Wholesale interest rates (B2)

The data: coverage, periodicity and timeliness

Coverage characteristics

The interest rates in the interest rate tables reflect those being quoted with the New Zealand markets.

We collect the following data:

• Official cash rate (OCR): an interest rate we set to implement monetary policy and maintain price stability.
• Overnight deposit rate: the rate of remuneration ESAS account holders receive for funds that are held overnight in their account at the Reserve Bank of New Zealand.
• Overnight Reverse Repo Rate: the rate that is charged to borrow funds lent overnight via the Reserve Bank’s Overnight Reverse Repo Facility. 
• Overnight interbank cash rate: the weighted average interbank overnight interest rate, which reflects the interest rates at which banks have borrowed and lent, and secured and unsecured cash funds.
• Bank Bill 30, 60 and 90-day rates: the indicative 5.10pm closing-rates, published by NZFMA. There is a one-day lag to publishing this data.
• Benchmark 1, 2, 5 and 10-year government bonds and specific government bond rates: the indicative closing-rates at 5.10pm, published by NZFMA. There is a one-day lag to publishing this data.
• Inflation indexed bond (IIB) rates for 2025, 2030 and 2035: the indicative closing-rates at 5:10pm, published by NZFMA. There is a one-day lag to publishing this data. 
• Interest rate swaps for the 1, 2, 3, 4, 5, 7, 10 and 15-year swaps, as well as the spread between the 10 and 2-year swaps: the New Zealand Swap Market Reference Rates closing price set by the market under the supervision of the NZFMA, published by Refinitiv.

Data covering daily rates and monthly averages are available on our website, with selected series beginning in 1985.

Periodicity

Data is released daily with a one business day lag and published monthly on the first business day of the following month.

Timeliness

We update our website daily at approximately 3:00pm.

Access by the public

Statistics release calendar

The statistics release calendar provides a long-term plan of scheduled releases. We update and release the calendar on the first working day of the month.

View the statistics release calendar

Integrity

Dissemination of terms and conditions under which official statistics are produced, including confidentiality of individual responses

Although we have no legal requirement to publish data on interest rates, we disseminate the data as a service to the public.

We collect, monitor and analyse the data as part of our market operations functions. These operations involve liaising with and monitoring financial markets to ensure effective implementation of monetary policy and to maintain our capacity to intervene in financial markets if required.

Provision of information about revisions and advance notice of major changes in methodology

New data added to the series is normally in bold font. Normally there are no revisions to this data as we collected them directly from the electronic wire services' information. However, if revisions are necessary, they would also be in bold font. This applies to the summary table only and not Excel files. Any major changes will be accompanied by a note.

Quality

Dissemination of documentation on methodology and sources used in preparing statistics

The Bulletin, Vol 62, No 1, March 1999, contains an article on monetary policy implementation and changes to operating procedures in which implementing the OCR is outlined.

Download RBNZ simplifies monetary policy implementation (PDF 23 KB)

Dissemination of statistics that support statistical cross-check and provide assurance of reasonableness

We do a reasonableness check of the data before the data is released.

General terms

Interest rates

A charge, quoted as a quarterly, semi-annual or annual rate, which the borrower pays to the lender over a period of time. It is compensation to the lender for the sacrifice of the immediate use of money and for the inflationary erosion of its buying power over the life of a loan.

Interest rates are sensitive/responsive to the supply and demand factors of credit and to inflationary expectations.

Mid-rates

Financial institutions trading financial instruments will normally quote both bid and offer rates for those financial instruments. The mid-rate is the rate in the middle of this range.

New Zealand markets

Made up of financial institutions that will trade both New Zealand cash and financial instruments. They will quote both bid and offer rates.

Wholesale interest rates

Official cash rate

The official cash rate (OCR) is an interest rate we set to implement monetary policy and maintain price stability.

Read What is the official cash rate?

Overnight deposit rate

The rate of remuneration ESAS account holders receive for funds that are held overnight in their account at the Reserve Bank of New Zealand.
See What is Exchange Settlement Account System (ESAS).

Overnight Reverse Repo Rate

Overnight interbank cash rate

The overnight interbank cash rate is the weighted average interest rate of secured and unsecured overnight cash transactions that the markets (price makers) quote each other for the purposes of lending and borrowing short-term (overnight) money, without the need for our facilities.

This series continues on from the Call Money Market series we published until June 1999.

Bank bills

These are mostly issued as registered certificates of deposit (RCD), but can also be a bill of exchange, which a bank can issue or accept. Bills of exchange represent only a very small portion of total securities outstanding in this category.

Bank bill yields are indicative 5.10pm closing-rates, published by NZFMA. There is a one-day lag to publishing this data.

The market sets the reference rates (referred to as BKBM rates) under the supervision of the New Zealand Financial Markets Association (NZFMA).

Interest rate swap

The fixed interest rate used in an agreement between two parties to exchange, or ‘swap’, for the reference number of years, a series of fixed interest rate payments for a series of variable (or floating) interest rate payments (or vice versa). Interest rate flows are paid in arrears and settled on a net cash basis. The reference rate used for the variable (or floating) interest rate payments is the NZ 90-day bank bill rate.

The market sets the swap market reference rates under the supervision of the New Zealand Financial Markets Association (NZFMA).

Download the Interest rate swap conventions (PDF 546 KB)

Operating rules and principles for contributors to page NZSWCLOSE (PDF 136 KB)

Government bonds

All government bonds are denominated in New Zealand dollars and have a fixed interest coupon paid semi-annually in arrears. The bonds are redeemable at par on maturity. The benchmark bonds used to report the yields for each maturity are listed below (a ‘---’ appears if no suitable benchmark bond is available):

1 year bond

2-year bond

5-year bond

10-year bond

Inflation-indexed bond

New Zealand government inflation-indexed bonds are New Zealand dollar bonds whose value is adjusted in line with movements in the consumer price index (CPI).

Discontinued series

The monetary conditions index (MCI) is a combination of the TWI and 90-day bank bill rates, in which a 2% increase (decrease) in the TWI is equivalent to a one percentage point increase (decrease) in 90-day rates.

A one-point change on this index is equivalent to a 0.01 percentage change in the 90-day rates in the absence of a change in the TWI.

This series was discontinued in December 2000.

Symbols and conventions for summary table

General notes

• Individual figures may not sum to the totals due to rounding
• Percentage changes are calculated on unrounded numbers
• You are free to copy, distribute and adapt these statistics subject to the conditions listed on our copyright page.