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[Notes on Statistics]Financial Markets (interest rate, yield, foreign exchange rate etc.)

Data for which no sources are mentioned are compiled by the Bank of Japan.
All times are Japan Standard Time unless noted otherwise.

Contents

Short-term Money Market Rates

Call Rates (Monthly)

  1. Collateralized call rate figures are contracted rates of brokered transactions, and Uncollateralized call rate figures are mid-market rates between lenders and borrowers. While both figures are based on the highest rates quoted each day, due to changes in trading methods the uncollateralized call rate figures were changed to weighted average rates for each day's trading as follows: from February 16, 1994 for one- to three-month contracts; from October 17, 1994 for same week contracts, and from May 16, 1995 for other contracts. The average figures covering these periods are estimates using daily data compiled on different bases.
    1. (a) Through December 1984, rates are on the Tokyo Markets. Through November 20, 1990, rates on collateralized and unconditional. Through December 2006, rates are lending rates of dealing transactions.
    2. (b) Through December 1969, rates are quoted on the most business days during the month (if some rates on same days, average figures of these). From January 1970, monthly averages are arithmetically calculated on the basis of business days.

(Reference) Tokyo Repo Rate (reference institutions average, through October 26, 2012)

  1. See the Terms and Conditions.

(Reference) Repo Rates (Indication, Aggregated, through October 26, 2007)

GC repo (gentan) rate

  1. GC repo (gentan) stands for cash-collateralized JGSs lending.
  2. GC repo (gentan) rate figures are averages of indicative rates (excluding 3 figures on either end) reported by counterparties to the Bank of Japan's purchases/sales of JGSs under repurchase agreements operations. Figures for items reported by fewer than or equal to 6 institutions are recorded as N.A. (Not Available), and figures for items reported by no institutions are recorded as N.R. (Not Reported).
  3. Items may be revised in subsequent releases as appropriate, reflecting market participants' trading activities and information available from reporting institutions.
  4. "Repo Rate" released by the Bank of Japan is intended to complement information offered by the private sector. When this purpose is deemed to have been fulfilled through other means, such as provision of sufficient information by other sources, the Bank of Japan may discontinue the release of "Repo Rate".

SC repo (gentan) rate

  1. SC repo (gentan) stands for cash-collateralized JGSs lending.
  2. SC repo (gentan) rate figures are averages of indicative rates (excluding 3 figures on either end) reported by counterparties to the JGB outright purchases/sales operations. Figures for items reported by fewer than or equal to 6 institutions are recorded as N.A. (Not Available), and figures for items reported by no institutions are recorded as N.R. (Not Reported).
  3. In regard to CTD for most active futures contract, issues are listed in the order of cheapness as judged by the Bank of Japan from the reported issues and labelled "cheapest", "second cheapest", "third cheapest".
  4. Items may be revised in subsequent releases as appropriate, reflecting market participants' trading activities and information available from reporting institutions.
  5. "Repo Rate" released by the Bank of Japan is intended to complement information offered by the private sector. When this purpose is deemed to have been fulfilled through other means, such as provision of sufficient information by other sources, the Bank of Japan may discontinue the release of "Repo Rate".

Repo (repurchase agreement) rate

  1. Repo (repurchase agreement) stands for purchase/sale of JGSs under repurchase agreements.
  2. Repo (repurchase agreement) rate figures are averages of indicative rates (excluding 3 figures on either end) reported by counterparties to the Bank of Japan's purchases/sales of JGSs under repurchase agreements operations. Figures for items reported by fewer than or equal to 6 institutions are recorded as N.A. (Not Available), and figures for items reported by no institutions are recorded as N.R. (Not Reported).
  3. Items may be revised in subsequent releases as appropriate, reflecting market participants' trading activities and information available from reporting institutions.
  4. "Repo Rate" released by the Bank of Japan is intended to complement information offered by the private sector. When this purpose is deemed to have been fulfilled through other means, such as provision of sufficient information by other sources, the Bank of Japan may discontinue the release of "Repo Rate".

