our fundamental goal of debt management policy is to achieve … · 2018. 5. 10. · t+1 jgb...
TRANSCRIPT
What’s New: T+1 has started p. 2-4 On May 1, 2018, the T+1 JGB settlement cycle has started successfully.
Under this new cycle, all domestic transactions have settlement on the next business day of the contract day in principle.
We summarize the changes with some specific examples.
Monthly Topic: Wage growth and increasing foreign tourists to Japan p. 5 Following this year’s annual wage negotiation known as “Shunto” (the “Spring
Offensive”), the average monthly wage will increase by 2.54% in large enterprises (Keidanren survey) and by 2.10% in all enterprises (Rengo survey). The paces of wage growth have accelerate.
The number of foreign visitors to Japan rose 19.9% in FY2017 to 29.8 million. In Balance of Payment Statistics, the item “Travel”, which is the difference between the amounts paid by travelers to Japan and Japanese travelers abroad, achieved a surplus of 178.3 billion yen in February 2018.
IR Office: To Kyoto p. 6 Our IR activities: We visited Kyoto and made a presentation.
(Statistics) JGB Primary Market … p. 7 Liquidity Enhancement Auctions and JGB Buy-Back … p. 8
JGB Secondary Market … p. 9 Investor Trends and JGB Outstanding … p. 11
Economic and Financial Trends … p. 15 Information … p. 16
Monthly Newsletter of the Ministry of Finance, Japan JAPANESE GOVERNMENT BONDS
SUMMARY
The Ministry of Finance www.mof.go.jp
Our fundamental goal of debt management policy is to achieve stable and smooth financing for our national accounts and to minimize medium-to-long term financing costs.
May 2018
-1-
T+1 JGB settlement cycle has started on May 1, 2018 On May 1, 2018, the T+1 JGB settlement cycle has started successfully. Under this new cycle,
you have settlement on the next business day of the contract day in principle. We summarize the new cycle below.
Overview of shortening of settlement cycle of JGB
Settlement date
On and after May 1, 2018 Before May 1, 2018
Secondary Market T+1
(1 business day after contract) T+2
(2 business days after contract)
Primary Market
General rule T+1
(1 business day after auction) T+2
(2 business days after auction) Interest-bearing bonds
(5-30 Years) issued in March, June, September or December
T+1 (1 business day after auction)
20th day of auction month (following day if 20th day is holiday)
2 Year bonds 1st day of next month of auction
(following day if 1st day is holiday) 15th day of next month of auction
(following day if 15th day is holiday)
* The above table is not changed from that shown in the November 2017 JGB Newsletter.
For better understanding of the new cycle, let us look at some examples below. Almost all settlement dates are 1 business day after contract or auction dates (Hypothetical Example 1 and 2). One exception is 2-Year bonds issued in auctions (Hypothetical Example 3). In addition, please pay attention to holidays in the Japanese market, which are often different from those in other major markets (e.g. NY, London, Hong Kong, Singapore, etc.).
*All transactions in the examples are supposed to be domestic transactions. [Hypothetical Example 1: Secondary Market] Investor A purchases JB350 (10-Year JGB, Issue Number =350). - Contract date: May 1, 2018 - Settlement date: May 2, 2018 [Hypothetical Example 2: Primary Market, General rule] Primary Dealer B purchases JB350 in an auction in May 2018. - Auction date: May 8, 2018 - Settlement date: May 9, 2018 [Hypothetical Example 3: Primary Market, 2-Year bonds] Primary Dealer B purchases JN390 (2-Year JGB, Issue number = 390) in an auction in June. - Auction date: June 28, 2018 - Settlement date: July 2, 2018
(Note: July 1, 2018 is Sunday.)
