Wholesale interest rates - B2

Cash rate (%pa) Bank bill yields (%pa) Secondary market government bond yields (%pa) Swap rate spread close (bps)
Date Official Cash Rate (OCR) Overnight interbank cash rate 30 days 60 days 90 days 1 year1 2 year 5 year 10 year 2-10s2
28 Nov 2017 1.75 1.64 1.77 1.84 1.92 1.83 1.96 2.39 2.80 96
29 Nov 2017 1.75 1.63 1.77 1.85 1.92 1.81 1.94 2.36 2.77 95
30 Nov 2017 1.75 1.63 1.77 1.84 1.91 1.82 1.94 2.36 2.76 94
01 Dec 2017 1.75 - 1.77 1.84 1.91 1.79 1.91 2.32 2.73 95
04 Dec 2017 1.75 1.75 1.77 1.84 1.90 1.80 1.92 2.33 2.75 95
05 Dec 2017 1.75 1.75 1.77 1.83 1.90 1.81 1.93 2.35 2.77 96
06 Dec 2017 1.75 1.50 1.77 1.83 1.90 1.81 1.93 2.35 2.77 93
07 Dec 2017 1.75 1.50 1.77 1.83 1.90 1.81 1.93 2.34 2.75 93
08 Dec 2017 1.75 1.71 1.77 1.83 1.89 1.82 1.94 2.36 2.79 93
11 Dec 2017 1.75 - 1.77 1.83 1.89 1.82 1.95 2.39 2.82 -
  1. Where there is no suitable benchmark bond, none is reported. See series description for details.
  2. The spread between the 2 and 10 year swap rate is presented in basis points to better align with market conventions.

The Data: Coverage, Periodicity, and Timeliness

Coverage characteristics

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

The following data is collected:

(a) Official Cash Rate (OCR): is an interest rate set by the Reserve Bank to implement monetary policy, so as to maintain price stability.

(b) Overnight Interbank Cash Rate: the weighted average interbank overnight interest rate, which reflects interest rates at which banks have borrowed and lent, secured and unsecured cash funds.

(c) Bank Bill 30, 60 and 90 day rates: the indicative 11.10am mid-rates, published by Reuters.

(d) Benchmark 1, 2, 5, and 10 year Government bond rates: the indicative mid rates at 11.10am and closing, published by Reuters.

(e) Inflation indexed bond (IIB) rates for 2016, 2025, 2030 and 2035: the indicative 11.10am mid-rates, published by Reuters.

(f) 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 Reuters.

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

Periodicity

Daily and monthly.

Timeliness

The website is updated daily at approximately 3pm.

Access by the public

Statistics release calendar

The Statistics Release Calendar provides a long-term plan of scheduled releases. It is updated and released on the first working day of the month.

Integrity

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

Although there is no legal requirement for the RBNZ to publish data on interest rates, the data are disseminated by the Reserve Bank as a service to the public.

The Reserve Bank collects monitors and analyses the data in undertaking its market operations functions. These operations involve liaising with and monitoring financial markets, in order to ensure effective implementation of monetary policy and the maintenance of the RBNZ's 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 it is collected 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 RBNZ Bulletin, Vol 62 No 1, Mar 1999, contains an article on Monetary policy implementation: changes to operating procedures in which implementing the Official Cash Rate (OCR) is outlined.

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

A reasonableness check of the data is undertaken prior to the data being released.

General Terms

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.

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 (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 ‘Explaining New Zealand's Monetary Policy (PDF 173KB) for more details.

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 Reserve Bank facilities.

This series continues on from the "Call Money Market" series published by the Reserve Bank up to June 1999.

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 indicative 11.10am market mid-rates, published by Reuters.

The reference rates are set by the market under the supervision of the New Zealand Financial Markets Association (NZFMA) http://www.nzfma.org/data/search.aspx . These reference rates are generically called BKBM rates.

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 swap market reference rates are set by the market under the supervision of the New Zealand Financial Markets Association (NZFMA). http://www.nzfma.org/includes/download.aspx?ID=126190 and

http://www.nzfma.org/includes/download.aspx?ID=130040

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

 

Date Range:

