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Reference Statistical Prices [Yields] for OTC Bond Transactions /Rating Matrix Download

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Reference Statistical Prices [Yields] for OTC Bond Transactions
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【Notice Related to the Comparison Chart for Reference Statistical Prices for August 22, 2019】
December 18, 2019
Given the report below of a revision to the reference statistical prices, as reference material, the comparison chart (described below) is now available in both Japanese and in English.
For more details, please see here.

October 17, 2019
Regarding the reference statistical prices published on August 22, 2019, a revision was reported from one designated reporting member. As a result, the JSDA re-calculated the figures for the reference statistical prices from the newly-reported quotations. A comparison chart of the pre- and post-revision figures will be posted on the JSDA website as reference. For a summary of the issues (1,944 issues total) that are subject to the comparison chart, please see here.

【Notice Related to the Final Publication Date (Postponed) of Reference Statistical Prices for Issues Other than JGBs】
With the implementation of the shortened settlement cycle for general bonds (to T+2) on July 13, 2020, the “Final Publication Date of the Reference Statistical Prices” for non-JGB issues that have redemption dates on Friday, July 17, 2020 or after will be changed from “five (5) business days prior to the redemption date” to “four (4) business days prior to the redemption date”.
This change will not be applied to issues that have redemption dates on Thursday, July 16, 2020 or before.
Additionally, please note that for JGBs, the current final publication date (i.e. two (2) business days prior to the redemption date) remains unchanged.

【Notice Related to the Final Publication Date (Postponed) of Reference Statistical Prices】
With the implementation of the shortened settlement cycle for Japanese government bonds (to T+1) on May 1, 2018, the “Final Publication Date of the Reference Statistical Prices” for JGB issues (excluding pre-auction JGBs) that have redemption dates on Thursday, May 3, 2018 or after will be changed from “three (3) business days prior to the redemption date” to “two (2) business days prior to the redemption date”.
his change will not be applied to issues that have redemption dates prior to the aforementioned date. Moreover, for pre-auction JGBs (where the final publication date is on the day of the auction), municipal bonds, floating-rate interest-bearing municipal bonds, etc., government-guaranteed bonds, FILP agency bonds, etc., floating-rate interest-bearing bank debentures, corporate bonds, etc., specified corporate bonds, yen-denominated foreign bonds, and floating-rate interest-bearing corporate bonds, etc., the current final publication date (i.e. five (5) business days prior to the redemption date”) remains unchanged.

【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).
For detailed information on CSV formatted data, please see the Reference for Downloaded Data on Reference Statistical Prices [Yields] for OTC Bond Transactions and the Reference for Downloaded Data on the Rating Matrix. If you open the downloaded CSV data with Microsoft Excel, please use this Item List.
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.
(Release)
 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.
(Example)
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.

【Notes】
< 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 (13 securities companies)
IwaiCosmo Securities, SMBC Nikko Securities, Okasan 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.
*Chart
Compound Interest Yield(%)
Number of issues(Standard Deviation)
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.
Moody's
Standard & Poor's