(Reference) Average Yields on Newly Issued Domestic Commercial Paper (through October 2009)

  1. Yields on new issues with rate equivalent to A-1 or higher; average rates of several leading dealers.

Average Interest Rates on Certificates of Deposit by Maturity (New Issues)

  1. Figures are calculated as follows: amounts outstanding of issues during the month are aggregated at intervals of 0.1 percentage point, then the average rate is calculated using the lower rates of the intervals, weighted by the aggregated amount at each interval.
  2. Figures represent the rates issued by banks that conduct transactions with the Bank of Japan (only the accounts of domestic offices). Figures exclude the Resolution and Collection Corporation (through March 1999, Resolution and Collection Bank), Kii Deposit Management Bank (dissolved on March 31, 2002), the Bridge Bank of Japan (dissolved on March 8, 2004), the Second Bridge Bank of Japan (the business was transferred on December 26, 2011), and the Japan Post Bank.
  3. (a) Figures through March 1998 are for 5 years.

(Reference) Average Interest Rates on Certificates of Deposit (New Issues) Domestically Licensed Banks (excluding trust subsidiaries and foreign trust banks, through February 2000)

  1. Figures are calculated as follows: amounts outstanding of issues during the month are aggregated at intervals of 0.1 percentage point, then the average rate is calculated using the lower rates of the intervals, weighted by the aggregated amount at each interval.
  2. Figures represent the rates issued by banks that conduct transactions with the Bank of Japan (only the accounts of domestic offices). Figures exclude the Resolution and Collection Corporation (through March 1999, Resolution and Collection Bank), Kii Deposit Management Bank, and the Bridge Bank of Japan. Figures through March 1992 include sogo banks.
    1. (a) Through March 1986, figures include 180-day CD rates.
    2. (b) Through March 1988, figures include 1-year CD rates.
    3. (c) Figures through September 1995 are for 2 years.
    4. (d) Figures through March 1998 are for 5 years.

(Reference) Bill Rates (through March 2001)

  1. Monthly averages are arithmetically calculated on the basis of business days.
  2. Lender rates are adopted. Due to the changes in trading methods, figures for 1, 2 and 3 months (beginning February 16, 1994) and those for 1 week (beginning October 17, 1994) were changed to weighted average rates of the daily all transaction, from rates on the largest transaction of each day. Average figures for February 1994 and October 1994, and those for the period which include these two months, are the result of trial calculation based on the daily data of the above different basis.

(Reference) Japan Premium (through December 2004)

  1. Interest rate quoted by Bank of Tokyo-Mitsubishi less interest rate quoted by Barclays Bank in the Eurodollar market (London).

Foreign Exchange Market

Foreign Exchange Rates

    1. (a) Central rates based on offer and bid rates by interbank market participants, etc. (as of 5:00 p.m.), but transaction rates (closings or quotations as of 3:30 p.m.) through February 1995.
    2. (b) Most traded rate of the day based on the trading volume.
    3. (c) The figures are average central rates between offers and bids collected from several brokers as of 3:30 p.m.. Negative signs ("-") denote discounts and others denote premium.
    4. (d) The volatility statistics presented are average options trading central rates between offers and bids collected from market participants.
    5. (e) Turnover from 9:00 a.m. to noon and from 1:30 p.m. to 3:30 p.m. through February 1995; daily turnover thereafter, each rate is via brokers.
    6. (f) Includes outright forwards.
    7. (g) Bids reported by the Federal Reserve Bank of New York as of noon New York time.
    8. (h) Bids reported by the Federal Reserve Bank of New York as of noon New York time at the end of business day of each month, arbitraged on the Tokyo interbank market (month-end central rates). Through October 1999 the figures show the actual market rates on the New York or London markets.
    9. (i) Data have been "Ecu" through December 1998.
    10. (j) The Conversion rates for "Euro" for participating currencies are the following:
      Deutsche Mark 1.95583, French Franc 6.55957, Netherlands Guilder 2.20371, Belgian Franc 40.3399, Austrian Schilling 13.7603, Italian Lira 1,936.27, Portuguese Escudo 200.482, Spanish Peseta 166.386
    11. (k) Bank of China Ren Min Bi yuan-yen settlement rate.
    12. (l) Korea Exchange Bank official won-yen rate.
    13. (m) Central rates based on offer and bid rates by interbank market participants, etc., but figures before January 4, 1999 represent U.S. dollar/Deutsche mark spot rates.
  1. The Yen Index represents the nominal effective exchange rate of the yen (daily). The methodology of its calculation is basically based on that of the effective exchange rate released by the Bank for International Settlements (BIS). (http://www.bis.org/statistics/eer/index.htm). The weights of trade are calculated once every three years.