What’s new
-2-
The auction timetable is also changed as below. New auction timetable (1) Coupon-bearing JGB
Order Administrative work details On and after May 1, 2018 Comparison with
the past (minutes)
Before May 1, 2018
Implementation day Implementation time Implementation day Implementation time
1 Offer
T day
(auction, new
records)
10:30 -
T day
(auction)
10:30
2 Bidding deadline 11:50 -10 12:00
3 Announcement of auction
12:35 -10 12:45
4 Notification of accepted bids 15:00 -60 16:00
5 Inputting new records -17:00 T+1 day
(new records) 8:30-15:00
6 Payment T+1 day
(issuance) 8:30-15:00
T+2 day
(issuance) 8:30-15:00
(2) Coupon-bearing JGB (Non-Price Competitive Auction II)
Order Administrative work details On and after May 1, 2018 Comparison with
the past (minutes)
Before May 1, 2018
Implementation day Implementation time Implementation day Implementation time
1 Offer
T day
(auction, new
records)
14:00 -
T day
(auction)
14:00
2 Bidding deadline 14:30 - 14:30
3 Announcement of auction
15:15 - 15:15
4 Notification of accepted bids 15:50 -10 16:00
5 Inputting new records -17:00 T+1 day
(new records) 8:30-15:00
6 Payment T+1 day
(issuance) 8:30-15:00
T+2 day
(issuance) 8:30-15:00
(3) Liquidity Enhancement Auction
Order Administrative work details On and after May 1, 2018 Comparison with
the past (minutes)
Before May 1, 2018
Implementation day Implementation time Implementation day Implementation time
1 Offer
T day
(auction, new
records)
10:30 -
T day
(auction)
10:30
2 Bidding deadline 11:50 -10 12:00
3 Announcement of auction
12:35 -10 12:45
4 Notification of accepted bids 14:30 -120 16:30
5 Inputting new records -17:00 T+1 day
(new records) 8:30-15:00
6 Payment T+1 day (issuance)
8:30-15:00 T+2 day
(issuance) 8:30-15:00
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(4) T-Bill
Order Administrative work details On and after May 1, 2018 Comparison with
the past (minutes)
Before May 1, 2018
Implementation day Implementation time Implementation day Implementation time
1 Offer
T day
(auction, new
records)
10:20 -
T day
(auction)
10:20
2 Bidding deadline 11:30 - 11:30
3 Announcement of auction
12:30 -5 12:35
4 Notification of accepted bids 15:00 -60 16:00
5 Inputting new records -17:00 T+1 day
(new records) 8:30-15:00
6 Payment T+1 day
(issuance) 8:30-15:00
T+2 day
(issuance) 8:30-15:00
* If issuance day is not T+1 day (e.g. Hypothetical Example 3):
“Order 5: Inputting new records”
Implementation day: one business day before issuance date / Implementation time: -17:00
“Order 6: Payment”
Implementation day: issuance date / Implementation time: 8:30-15:00
(5) Buy-back Program - Settlement date: T+1 day - Auction timetable: no change If you have any question, feel free to ask us: [email protected] Useful links on the shortening of JGB settlement cycle:
MOF “JGB Newsletter November 2017, Q&A: T+1 JGB settlement cycle”
https://www.mof.go.jp/english/jgbs/publication/newsletter/jgb2017_11e.pdf
MOF “Debt Management Report 2017, Column 5 Progress in Shortening of Settlement Cycles”
https://www.mof.go.jp/english/jgbs/publication/debt_management_report/2017/index.html
BOJ “Market Operations following the Shortening of JGB Settlement Cycle to T+1”
http://www.boj.or.jp/en/announcements/release_2018/rel180404a.pdf
JSDA “Points to Note for Post-Trade Processing (Settlement Matching) of JGB Transactions”
http://market.jsda.or.jp/shiraberu/saiken/content/Points_to_Note_for_Post-Trade_Processing(Settlement_Matching).pdf
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1. Wage growth continues: “Shunto” In Japan, there are annual wage negotiations known as “Shunto” (the “Spring Offensive”) that
take place in spring. Following this year’s Shunto, the average monthly wage will increase by 2.54% in large enterprises (Keidanren survey) and by 2.10% in all enterprises (Rengo survey). The paces of growth have accelerated from those of the previous year in both surveys.
2. The number of foreign tourists to Japan is increasing The Japanese government has taken measures to increase the number of foreign tourists to
Japan and tourism development is one of the growth strategies under the Abenomics Policy. As shown in the left-hand side below, according to the Japan National Tourism Organization,
the number of foreign visitors to Japan in fiscal year 2017 rose 19.9 percent from the previous year to 29.8 million. The right-hand side shows the item “Travel” in Balance of Payments Statistics, which is the
difference between the amounts paid by travelers to Japan and Japanese travelers abroad. In the latest data released on April 9, 2018, the item achieved a surplus of 178.3 billion yen in February 2018, supported by the increase of foreign tourists to Japan.
MONTHLY TOPIC
(Source) Japan National Tourism Organization
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“Travel” in Balance of Payments
(Source) Ministry of Finance
The number of foreign visitors to Japan
Change in average wages related to Shunto (Keidanren survey) (Large enterprises listed on the 1st section of Tokyo Stock Exchange)
Source: Japanese Trade Union Confederation (JTUC-RENGO)
Note1: All the figures are calculated based on “the number of union members weighted average growth”.
Note2: The figure of 2018 is cited from the extra survey as of April 19 while the others are cited
from the result of final survey.
Change in average wages related to Shunto (RENGO survey) (All enterprises including SMEs)
1.83%
2.28%
2.52%
2.27%2.34%
2.54%
1.0%
1.5%
2.0%
2.5%
3.0%
2013 2014 2015 2016 2017 2018
(YoY)
Source: Japan Business Federation (Keidanren)
Note1: The figure of 2018 is cited from the first survey as of April 25 while the others are cited from the
result of final survey.