Benchmark Bond

June 25, 1987 through January 18, 1990

---

January 19, 1990 through May 17, 1990

February 1991

May 18, 1990 through December 31, 1990

September 1991

January 3, 1991 through March 28, 1991

February 1992

April 2, 1991 through March 31, 1992

July 1992

April 1, 1992 through June 30, 1993

November 1993

July 1, 1993 through August 11, 1994

February 1995

August 12, 1994 through July 3, 1995

November 1995

July 4, 1995 through May 5, 1996

November 1996

May 6, 1996 through January 28, 1997

July 1997

January 29, 1997 through June 15, 1998

July 1998

June 6, 1998 through August 18, 1999

February 2000

August 19, 1999 through August 29, 2000

February 2001

August 30, 2000 through February 1, 2002

March 2002

February 4, 2002 through October 15, 2002

April 2003

October 16, 2002 through October 1, 2003

April 2004

October 2, 2003 through August 23, 2004

February 2005

August 24, 2004 through December 5, 2005

February 2006

December 6, 2005 through November 14, 2006

November 2006

November 15, 2006 through July 10, 2008

July 2008

July 10, 2008 through April 30, 2009

July 2009

May 1, 2009 through July 31, 2010

---

August 1, 2010 through September 30, 2011

November 2011

October 3, 2011 through February 20, 2012

---

February 21, 2012 through November 2, 2012

April 2013

November 5, 2012 through October 16, 2013

---

October 17, 2013 through December 12, 2014

April 2015

December 15, 2014 through June 17 2016

---

June 20, 2016 through July 27, 2017

December 2017

From July 28, 2017

March 2019

 

2 year bond

 

Date Range:

Benchmark Bond

March 19, 1985 through October 29,1989

---

October 30, 1989 through May 17, 1990

February 1992

May 18, 1990 through March 28, 1991

July 1992

April 2, 1991 through March 31, 1992

November 1993

April 1, 1992 through June 30, 1993

February 1995

July 1, 1993 through August 11, 1994

November 1995

August 12, 1994 through July 3, 1995

November 1996

July 4, 1995 through May 5, 1996

July 1997

May 6, 1996 through January 27, 1997

July 1998

January 28, 1997 through August 14, 1998

February 2000

August 15, 1998 through August 18, 1999

February 2001

August 19, 1999 through August 29, 2000

March 2002

August 30, 2000 through February 1, 2002

April 2003

February 4, 2002 through October 15, 2002

April 2004

October 16, 2002 through October 1, 2003

February 2005

October 2, 2003 through August 23, 2004

February 2006

August 24, 2004 through December 5, 2005

November 2006

December 6, 2005 through November 14, 2006

July 2008

November 15, 2006 through July 10, 2008

July 2009

July 11, 2008 through July 31, 2010

November 2011

August 1, 2010 through February 20, 2012

April 2013

February 21, 2012 through October 16, 2013

April 2015

October 17, 2013 through December 12, 2014

---

December 15, 2014 through June 17 2016

December 2017

June 20, 2016 through July 27, 2017

March 2019

From July 28, 2017

April 2020

 

5 year bond

 

Date Range:

Benchmark Bond

March 19, 1985 through August 10, 1989

---

August 11, 1989 through March 28, 1991

February 1995

April 2, 1991 through December 31, 1992

July 1997

January 5, 1993 through August 11, 1994

July 1998

August 12, 1994 through May 5, 1996

February 2000

May 6, 1996 through January 28, 1997

February 2001

January 29, 1997 through April 1, 1998

March 2002

April 2, 1998 through August 1, 2000

April 2004

August 2, 2000 through October 13, 2003

November 2006

October 14, 2003 through December 5, 2005

July 2009

December 6, 2005 through July 10, 2008

November 2011

July 10, 2008 through October 31, 2009

April 2013

November 1, 2009 through September 30, 2011

April 2015

October 3, 2011 through July 31, 2013

December 2017

August 1 , 2013 through September 30, 2014

March 2019

October 1, 2014 through November 5, 2015

April 2020

November 6, 2015 through May 24, 2017

May 2021

From May 25, 2017

April 2023

 

10 year bond

 

Date Range:

Benchmark Bond

March 19, 1985 through January 18, 1990

October 1996

January 19, 1990 through May 17, 1990

July 1997

May 18, 1990 through June 30, 1993

March 2002

July 1, 1993 through July 4, 1995

April 2004

July 5, 1995 through March 19, 1998

November 2006

March 20, 1998 through September 12, 2000

July 2009

September 13, 2000 through August 30, 2002

November 2011

September 2, 2002 through January 18, 2005

April 2013

January 19, 2005 through November 14, 2006

April 2015

November 15, 2006 through October 31, 2009

December 2017

November 1, 2009 through May 2, 2012

May 2021

May 3, 2012 through April 17, 2015

April 2023

From April 20, 2015

April 2027

 

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

Discontinued series

Monetary Conditions Index (MC)

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 was discontinued in December 2000.

Symbols and conventions for summary table

0 Value rounded to zero
- Zero or not applicable
.. Not available
bold Revised/new
italics Provisional
light red background Historical

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.