Effective Exchange Rates (Nominal, Real)

Bond Market Yields

(Reference) Yields to Subscribers and Issue Terms of Interest-bearing Government Bonds (through January 2004)

  1. Data is categorized by the bond payment date.
    1. (a) Yield at the lowest accepted price under competitive yield auction is the yield of Japanese Government Bonds (JGBs).
    2. (b) The issue price and the yield through August 1987 are decided at Syndicate. From September 1987, weighted average price under competitive price auction is the issue price, and yield at the average price under competitive price auction is the yield.
    3. (c) Interest rate at the first interest date is the nominal coupon rate.
    4. (d) The issue price and the yield through March 1989 are decided at Syndicate. From April 1989, weighted average price under competitive price auction is the issue price, and yield at the average price under competitive price auction is the yield.
    5. (e) Weighted average price under competitive price auction is the issue price, and yield at the average price under competitive price auction is the yield.
    6. (f) Through June 1979, yield at the lowest accepted price under competitive yield auction (except the yield of issuance on March 1979, which was undertaken by Trust Fund Bureau) is the yield. From July 1979, yield at the average price under competitive price auction is the yield.

Deposit Rates

Average Interest Rates Posted at Financial Institutions by Type of Deposit (1) Average Interest Rates Posted on Time Deposits, Installment Savings, Saving Deposits and Ordinary Deposit (from October 1, 2007)

  1. The survey is conducted on approximately 400 financial institutions. Data cover domestically licensed banks (excluding several banks), all correspondent Shinkin banks and Shoko Chukin Bank.
  2. In principle, figures are those at the first business day of the week.

Average Interest Rates Posted at Financial Institutions by Type of Deposit (2) Average Interest Rates on Certificates of Deposit <New Issues> (City Banks, etc.)

  1. Rates are weighted averages according to amount issued during the week.
  2. In principle, the calculation period covers business days of the week staring Monday through Friday, but there are some exceptions due to public holidays.
  3. Figures are those for City Banks, Trust Bank (excludes Trust Banks that were established after 1984), Shinsei Bank and Aozora Bank.

Average Interest Rates on Time Deposits by Term (New Deposits)

  1. Figures are those of banking accounts of domestically licensed banks that conduct transactions with the Bank of Japan, excluding the Resolution and Collection Corporation (through March 1999, Resolution and Collection Bank), Kii Deposit Management Bank (dissolved on March 31, 2002), the Bridge Bank of Japan (dissolved on March 8, 2004), the Second Bridge Bank of Japan (the business was transferred on December 26, 2011), and the Japan Post Bank. Figures exclude regulated interest rate time deposits. Figures include floating interest rate deposits from October 18, 1993. Figures are calculated as follows: new deposits during the month are aggregated at intervals of 0.1 percentage point, then the average rate is calculated using the lower rates of the intervals, weighted by the aggregated amount at each interval.
    1. (a) Figures through September 1993 are for 3 years.
    2. (b) Figures through September 1994 are for 4 years.
    3. (c) Figures through September 1995 are for 5 years.