1.71%
2.07%2.20%
2.00% 1.98%2.10%
1.0%
1.5%
2.0%
2.5%
3.0%
2013 2014 2015 2016 2017 2018
(YoY)
At the end of March 2018, Mr. Tsuji, Director of the Debt Management Policy Division, Financial Bureau, made a presentation in Kyoto, the old capital of Japan, to participants from foreign central banks and various financial institutions. The title of the presentation was “Japan’s Economy and Public Debt Management” which covered a broad range of topics. Firstly, he explained the recent development of the Japanese economy and the fiscal policy, including the progress of Abenomics. After that, he explained the current debt management policy and the FY2018 JGB issuance plan, emphasizing the importance of JGB issuance from the viewpoint of mid- and long-term market demand. Finally, he described the medium- and long-term view of the Japanese economy and the future of debt management policy, along with the long term trend of the economy and demographics. In the Q&A session, there were many important questions and that made the presentation much more valuable. We hope that all of the participants fully enjoyed the
presentation and the fully bloomed cherry blosssoms (sakura) in Kyoto.
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IR OFFICE
If you have any questions regarding the contents of this newsletter, please do not hesitate to contact us at: [email protected]
Auction Results
(Bonds)
Auction Date Type of Security Issue Number Maturity Date Nominal
Coupon
Amounts of Competitive
Bids (billion yen)
Amounts of Bids
Accepted (billion yen)
Yield at the Lowest
Accepted Price
Yield at the Average
Price
Amounts of Non-Competitive Bids Tendered
/Accepted (billion yen)
Amounts of Bids Accepted at the
Non-price- competitive Auction Ⅰ (billion yen)
Amounts of Bids Accepted at the
Non-price- competitive Auction Ⅱ (billion yen)
2/1/2018 10-year 349 12/20/2027 0.1% 8,818.8 1,923.7 0.090% 0.088% 0.386 374.8 157.4 2/6/2018 10-year Inflation-Indexed Bonds 22 3/10/2027 0.1% 1,352.7 400.0 ▲0.464% - - - 40.8 2/8/2018 30-year 57 12/20/2047 0.8% 2,763.1 646.7 0.822% 0.820% - 152.1 113.1 2/14/2018 5-year 134 12/20/2022 0.1% 8,398.8 1,797.7 ▲0.093% ▲0.093% - 401.3 281.8 2/22/2018 20-year 163 12/20/2037 0.6% 3,595.4 809.0 0.563% 0.561% - 189.8 147.1 2/27/2018 2-year 386 3/15/2020 0.1% 10,387.0 1,779.5 ▲0.159% ▲0.160% - 419.8 187.4 3/1/2018 10-year 350 3/20/2028 0.1% 8,430.3 1,859.5 0.062% 0.061% 0.465 438.9 340.1 3/6/2018 30-year 58 3/20/2048 0.8% 2,740.8 647.1 0.753% 0.750% - 152.1 88.1 3/13/2018 5-year 135 3/20/2023 0.1% 7,469.5 1,786.3 ▲0.106% ▲0.108% - 413.0 - 3/15/2018 20-year 164 3/20/2038 0.5% 3,597.3 804.9 0.544% 0.543% - 194.1 127.7 3/27/2018 40-year 10 3/20/2057 0.9% 1,593.5 499.5 0.885% - - - 66.6 3/29/2018 2-year 387 4/15/2020 0.1% 7,919.8 1,704.5 ▲0.137% ▲0.138% - 395.4 - 4/3/2018 10-year 350 3/20/2028 0.1% 7,445.8 1,789.7 0.033% 0.032% 1.286 408.2 328.4 4/12/2018 30-year 58 3/20/2048 0.8% 2,451.0 565.1 0.716% 0.714% - 133.7 103.7 4/17/2018 5-year 135 3/20/2023 0.1% 7,144.8 1,623.9 ▲0.118% ▲0.120% - 375.4 - 4/19/2018 20-year 164 3/20/2038 0.5% 2,972.2 804.4 0.505% 0.500% - 194.7 - 4/24/2018 2-year 388 5/15/2020 0.1% 9,349.0 1,733.3 ▲0.134% ▲0.134% - 366.5 199.2
Auction Results
(Treasury Discount Bills)
Auction Date Type of Security Issue Number Maturity Date
Amounts of Competitive Bids
(billion yen)
Amounts of Bids Accepted
(billion yen)
Yield at the Lowest
Accepted Price
Yield at the Average
Price
Amounts of Bids Accepted at the
Non-price- competitive Auction Ⅰ (billion yen)
