibration of the MLES basis functions, an adjusted R-squared statistical goodness-of-fit measure was
applied to the difference between modelled and actual bond prices.
An adjusted R-squared statistic value close to 100% indicates a very good fit, whilst lower values (closer to 0%)
indicate poor fits. Figure 5 shows the results of the interpolation analysis used.
Figure 5: Adjusted R-Squared Statistic as at 29 May 2015
Regression Statistic
Adjusted R-Squared 90.6%
Extrapolation methodology
For rates beyond 10-year maturities, the fitted yield curve has been extrapolated by assuming that 1-year forward
rates remain constant for all subsequent maturities. This is based on the 1-year forward rate between 9- and 10year maturities, based on the fitted MLES model.
May 2015
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Milliman Report Group of 100 Discount Rate
3
FITTED YIELD CURVE
Figure 6 shows the modelled yield-to-maturity for each bond in the asset calibration set, compared with the actual
yield-to-maturity, using the MLES method with inverse duration weightings. Note that these are the same bonds
as those discussed and analysed in Section 2 above.
Figure 6: Modelled vs. Market Yields to Maturity for Asset Calibration Set Using the MLES Method with
Inverse Duration Weightings
May 2015
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Milliman Report Group of 100 Discount Rate
Figures 7 and 8 show the resulting spot and forward yield curves of one to 50 years for the calibration set using
the MLES method and extrapolated with the constant forward rate extrapolation method. Spot rates shown are
quoted as annually compounded rates on zero coupon bonds with maturities of the specified term, forward rates
shown are 1-year forward rates ending at the specified term.
Figure 7: Spot and Forward Rate Curves for Asset Calibration Set Using an MLES Interpolation and
Constant Forward Rate Extrapolation Method
May 2015
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Milliman Report Group of 100 Discount Rate
Figure 8: Spot and Forward Rate Curves for Asset Calibration Set Using an MLES Interpolation and
Constant Forward Rate Extrapolation Method
Term
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
May 2015
Spot
Rate
2.49%
2.65%
2.85%
3.07%
3.28%
3.47%
3.64%
3.79%
3.92%
4.04%
4.14%
4.22%
4.29%
4.34%
4.40%
4.44%
4.48%
4.51%
4.55%
4.57%
4.60%
4.62%
4.64%
4.66%
4.68%
Discount
Factor
0.975705
0.949052
0.919033
0.886086
0.851126
0.815086
0.778744
0.742688
0.707330
0.672942
0.640225
0.609099
0.579487
0.551314
0.524511
0.499011
0.474750
0.451669
0.429711
0.408819
0.388944
0.370035
0.352045
0.334929
0.318646
Term
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
Spot
Rate
4.70%
4.71%
4.73%
4.74%
4.75%
4.76%
4.77%
4.78%
4.79%
4.80%
4.81%
4.82%
4.83%
4.83%
4.84%
4.85%
4.85%
4.86%
4.87%
4.87%
4.88%
4.88%
4.89%
4.89%
4.90%
Discount
Factor
0.303154
0.288416
0.274394
0.261054
0.248362
0.236288
0.224800
0.213871
0.203473
0.193581
0.184170
0.175216
0.166697
0.158593
0.150883
0.143547
0.136568
0.129929
0.123612
0.117603
0.111885
0.106446
0.101270
0.096347
0.091663
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Milliman Report Group of 100 Discount Rate
Figure 9 shows the resulting spot rate curve of one to 30 years relative to the prior period fitted curve.
Figure 9: Spot Rate Curves Relative to Prior Period Fitted Curve
May 2015
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Milliman Report Group of 100 Discount Rate
4
APPENDIX A: SECURITIES IN THE ASSET CALIBRATION SET
Figure 10 details the list of securities that meet the definition of the asset calibration set: combined domestic and
foreign issuer, AA- and AAA-rated fixed coupon AAA-denominated bonds.
