> Reference Statistical Prices [Yields] for OTC Bond Transactions /Rating Matrix Download
Reference Statistical Prices [Yields] for OTC Bond Transactions /Rating Matrix Download
【Notice on change of final announcement date (shortening)】
JSDA changed (shortened) the final announcement date that comes after January 1, 2016 for the following reasons*
Treasury discount bills, etc. were changed from “six business days before the maturity date” to “three business days before the maturity date”
Fixed-rate JGBs, discount JGBs, and floating-rate JGBs were changed from “four business days before the maturity date” to “three business days before the maturity date”
Municipal bonds, floating-rate municipal bonds, government guaranteed bonds, FILP agency bonds, floating-rate FILP agency bonds, coupon bearing bank debentures, corporate bonds, specified corporate bonds, yen-denominated foreign bonds, and floating-rate corporate bonds were changed from the “last business day of the month before last of month of maturity” to “five business days before the maturity date”
There are no changes if final release date of issue was before January 1, 2016. It also remains unchanged for the date of pre-auction JGBs.
【Downloading CSV data etc.】
Excel format files for data are only available for data posted on and after April 1st, 2010. However, CSV format files for data before April 1, 2010 can be downloaded.
When downloading the data in CSV or some other format, please insert or select the data type, date, and data format required in items 1 to 3, and then click 4 (the download button).
Please do not directly enter the URL into the address bar to download the data. If you do, the search engine may not work properly.
【Update of information】
The reference statistical prices [yields] for OTC bond transactions and the rating matrix are to be posted at 10:00 a.m. Japanese time every business day. Delays in the collection of data or announcements as well as unexpected contingencies may cause delays in updates or the subsequent correction of the published data. In these cases, an advisory message will be posted on the website. Please check the website and see whether any messages have been posted.
【Notes on the Date】
The “Date” on the downloaded page is the latest publication date.
The reference statistical prices [yields] for OTC bond transactions and the rating matrix are prepared based on indicative prices and posted every business day at 3:00 pm. The data is released as of the following business day because reference statistical prices [yields] for OTC bond transactions and the rating matrix are the reference information for the prices [yields] for the next business day.
The reference statistical prices [yields] for OTC bond transactions and the rating matrix based on March 24 at 3:00 p.m. will be released on March 25.
< Reference Statistical Prices [Yields] for OTC Bond Transactions >
The following shows how the reference statistical prices [yields] for OTC bond transactions, which are the prices and yields that serve as reference for over-the-counter bond transactions, are calculated and presented. Please note that there is no guarantee that the bonds can be sold or purchased at these prices.
The reference statistical prices [yields] for OTC bond transactions consist of the “average,” “median,” “highest,” and “lowest” values of the quotations (mid-price quotations for buying and selling) reported by Designated-Reporting Members. The prices for bonds other than corporate bonds, etc. (corporate bonds, specified corporate bonds, and samurai bonds) are calculated using reported quotations after excluding a certain number of outlier quotations by members. The prices for corporate bonds etc. are calculated using all the reported quotations, including the highest and lowest prices.
The average value is the mathematical average price. The median value is the middle value when all the quotations are arranged from the lowest to highest values or vice versa. If the number of reported quotations is even, the median value is the average of the two middle values. The highest and lowest values represent the upper and lower end prices.
Designated-reporting members report quotations to the JSDA that serve as reference for transactions involving an amount of approximately \500 million in face value as of 3:00 p.m. on the business day that comes before the publication day.
If the number of the designated-reporting members is less than five, the reference statistical prices [yields] for OTC bond transactions for these issues are not calculated, and an asterisk (*) is placed in "Number of Reporting Members" columns.
The compound-interest yields for the fixed-rate JGBs, the spread over the basic interest rate for floating-rate JGBs, and the simple-interest yields and unit price for Treasury Discount Bills are posted for JGBs involved in pre-auction government bond transactions.
The spread over the basic interest rate for floating-rate JGBs is posted as an absolute value (no sign) to two decimal places in the “Price (Yen)” column.
The unit price posted for inflation-indexed JGBs does not take into account the price index coefficient.
An asterisk (*) in the “Coupon Rate” column indicates floating-rate bonds.
An asterisk (*) in the “Deviation” column indicates that the difference (absolute value) between the highest and lowest quotations is more than 0.5%.
Designated-reporting members (14 securities companies)
IwaiCosmo Securities, SMBC Nikko Securities, Okasan Securities, Credit Suisse Securities, Shinkin Securities, Shinsei Securities, Daiwa Securities, Tokai Tokyo Securities, Nomura Securities, BNP Paribas Securities (Japan), Marusan Securities, Mizuho Securities, Mitsubishi UFJ Morgan Stanley Securities, and Morgan Stanley MUFG Securities
< Rating Matrix >
This chart is based on the quotations and ratings as of 3:00 p.m. on the business day that comes before the publication day.
Compound Interest Yield(%)
Number of issues
Compound interest yield :The mathematical average of the compound interest yield calculated based on the reported quotations.
Number of issues :Number of issues sorted by rating and time to maturity.
Standard deviation : Standard deviation of compound interest yield calculated based on the reported quotations.
･ Rating Sources
Rating and Investment Information, Inc.
Japan Credit Rating Agency, Ltd.
Standard & Poor's
Japan Securities Dealers Association1-5-8, Kayaba-cho, Nihombashi, Chuo-ku, Tokyo 103-0025