2/1/2018 3-month 736 5/7/2018 15,839.90 3,577.95 ▲0.1503% ▲0.1595% 842.00 2/7/2018 6-month 737 8/10/2018 9,728.50 1,888.76 ▲0.1454% ▲0.1495% 411.20 2/8/2018 3-month 738 5/14/2018 15,970.80 3,629.04 ▲0.1479% ▲0.1524% 790.90 2/15/2018 3-month 739 5/21/2018 19,493.30 3,603.72 ▲0.1563% ▲0.1607% 836.20 2/16/2018 1-year 740 2/20/2019 10,826.40 1,867.18 ▲0.1607% ▲0.1627% 432.80 2/22/2018 3-month 741 5/28/2018 17,187.30 3,538.87 ▲0.1764% ▲0.1880% 821.10 3/1/2018 3-month 742 6/4/2018 15,045.16 3,578.08 ▲0.1944% ▲0.2112% 841.90 3/7/2018 6-month 743 9/10/2018 9,656.10 1,884.38 ▲0.1543% ▲0.1623% 415.60 3/8/2018 3-month 744 6/11/2018 13,994.70 3,563.06 ▲0.1824% ▲0.1976% 826.90 3/15/2018 3-month 745 6/18/2018 15,809.76 3,535.38 ▲0.1423% ▲0.1539% 834.60 3/16/2018 1-year 746 3/20/2019 10,318.40 1,885.16 ▲0.1408% ▲0.1427% 414.80 3/22/2018 3-month 747 6/25/2018 15,692.90 3,519.17 ▲0.1503% ▲0.1587% 830.80 4/3/2018 3-month 748 7/2/2018 17,689.80 3,545.54 ▲0.1326% ▲0.1393% 804.40 4/5/2018 3-month 749 7/9/2018 20,192.30 3,545.14 ▲0.1303% ▲0.1355% 834.80 4/6/2018 6-month 750 10/10/2018 13,304.10 1,868.80 ▲0.1534% ▲0.1594% 431.20 4/12/2018 3-month 751 7/17/2018 18,885.40 3,545.27 ▲0.1625% ▲0.1685% 834.70 4/18/2018 1-year 752 4/22/2019 11,598.50 1,700.10 ▲0.1757% ▲0.1796% 399.90 4/19/2018 3-month 753 7/23/2018 16,287.90 3,576.56 ▲0.1744% ▲0.1804% 843.40 4/26/2018 3-month 754 7/30/2018 15,381.10 3,575.27 ▲0.1358% ▲0.1556% 804.70
Auction Calendar for May. 2018 – Jul. 2018 Auction Date Issue Auction Date Issue Auction Date Issue Auction Date Issue
5/2(Wed) T-Bills (3-month) 5/25(Fri) T-Bills (3-month) 6/21(Thu) 5-year 7/18(Wed) Liquidity Enhancement Auction (remaining maturities of 5-15.5 years)
5/2(Wed) Liquidity Enhancement Auction (remaining maturities of 1-5 years) 5/29(Tue) 40-year 6/22(Fri) T-Bills (3-month) 7/19(Thu) T-Bills (1-year)
5/8(Tue) 10-year 5/31(Thu) 2-year 6/26(Tue) 20-year 7/20(Fri) T-Bills (3-month)
5/9(Wed) T-Bills (6-month) 6/1(Fri) T-Bills (3-month) 6/28(Thu) 2-year 7/20(Fri) Liquidity Enhancement Auction (remaining maturities of 1-5 years)
5/10(Thu) 10-year Inflation-Indexed Bonds 6/5(Tue) 10-year 6/29(Fri) T-Bills (3-month) 7/24(Tue) 40-year
5/11(Fri) T-Bills (3-month) 6/7(Thu) T-Bills (6-month) 7/3(Tue) 10-year 7/26(Thu) 2-year 5/15(Tue) 30-year 6/7(Thu) Liquidity Enhancement Auction
(remaining maturities of 15.5-39 years) 7/5(Thu) 30-year 7/27(Fri) T-Bills (3-month)
5/17(Thu) T-Bills (1-year) 6/8(Fri) T-Bills (3-month) 7/6(Fri) T-Bills (3-month)
5/17(Thu) 5-year 6/12(Tue) Liquidity Enhancement Auction (remaining maturities of 5-15.5 years) 7/9(Mon) T-Bills (6-month)
5/18(Fri) T-Bills (3-month) 6/14(Thu) T-Bills (3-month) 7/10(Tue) 5-year 5/22(Tue) 20-year 6/19(Tue) T-Bills (1-year) 7/12(Thu) 20-year 5/24(Thu) Liquidity Enhancement Auction
(remaining maturities of 5-15.5 years) 6/19(Tue) 30-year 7/13(Fri) T-Bills (3-month)
Top 10 PDs by Total Purchase in Auctions (Calculated by Duration) (Oct. 2017 ~ Mar. 2018) 1 Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. 6 Merrill Lynch Japan Securities Co., Ltd. 2 Nomura Securities Co., Ltd. 7 SMBC Nikko Securities Inc. 3 Daiwa Securities Co. Ltd. 8 Deutsche Securities lnc. 4 Mizuho Securities Co., Ltd. 9 Goldman Sachs Japan Co., Ltd. 5 BNP Paribas Securities (Japan) Limited 10 Morgan Stanley MUFG Securities Co., Ltd.
JGB PRIMARY MARKET
Note.1: The above calendar may be changed or added in light of changes in circumstances. In such cases, it will be announced in advance. Note.2: Each issue amount will be announced about one week prior to each auction date.