Figure 10: Securities in the Asset Calibration Set
Issuer Name
Westpac Banking Corp
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Commonwealth Bank of Australia
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Cie de Financement Foncier SA
Toronto-Dominion Bank/The
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
National Australia Bank Ltd
Westpac Banking Corp
Total Capital SA
Nestle Holdings Inc
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Hypo Real Estate Bank International AG
National Australia Bank Ltd
Canadian Imperial Bank of Commerce/Canada
Australia & New Zealand Banking Group Ltd
Australian Rail Track Corp Ltd
Australia & New Zealand Banking Group Ltd
Westpac Banking Corp
BNZ International Funding Ltd/London
National Australia Bank Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Westpac Banking Corp
Suncorp-Metway Ltd
Commonwealth Bank of Australia
Commonwealth Bank of Australia
Total Capital International SA
Cie de Financement Foncier SA
Australian Postal Corp
Westpac Banking Corp
Australia & New Zealand Banking Group Ltd
National Australia Bank Ltd
May 2015
Issue Name
WSTP 6 1/2 07/08/15
Combined
Credit
Rating
AA
Maturity
Date
08/07/2015
Coupon
6.50%
RABOBK 4 1/2 07/09/15
CBAAU 6 1/2 07/21/15
AA
AA
09/07/2015
21/07/2015
4.50%
6.50%
RABOBK 5 5/8 09/14/15
CFF 5 1/2 09/22/15
TD 3 5/8 10/09/15
AA
AAA
AA
14/09/2015
22/09/2015
09/10/2015
5.63%
5.50%
3.63%
RABOBK 5 3/4 10/12/15
AA
12/10/2015
5.75%
RABOBK 6 10/29/15
NAB 6 1/2 11/05/15
WSTP 6 1/2 11/09/15
TOTAL 6 1/2 01/20/16
NESNVX 5 1/2 01/28/16
AA
AA
AA
AA
AA
29/10/2015
05/11/2015
09/11/2015
20/01/2016
28/01/2016
6.00%
6.50%
6.50%
6.50%
5.50%
RABOBK 5 1/2 02/03/16
AA
03/02/2016
5.50%
RABOBK 6 1/2 02/25/16
PBBGR 5 3/4 03/07/16
NAB 6 5/8 03/09/16
CM 6 1/4 03/22/16
ANZ 5 1/4 03/23/16
ARTAUS 3 3/4 04/29/16
ANZ 6 3/4 05/09/16
WSTP 6 3/4 05/09/16
BZLNZ 6 1/4 06/14/16
NAB 4 5/8 06/27/16
AA
AA
AA
AAA
AAA
AA
AA
AA
AAA
AA
25/02/2016
07/03/2016
09/03/2016
22/03/2016
23/03/2016
29/04/2016
09/05/2016
09/05/2016
14/06/2016
27/06/2016
6.50%
5.75%
6.63%
6.25%
5.25%
3.75%
6.75%
6.75%
6.25%
4.63%
RABOBK 5 07/27/16
WSTP 7 1/4 11/18/16
SUNAU 4 3/4 12/06/16
CBAAU 6 12/15/16
CBAAU 5 3/4 01/25/17
TOTAL 4 7/8 01/25/17
CFF 6 1/4 01/30/17
AUSPOS 5 1/2 02/06/17
WSTP 5 3/4 02/06/17
ANZ 5 7/8 02/13/17
NAB 6 02/15/17
AA
AA
AAA
AA
AAA
AA
AAA
AA
AAA
AA
AA
27/07/2016
18/11/2016
06/12/2016
15/12/2016
25/01/2017
25/01/2017
30/01/2017
06/02/2017
06/02/2017
13/02/2017
15/02/2017
5.00%
7.25%
4.75%
6.00%
5.75%
4.88%
6.25%
5.50%
5.75%
5.88%
6.00%
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Milliman Report Group of 100 Discount Rate
Issuer Name
Westpac Banking Corp