(Reference) Deposits (through October 3, 1994)

  1. The interest paid on demand and installment deposits, with the exception of those on current deposits, were liberalized on October 17, 1994, by abolishing the upper rate limits based on the Temporary Interest Rates Adjustment Law, and the Bank of Japan guidelines.
  2. * This deposit is also accepted by Post Offices.
  3. "Small Money Market Certificates" and "Maturity Designated Time Deposits with Regulated Rates", abolished on and after June 21, 1993.

(Reference) Postal Savings (through March 2003)

  1. The rates of postal savings are weekly average rates including the end of month, since October 17, 1994.

(Reference) Trust Banks (through June 2006)

    1. (a) Figures are median of the rates of principal banks which deal with money in trust. New rates are applied from the calculation period after the effective date. New rates are applied from the calculation period after the effective date.
    2. (b) Figures are median of the rates (as of the latest month) of main Trust Banks (Mitsubishi UFJ Trust and Banking, Mizuho Trust & Banking, Chuo Mitsui Trust and Banking, and Sumitomo Trust and Banking). These rates are applied to loan trusts that have been newly established on and after effective dates, and trusts whose account settlement date arrive after effective dates.

(Reference) Average Interest Rates Posted at Financial Institutions by Type of Deposit (1) Average Interest Rates Posted on Time Deposits by Term (from October 31, 1991 through September 20, 2007)

  1. Survey conducted on approximately 500 financial institutions. Data cover domestically licensed banks (excluding several banks), all Shinkin banks and part of credit cooperatives, labor credit associations, agricultural cooperatives, fishery cooperatives, and Shoko Chukin Bank.
  2. In principle, the weekly calculation periods comprise business days from Thursday through Wednesday, but there are some exceptions due to public holidays.
  3. Excludes variable interest rate deposits from October 18, 1993.

(Reference) Average Interest Rates Posted at Financial Institutions by Type of Deposit (2) Deposits (from October 17, 1994) (through September 24, 2007)

  1. Survey conducted on approximately 500 financial institutions. Data cover domestically licensed banks (excluding several banks), all Shinkin banks and part of credit cooperatives, labor credit associations, agricultural cooperatives, fishery cooperatives, and Shoko Chukin Bank. In principle, the weekly calculation periods comprise business days from Monday through Friday, but there are some exceptions due to public holidays.
  2. * This deposit is also accepted by Post Offices.

Lending Rates

Average Contract Interest Rates on Loans and Discounts

  1. Figures for Shinkin Banks are those surveyed by the National Association of Shinkin Banks (Through January 2005, Short-term loans are calculated by the Bank of Japan. Aggregates from March to June 2011 do not include figures of some Shinkin Banks).
  2. Total for new loans and discounts excludes overdrafts accounts. Total for Stock includes overdrafts accounts.
  3. Domestically licensed banks are established under the Japanese legislation, and conduct transactions with the Bank of Japan. However, figures exclude the Resolution and Collection Corporation, Kii Deposit Management Bank (dissolved on March 31, 2002), the Bridge Bank of Japan (dissolved on March 8, 2004), the Second Bridge Bank of Japan (Business is transferred on December 26, 2011) and the Japan Post Bank. The calculation method of loan amount outstanding by interest rate is aggregated at intervals of 0.25 percent and the rates in between are rounded off to the lower rate and are average weighted.
    1. (a) Averages of rates on new or extended loans and discounts during the month.
    2. (b) Figures from February 1991 are not consistent with previous data, because the calculation method was changed to that applied to other financial categorization. Includes Sogo Banks through March 1992.
    3. (c) Weighted average of loans on bills and bills discounts.
    4. (d) Rates of loans on deeds.
    5. (e) Weighted average for City Banks, Regional Banks, and Regional Banks 2.
    6. (f) Totals of bank accounts and trust accounts (the trust accounts are all long term).
    7. (g) Total of bank accounts only.
    8. (h) There is no continuity between the data prior to April 2011 and the data from May 2011 because of change in the aggregation methods of some financial institutions.