(Until 27 April 2018)
(Until 27 April 2018)
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Results of Liquidity Enhancement Auctions
Auction Date Amounts of Competitive
Bids (billion yen)
Amounts of Bids
Accepted (billion yen)
Average Accepted Spread
Highest Accepted Spread
Issues Re-opened
2/16/2018 1,114.8 398.2 ▲0.007% ▲0.006% 20-year(149, 150, 152, 154, 155, 156) 30-year(13, 21, 30, 31, 32, 33, 34, 36, 40, 46, 47, 51, 52) 40-year(5, 7, 8, 9)
2/20/2018 2,087.4 548.9 ▲0.008% 0.001% 10-year(329, 334, 347, 348) 20-year(67, 69, 70, 71, 72, 73, 74, 77, 81, 83, 84, 94, 109, 123, 124, 125, 132, 133, 136, 137) 30-year(4)
3/8/2018 1,472.8 300.0 ▲0.033% ▲0.023% 5-year(124, 125, 126, 131) 10-year(311) 20-year(43)
3/20/2018 1,948.9 549.4 ▲0.002% 0.001% 10-year(328, 329, 330, 331, 338) 20-year(61, 66, 73, 81, 86, 122, 130) 30-year(2, 3, 10)
4/5/2018 1,242.2 499.5 0.002% 0.008% 20-year(150) 30-year(22, 26, 27, 28, 29, 32, 33, 34, 35, 36, 40, 41, 42, 45, 46, 47, 48, 49, 50, 51, 52, 54, 56, 57) 40-year(1, 2, 4, 5, 6)
4/10/2018 2,336.6 598.2 ▲0.002% 0.000% 10-year(329, 330, 332, 334, 340, 341, 346, 348) 20-year(63, 75, 76, 77, 84, 85, 92, 93, 94, 97, 113, 120, 125, 126, 134, 143, 144, 146)
Target Zones of Liquidity Enhancement Auctions for the First Quarter of FY 2018
10-year Inflation-Indexed
Auction Date Amounts of
Competitive Bids (billion yen)
Amounts of Bids Accepted
(billion yen)
Average Accepted
Spread (yen)
Highest Accepted
Spread (yen) Issue Numbers
10/20/2017 90.2 20.0 ▲0.182 ▲0.09 18, 19, 20, 22 12/11/2017 102.5 20.0 ▲0.004 0.05 18, 19, 20, 21, 22 2/13/2018 115.4 20.0 ▲0.211 ▲0.17 17, 20, 21, 22 4/11/2018 111.6 20.1 ▲0.082 ▲0.06 TBA
LIQUIDITY ENHANCEMENT AUCTIONS AND JGB BUY-BACK
①Remaining maturity : approx.1‐~5‐year
③Remaining maturity : approx.15.5‐~39‐year
Note1: JN shows 2‐year JGBs. JS shows 5‐year JGBs. JL shows 20‐year JGBs. JX shows 30‐year JGBs. JU shows 40‐year JGBs. Outstanding amount is as of the end of March 2018. Note2: All issues in the graph above will be eligible afterward.
Buy-back Results
(Until 27 April 2018)
(Until 27 April 2018)
②Remaining maturity : approx.5‐~15.5‐year
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0500
1,0001,5002,0002,5003,0003,5004,0004,5005,0005,5006,0006,5007,000
JN37
6
JN37
7
JS11
8
JS11
9
301
302
JN37
8
JN37
9
JN38
0
JS12
0
JS12
1
303
304
JL43
JN38
1
JN38
2
JN38
3
JS12
2
305
JN38
4
JN38
5
JN38
6
JS12
3
306
307
JL44
JL45
JS12
4
308
309
JL46
JS12
5
310
311
JL47
JS12
6
312
JL48
JS12
7
313
314
JL49
JL50
JS12
8
315
316
JL51
JS12
9
317
318
JL52
JS13
0
319
320
JL53
JL54
JS13
1
321
322
JL55
JS13
2
323
324
JL56
JL57
JS13
3
325
JL58
JS13
4
326
327
JL59
JL60 328
JL61
Amount issued by Liquidity Enhancement Auction Outstanding amount in the market (excluding amount issued by Liquidity Enhancement Auction)
1 2 5
(Remaining maturities)
(billion yen)
0500
1,0001,5002,0002,5003,0003,5004,000
JL14
7
JX13
JL14
8
JX14
JL14
9
JX15
JL15
0
JX16
JL15
1
JX17
JL15
2
JX18
JL15
3
JX19
JL15
4
JX20
JL15
5
JX21
JL15
6
JX22
JL15
7
JX23
JL15
8
JX24
JL15
9
JX25
JL16
0
JX26
JL16
1
JL16
2
JX27
JL16
3
JX28
JX29
JX30
JX31
JX32
JX33
JX34
JX35
JX36
JX37
JX38
JX39
JX40
JX41
JX42
JX43
JX44
JX45
JX46
JX47
JX48
JX49
JX50
JX51
JX52
JX53
JX54
JX55
JX56
JX57 JU1
JU2
JU3
JU4
JU5
JU6
JU7
JU8
JU9
JU10