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
National Australia Bank Ltd
Nestle Finance International Ltd
Commonwealth Bank of Australia
Toyota Finance Australia Ltd
Total Capital International SA
Toyota Motor Credit Corp
Australia & New Zealand Banking Group Ltd
National Australia Bank Ltd
Metropolitan Life Global Funding I
Stadshypotek AB
Nestle Holdings Inc
Suncorp-Metway Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Hongkong & Shanghai Banking Corp Ltd/Sydney
Total Capital International SA
Australian Rail Track Corp Ltd
Nestle Holdings Inc
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Canadian Imperial Bank of Commerce/Canada
Westpac Banking Corp
Commonwealth Bank of Australia
Australia & New Zealand Banking Group Ltd
Toyota Finance Australia Ltd
National Bank of Abu Dhabi PJSC
National Australia Bank Ltd
Canadian Imperial Bank of Commerce/Canada
National Australia Bank Ltd
Australia & New Zealand Banking Group Ltd
National Australia Bank Ltd
Nestle Holdings Inc
Westpac Banking Corp
Total Capital Canada Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
National Australia Bank Ltd
Metropolitan Life Global Funding I
Australia & New Zealand Banking Group Ltd
Nestle Holdings Inc
May 2015
Issue Name
WSTP 6 02/20/17
Combined
Credit
Rating
AA
Maturity
Date
20/02/2017
Coupon
6.00%
RABOBK 6 02/23/17
NAB 6 03/06/17
NESNVX 4 5/8 03/29/17
CBAAU 4.72 05/24/17
TOYOTA 3 5/8 06/19/17
TOTAL 4 1/8 06/26/17
TOYOTA 4 3/8 07/05/17
ANZ 5 07/25/17
NAB 5 08/08/17
MET 4 3/4 09/28/17
SHBASS 4 1/4 10/10/17
NESNVX 4 10/13/17
SUNAU 4 11/09/17
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AAA
AA
AAA
23/02/2017
06/03/2017
29/03/2017
24/05/2017
19/06/2017
26/06/2017
05/07/2017
25/07/2017
08/08/2017
28/09/2017
10/10/2017
13/10/2017
09/11/2017
6.00%
6.00%
4.63%
4.72%
3.63%
4.13%
4.38%
5.00%
5.00%
4.75%
4.25%
4.00%
4.00%
RABOBK 4 1/8 11/13/17
HSBC 4 1/4 11/16/17
TOTAL 3 7/8 12/05/17
ARTAUS 7 1/4 12/20/17
NESNVX 3 3/4 01/18/18
AA
AA
AA
AA
AA
13/11/2017
16/11/2017
05/12/2017
20/12/2017
18/01/2018
4.13%
4.25%
3.88%
7.25%
3.75%
RABOBK 4 1/4 01/22/18
CM 4 1/4 01/24/18
WSTP 4 1/4 01/24/18
CBAAU 4 1/4 01/25/18
ANZ 4 1/8 02/07/18
TOYOTA 4 1/4 02/26/18
NBADUH 5 03/07/18
NAB 7 1/4 03/07/18
CM 4 5/8 03/27/18
NAB 4 3/8 04/03/18
ANZ 4 1/4 04/17/18
NAB 4 05/23/18
NESNVX 3 7/8 07/19/18
WSTP 4 1/2 09/04/18
TOTAL 4 09/06/18
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
AA
22/01/2018
24/01/2018
24/01/2018
25/01/2018
07/02/2018
26/02/2018
07/03/2018
07/03/2018
27/03/2018
03/04/2018
17/04/2018
23/05/2018
19/07/2018
04/09/2018
06/09/2018
4.25%
4.25%
4.25%
4.25%
4.13%
4.25%
5.00%
7.25%
4.63%
4.38%
4.25%
4.00%
3.88%
4.50%
4.00%
