Supporting information:

Series description – Interest and exchange rates

Bank bills

These are mostly issued as Registered Certificates of Deposit (RCD) but can also be a Bill of Exchange issued or accepted by a bank. Bills of Exchange represent only a very small portion of total securities outstanding in this category. Bank bill yields are 11.10am market mid-rates.

1 year bond

The one-year benchmark was the 15 July 2008 bond from 14 November 2006 to 1 February 2008. The benchmark then changed to the 15 July 2009 bond.

2 year bond

The two-year benchmark was the 15 July 2009 bond from 14 November 2006 to 1 February 2008. The benchmark then changed to the 15 November 2011 bond.

5 year bond

The five-year benchmark was the 15 November 2011 bond from 05 December 2005 to 1 February 2008. The benchmark then changed to the 15 April 2013 bond.

10 year bond

The ten-year benchmark was the 15 April 2015 bond from 19 January 2005 to 14 November 2006. The benchmark then changed to the 15 December 2017 bond.

Base lending rates

The base interest rate offered to new business borrowers, weighted by each surveyed institution’s total NZ dollar claims.

Call deposit rates

The interest rate paid for a deposit of $10,000 placed at call, weighted by each surveyed institution’s total NZ dollar funding.

Cross rate

Exchange rate relationship between two currencies based on each others relationship with a third, typically the US dollar.

Exchange rate

The exchange rate is the rate at which one currency is exchanged for another currency. All average exchange rates use representative 11.10am market mid-rates from April 1991. Representative 3:00pm exchange rates were used before April 1991.

First mortgage housing rates

A weighted average lending rate. The interest rate surveyed is the variable first mortgage interest rate offered to new borrowers for residential property, weighted by each surveyed institution's total lending outstanding for housing purposes.

Foreign exchange swaps

Transaction involving the actual exchange of two currencies (principal amount only) on a specific date at a rate agreed at the time of the conclusion of the contract (the short leg), and a reverse exchanges of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the short leg) agreed at the time of the contract (the long leg). Both spot/forward and forward/forward swaps are included. Short-term swaps carried out as “tomorrow/next day” transactions are also included in this category.

Foreign exchange turnover

Turnover data provide a measure of market activity, and can also provide a rough proxy for market liquidity. In the published data turnover is defined as the absolute value of all deals concluded (but not closed) during the period (the day), and is measured in terms of the nominal or notional amount of the contracts. No distinction is made between sales and purchases (ie a purchase of $5 million against sterling and a sale of $7 million against NZD would amount to a gross turnover of $12 million). The turnover between reporting dealers is halved to provide an equivalent “single-sided” or “net” turnover between dealers. The overall turnover data are published on a single-sided basis.

Interest rates

A charge, quoted as a quarterly, semi-annual, or annual rate, paid by the borrower 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.

MCI

The Monetary Conditions Index (MCI) is a combination of the TWI and 90 day bank bill rates, in which a two percent 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 has been discontinued.

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.

Official Cash Rate (OCR)

The Official Cash Rate (OCR) is an interest rate set by the Reserve Bank to implement monetary policy, so as to maintain price stability. See ‘What is the Official Cash Rate?’’ and ‘Monetary policy implementation: changes to operating procedures’ for more details.

Outright forwards

Transaction involving the exchange of two currencies at a rate agreed on the date of the contract for value of delivery (cash settlement) at some time in the future (more than two business days later). This category also includes forward foreign exchange agreement transaction (FXA), non-deliverable forwards and other forward contracts for differences. This does not include “tomorrow/next day” transactions. The most likely user would be a local “non-financial” market participant e.g. Fonterra.

Overnight interbank cash rate

The Overnight Interbank Cash Rate is the average interest rate of secured/unsecured overnight cash transactions that the market (price makers) quote each other for the purposes of lending and borrowing short-term (overnight) money, without the need for Reserve Bank facilities. This series continues on from the "Call Money Market" series published by the Reserve Bank up to June 1999.

Reporting dealers

For the purposes of the RBNZ FX turnover survey, “reporting dealers” are interbank NZD pricemakers in this timezone.

Six month deposit rates

The interest rate paid for a new six month deposit of $10,000, weighted by each surveyed institution’s total NZ dollar funding.

Spot

Spot transactions are single outright transactions involving the exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) within two business days. The spot leg of swaps are not included among spot transactions but are reported as a swap transaction even when they are due for settlement within two days (i.e. spot transactions are exclusive of “tomorrow/next day” transactions).

The euro and the NZD/EUR

The euro (currency code EUR) replaced the national currencies of certain members of the European Union on 1 January 1999. Until 31 December 1998 the RBNZ collected the NZD/DEM (Deutsche mark). From 5 January 1999 (the first banking day in 1999) the RBNZ started to collect the NZD/EUR. Note that the euro replaced the Deutsche mark as a TWI contributor on 5 January 1999. The Official Fixing Rate for converting the Deutsche mark to the euro is 1.95583.

Trade Weighted Index (TWI)

The trade-weighted index (TWI) is a measure of the value of the New Zealand dollar (NZD) relative to the currencies of New Zealand’s major trading partners. The TWI is the Reserve Bank’s preferred summary measure for capturing the medium-term effect of exchange rate changes on the New Zealand economy and inflation.