Amount issued by Liquidity Enhancement Auction Outstanding amount in the market (excluding amount issued by Liquidity Enhancement Auction)(billion yen)
(Remaining maturities)15.5 20 39
0500
1,0001,5002,0002,5003,0003,5004,0004,5005,000
329
JL62
JL63 33
033
1JL
64 332
JL65
JL66 33
3JL
67JL
68JL
69 334
JL70
JL71 33
5JL
72 336
337
JL73
JL74 33
8JL
75JL
76JL
77 339
JL78
JL79
JL80 34
0JL
81JL
82 341
JL83
JL84 34
2JL
85JL
86JL
87 343
JL88
JL89 34
4JL
90JL
91 345
JL92 34
6JL
93JL
94 347
JL95
JL96 34
8JL
97JL
98 349
JL99
JL10
0JL
101
JL10
2JL
103
JL10
4JL
105
JL10
6JL
107
JL10
8JL
109
JL11
0JL
111
JL11
2JL
113
JX1
JL11
4JL
115
JX2
JL11
6JL
117
JX3
JL11
8JL
119
JL12
0JL
121
JL12
2JX
4JL
123
JL12
4JL
125
JL12
6JL
127
JX5
JL12
8JL
129
JL13
0JL
131
JX6
JL13
2JL
133
JL13
4JL
135
JL13
6JX
7JL
137
JL13
8JL
139
JL14
0JX
8JL
141
JL14
2JX
9JL
143
JL14
4JX
10JL
145
JX11
JL14
6JX
12
Amount issued by Liquidity Enhancement Auction Outstanding amount in the market (excluding amount issued by Liquidity Enhancement Auction)
5 10 15.5
(Remaining maturities)
(billion yen)
Note: BEI (Japan: 10 year) is calculated based on the compound interest rate of the new Inflation-Indexed Bonds and the 10-Year Bonds
Source: Japan: Calculation by the Ministry of Finance based on the information on interest rates offered by NIKKEI QUICK. U.S.A., U.K.: Bloomberg.
JGB SECONDARY MARKET JGB Yield Curves
Source: Japan Bond Trading Co.,Ltd.
Yields of JGB
Long - Term Interest Rates (10Yr) Source: Bloomberg
Source: Bloomberg
-9-
Yield and Volatility (10Yr)
Break-Even Inflation Rates
Source: Bloomberg, Calculation by the Ministry of Finance
(Until 30 March 2018)
(Until 30 March 2018)
(Until 30 March 2018)
(Until 30 March 2018)
-1%
0%
1%
2%
3%
4%
5%
Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
BEI (Japan : 10 year)
BEI (U.S.A. : 10 year)
BEI (U.K. : 10 year)
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
Call Rate (Uncollateralized Overnight)
TIBOR 3-months (Euro-Yen)
Basic Loan Rate
Short-Term Interest Rates
Source: Bank of Japan, Japanese Bankers Association
JGB Over-the-Counter Trading Volume (TOKYO)
Trading Volume of 10-Year JGB Futures
Repurchase Transactions
-10-
Source: Japan Securities Dealers Association
Source: Tokyo Stock Exchange (until Mar.2014), Osaka Exchange (from Apr. 2014)
Source: Japan Securities Dealers Association
(trillion yen)
(trillion yen)
(trillion yen)
(Until 30 March 2018)
0
20
40
60
80
100
120
140
Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
160
180
200
0
10
20
30
40
50
Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18
190200210220230240250260
Super long-term
Long-term
Medium-term
T-bills
-9.0
-7.0
-5.0
-3.0
-1.0
1.0
3.0
5.0
7.0
JanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJan
City Banks
Net Purchase
Net Sale
2013 2014 2015 2016 2017 2018
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
Jan Apr Jul OctJan Apr Jul OctJan Apr Jul OctJan Apr Jul OctJan Apr Jul OctJan
Regional banks
Net Purchase
Net Sale
2013 2014 2015 2016 2017 2018
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
JanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJan
Life and non-life insurance companies
Net Purchase
Net Sale
2013 2014 2015 2016 2017 2018
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
10.0
12.0
14.0
16.0
18.0
20.0
22.0
24.0
JanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJanApr Jul OctJan