RABOBK 4 1/8 09/19/18
NAB 5 09/20/18
MET 4 1/2 10/10/18
ANZ 4 1/2 11/06/18
NESNVX 4 1/8 12/06/18
AA
AA
AA
AA
AA
19/09/2018
20/09/2018
10/10/2018
06/11/2018
06/12/2018
4.13%
5.00%
4.50%
4.50%
4.13%
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Milliman Report Group of 100 Discount Rate
Issuer Name
National Australia Bank Ltd
Westpac Banking Corp
Total Capital International SA
National Bank of Abu Dhabi PJSC
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Svenska Handelsbanken AB
Westpac Banking Corp
Metropolitan Life Global Funding I
Commonwealth Bank of Australia
Toyota Finance Australia Ltd
National Australia Bank Ltd
National Australia Bank Ltd
Total Capital International SA
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Australia & New Zealand Banking Group Ltd
Canadian Imperial Bank of Commerce/Canada
Australia & New Zealand Banking Group Ltd
National Australia Bank Ltd
Total Capital Canada Ltd
Commonwealth Bank of Australia
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Commonwealth Bank of Australia
Suncorp-Metway Ltd
Westpac Banking Corp
Australia & New Zealand Banking Group Ltd
National Australia Bank Ltd
National Australia Bank Ltd
Westpac Banking Corp
National Australia Bank Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Westpac Banking Corp
Australia & New Zealand Banking Group Ltd
Commonwealth Bank of Australia
Royal Bank of Canada/Sydney
Westpac Banking Corp
Westpac Banking Corp
Nestle Holdings Inc
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Commonwealth Bank of Australia
May 2015
Issue Name
NAB 4 1/2 01/22/19
WSTP 4 1/2 02/25/19
TOTAL 4 1/8 03/04/19
NBADUH 4 3/4 03/19/19
Combined
Credit
Rating
AA
AA
AA
AA
Maturity
Date
22/01/2019
25/02/2019
04/03/2019
19/03/2019
Coupon
4.50%
4.50%
4.13%
4.75%
RABOBK 4 5/8 04/05/19
SHBASS 4 1/2 04/10/19
WSTP 4 3/8 04/16/19
MET 4 1/2 04/16/19
CBAAU 4 1/4 04/24/19
TOYOTA 4 1/4 05/15/19
NAB 4 1/4 05/20/19
NAB 4 1/8 06/06/19
TOTAL 3 3/4 06/26/19
AA
AA
AA
AA
AA
AA
AA
AA
AA
05/04/2019
10/04/2019
16/04/2019
16/04/2019
24/04/2019
15/05/2019
20/05/2019
06/06/2019
26/06/2019
4.63%
4.50%
4.38%
4.50%
4.25%
4.25%
4.25%
4.13%
3.75%
RABOBK 3 07/22/19
ANZ 3 3/4 07/25/19
CM 4 3/4 07/25/19
ANZ 4 3/4 08/06/19
NAB 4 3/4 09/10/19
TOTAL 3 3/4 09/23/19
CBAAU 5 09/24/19
AA
AA
AA
AA
AA
AA
AA
22/07/2019
25/07/2019
25/07/2019
06/08/2019
10/09/2019
23/09/2019
24/09/2019
3.00%
3.75%
4.75%
4.75%
4.75%
3.75%
5.00%
RABOBK 5 09/25/19
CBAAU 3 3/4 10/18/19
SUNAU 3 3/4 11/05/19
WSTP 4 11/06/19
ANZ 3 3/4 11/11/19
NAB 4 3/4 11/25/19
NAB 4 11/27/19
WSTP 4 7/8 12/10/19
NAB 5 01/17/20
AA
AA
AAA
AA
AA
AA
AA
AA
AA
25/09/2019
18/10/2019
05/11/2019
06/11/2019
11/11/2019
25/11/2019