Foreigners
Net Purchase
Net Sale
2013 2014 2015 2016 2017 2018
(unit: trillion yen)(unit: trillion yen)
(unit: trillion yen) (unit: trillion yen)
-11-
Trends in Bank Assets by Types
INVESTOR TRENDS AND JGB OUTSTANDING Trends in JGBs Transactions (by investor type)
BOJ Trends
Regional Banks City Banks
Source: Bank of Japan
(trillion yen) (trillion yen)
Loans
Cash and Deposits
Government Bonds
Municipal Bonds
Corporate Bonds
Equities
Foreign Securities
Source: Bank of Japan
Source: Japan Securities Dealers Association
-12-
JGBs Holdings by Foreign Investors
Banks(Banking Accounts) Life Insurance Companies
Transactions of Domestic Securities by Non-Residents
Note: “JGB” includes T-Bills. Source: Bank of Japan
Source: Ministry of Finance Source: Japan Securities Dealers Association
Outstanding of Repurchase Agreements (by Investor types)
Transactions of Foreign Securities by Residents (by Investor types)
Source: Ministry of Finance
Foreign Investors Presence
Note.1: Quarterly basis. Note.2: “JGB” includes T-Bills. The figures of ②excludes dealers’ transactions. Source: Bank of Japan, Japan Securities Dealers Association, Tokyo Stock Exchange,
Osaka Exchange
(trillion yen)
(trillion yen)
(trillion yen)
Source: Ministry of Finance
0
50
100
150
200
250
300
350
400
450
500
550
600
650
700
750
800
850
FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 FY2013 FY2014 FY2015 FY2016
18.6% 17.0% 17.8% 18.3% 18.2% 17.9% 17.3% 16.4% 15.1% 14.3%
11.5% 11.4%13.0% 12.5% 11.9% 12.4% 12.0% 11.1% 10.6% 10.5%
8.2% 8.9%8.5%
7.9% 8.6% 8.1% 7.8% 7.8% 7.9% 7.7%9.0% 9.2%
8.4%9.0% 8.6% 8.1% 8.1% 8.2% 7.8% 8.2%
8.6% 8.4%
8.8%8.4% 7.8%
7.8% 7.8% 7.4% 7.8% 6.8%
4.6% 5.3%
5.2%4.7%
4.9%4.4% 4.2% 5.0% 4.2% 4.4%
5.6% 5.6%
4.9%5.2% 4.6%
4.5%5.0% 4.3% 4.4% 4.8%
6.0% 5.5%
5.5%4.8%
4.8%5.3%
4.5% 4.5% 5.0% 4.8%
5.9% 6.2%
5.2%5.1%
5.6%4.7%
4.8% 5.2% 4.9% 5.1%
5.5% 5.0%
4.7%5.2%
4.4%4.3%
4.6% 4.2% 4.5% 4.1%
14.5% 14.8%
14.4%
14.4%14.9%
15.6%16.5%
17.7%18.4% 19.2%
2.0% 2.7%
3.6%
4.6%
5.8%
6.7%
7.5%8.3%
9.4%10.1% 20 yrs-
10-20 yrs
9-10 yrs
8-9 yrs
7-8 yrs
6-7 yrs
5-6 yrs
4-5 yrs
3-4 yrs
2-3 yrs
1-2 yrs
-1 yr
(trillion yen)
(at the end of FY)
541.5 545.9
594.0
636.3669.9
705.0
743.9
774.1805.4
*years to maturity
Average
YTM* 6Y1M 6Y3M 6Y5M 6Y8M 7Y0M 7Y3M 7Y7M 8Y0M 8Y5M 8Y7M
Average YTM*
(excluding saving
bonds)6Y1M 6Y4M 6Y6M 6Y10M 7Y1M 7Y5M 7Y8M 8Y0M 8Y5M 8Y8M
830.6
General Government
(ex Public Pensions)
3.4
0.3%
Fiscal Loan
Fund
0.0
0.0%
BOJ
449.4
41.1%
Banks,etc.
211.1
19.3%
Life and Non-life
Insurance,etc.
205.6
18.8%
Public
Pensions
45.9
4.2%
Pension
Funds
30.1
2.8%
Foreigners
122.5
11.2%
Households
12.4
1.1%
Others
12.0
1.1%
General Government
(ex Public Pensions)
3.4
0.3%
Fiscal Loan
Fund
0.0
0.0%
BOJ
427.2
43.2%
Banks,etc.
193.9
19.6%
Life and Non-life
Insurance,etc.
203.5
20.6%
Public
Pensions
45.9
4.6%
Pension
Funds
30.1
3.0% Foreigners
59.8
6.1%
Households
12.4
1.3%
Others
12.0
1.2%
JGB and T-Bill Holders
Breakdown by JGB and T-Bill Holders (The end of Dec. 2017 QE)
Source: Bank of Japan “Flow of Funds Accounts (Preliminary Figures)” Note1: “JGB” includes “FILP Bonds.” Note2: “Banks, etc.” includes “Japan Post Bank”, “Securities investment trust” and “Securities companies.” Note3: “Life and Non-life insurance, etc.” includes “Japan Post Insurance.”