27/11/2019
10/12/2019
17/01/2020
5.00%
3.75%
3.75%
4.00%
3.75%
4.75%
4.00%
4.88%
5.00%
RABOBK 4 7/8 01/20/20
WSTP 3 1/4 01/22/20
ANZ 4 3/4 02/03/20
CBAAU 7 1/4 02/05/20
RY 3 1/4 02/10/20
WSTP 7 1/4 02/11/20
WSTP 4 3/4 02/19/20
NESNVX 4 1/4 03/18/20
AA
AA
AA
AA
AA
AA
AA
AA
20/01/2020
22/01/2020
03/02/2020
05/02/2020
10/02/2020
11/02/2020
19/02/2020
18/03/2020
4.88%
3.25%
4.75%
7.25%
3.25%
7.25%
4.75%
4.25%
RABOBK 4 1/2 04/29/20
CBAAU 4 3/4 06/10/20
AA
AA
29/04/2020
10/06/2020
4.50%
4.75%
11
Milliman Report Group of 100 Discount Rate
Issuer Name
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Macquarie University
Nestle Holdings Inc
Australian Postal Corp
Airservices Australia
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Australia & New Zealand Banking Group Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Westpac Banking Corp
Australia & New Zealand Banking Group Ltd
University of Sydney
National Australia Bank Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
University Of Melbourne
Westpac Banking Corp
Metropolitan Life Global Funding I
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Netherlands
Total Capital International SA
National Australia Bank Ltd
Cooperatieve Centrale Raiffeisen-Boerenleenbank
BA/Australia
Australia & New Zealand Banking Group Ltd
Australian Postal Corp
Westpac Banking Corp
National Australia Bank Ltd
Australian Rail Track Corp Ltd
May 2015
Issue Name
Combined
Credit
Rating
Maturity
Date
RABOBK 3 3/8 06/29/20
AA
29/06/2020
3.38%
RABOBK 3 1/4 08/21/20
MAQUNI 6 3/4 09/09/20
NESNVX 3 5/8 11/03/20
AUSPOS 5 11/13/20
AIRSER 4 3/4 11/19/20
AA
AA
AA
AA
AAA
21/08/2020
09/09/2020
03/11/2020
13/11/2020
19/11/2020
3.25%
6.75%
3.63%
5.00%
4.75%
RABOBK 4 1/4 11/23/20
ANZ 5 1/4 12/18/20
AA
AA
23/11/2020
18/12/2020
4.25%
5.25%
RABOBK 5 02/25/21
WSTP 5 03/19/21
ANZ 4 7/8 03/19/21
UNISYD 4 3/4 04/16/21
NAB 5 05/07/21
AA
AA
AA
AA
AA
25/02/2021
19/03/2021
19/03/2021
16/04/2021
07/05/2021
5.00%
5.00%
4.88%
4.75%
5.00%
RABOBK 4 1/2 05/26/21
UNIMEL 4 1/4 06/30/21
WSTP 4 3/8 08/20/21
MET 4 3/4 09/17/21
AA
AA
AA
AA
26/05/2021
30/06/2021
20/08/2021
17/09/2021
4.50%
4.25%
4.38%
4.75%
RABOBK 4 1/4 10/13/21
TOTAL 4 1/4 11/26/21
NAB 4 12/16/21
AA
AA
AA
13/10/2021
26/11/2021
16/12/2021
4.25%
4.25%
4.00%
RABOBK 4 1/4 01/13/22
ANZ 5 08/16/23
AUSPOS 5 1/2 11/13/23
WSTP 5 1/4 11/21/23
NAB 5 03/11/24
ARTAUS 4 1/2 12/11/24
AA
AAA
AA
AAA
AAA
AA
13/01/2022
16/08/2023
13/11/2023
21/11/2023
11/03/2024
11/12/2024
4.25%
5.00%
5.50%
5.25%
5.00%
4.50%
Coupon
12
Milliman Report Group of 100 Discount Rate
5
APPENDIX B: G100 DISCOUNT CURVE CHECKLIST
May 2015
13
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