(trillion yen)
Breakdown of Outstanding Amount of General Bonds by Remaining Years to Maturity
T-Bill Holders
Total 104.2 trillion yen
JGB Holders
Total 988.2 trillion yen
Total 1,092.4 trillion yen
-13-
General Government
(ex Public Pensions)
0.0
0.0% Fiscal Loan
Fund
0.0
0.0%BOJ
22.2
21.3%
Banks,etc.
17.2
16.5%
Life and Non-life
Insurance,etc.
2.1
2.1%
Public
Pensions
0.0
0.0%
Pension
Funds
0.0
0.0%
Foreigners
62.7
60.1%
Households
0.0
0.0%
Others
0.0
0.0%
Types The amount of redemption at maturity Scheduled redemption date
15-Year Floating-Rate Bonds 601.8 May 20
2-Year Bonds 2,304.0 May 15
Treasury Bill 2,000.0 May 21
Total 4,905.8
Source: Ministry of Finance
Time-to-Maturity Structure of Outstanding JGB(Dec. 2017)
General Bonds Issuance Amount and Outstanding
Note 1: Issuance Amount: revenue basis, FY2007-2016: Actual, FY2017: Supplementary budget, FY2018: Initial budget Note 2: Outstanding: nominal basis, FY2007-2016: Actual, FY2017: Supplementary budget, FY2018: Initial budget Source: Ministry of Finance
Market-held Balance of the Inflation-Indexed Bonds (as of the end of March, 2018)
(trillion yen)
Scheduled redemption of JGB at maturity in May, 2018
Note.1: The figures are based on the outstanding JGBs at the end of March, 2018. Note.2: The figures are the scheduled redemption at maturity and may be different from the actual redemption due to Buy-back of JGBs. Note.3: The figures do not include "JGB for Retail Investors". Note.4: If the redemption date coincides with bank holiday, the payment of redemption is carried out on the following business day. Note.5: Figures may not sum up to total because of rounding.
(billion yen)
-14-
Source: Ministry of Finance, Bank of Japan
31.97
108.35
83.27
69.27
60.61
52.55
42.0039.48
42.32 40.11
27.35
12.1914.35 16.19
15.76
18.56 18.1019.89
19.17 18.0011.43
4.75 5.32 6.41 6.96 6.24 8.19 9.46 10.83 9.23 6.341.31 1.33 1.93 1.87 1.96 2.07 2.27 2.39 1.56
0102030405060708090
100110120130
17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56
(trillion yen)
(FY)
Treasury Bills2-yr bondsJGBs for retail investors (3-yr-Fixed-rate)JGBs for retail investors (5-yr-Fixed-rate)5-yr bondsInflation-Indexed bondsJGBs for retail investors (Floating-rate)10-yr bonds15-yr-floating-rate bonds20-yr bonds30-yr bonds40-yr bonds
Average remaining years to maturity: 8 years and 9 months
541.5 545.9594.0
636.3669.9
705.0743.9 774.1
805.4 830.6863.9 882.8
124.6 127.1 142.4 143.1
163.1 163.3 153.6 158.0 150.5
148.3 144.1 137.9
100
200
300
400
500
600
700
800
900
0
30
60
90
120
150
180
07 08 09 10 11 12 13 14 15 16 17 18
Outstanding (right-hand scale) Issuance Amount (left-hand scale)
0100200300400500600700800900
1,0001,1001,2001,3001,4001,5001,6001,7001,8001,9002,0002,1002,200
16 17 18 19 20 21 22
(billion yen)
(issue number)
Outstanding amount(excl. BOJ holding)BOJ holding
Old type(without
floor)
Market BOJ TotalOld 252 182 435New 6,599 1,347 7,947
4.7
-2.5-1.5
0.8
4.73.7
3.2
-0.2
3.6
-6.8
-0.1
2.6
5.5
0.2 0.4
-1.1
2.71.3
0.9 1.11.9
2.42.4
1.6
-12.0
-10.0
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
Ⅰ Ⅱ Ⅲ Ⅳ Ⅰ Ⅱ Ⅲ Ⅳ Ⅰ Ⅱ Ⅲ Ⅳ Ⅰ Ⅱ Ⅲ Ⅳ Ⅰ Ⅱ Ⅲ Ⅳ Ⅰ Ⅱ Ⅲ Ⅳ
2012 2013 2014 2015 2016 2017
(%)
Private Demand Public Demand
Foreign Demand Real GDP
Annualized rate of Change from the previous quarter (Seasonally adjusted)
(CY)
2.3
3.2
4.3 3.8
5.4
4.4
5.5
4.1
4.3
1.8
3.3
0.9
2.1
1.1 1.6
-0.0
1.6 2.1
1.7
-1.0 -0.5
0.9
2.0 1.6
4.3
3.9
4.9
3.1
5.9
4.6
5.8
4.1
6.0
4.6
7.0
4.3
-8
-6
-4
-2
0
2
4
6
8
2009
Q120
09Q2
2009
Q320
09Q4
2010
Q120
10Q2
2010
Q320
10Q4
2011
Q120
11Q2
2011
Q320
11Q4
2012
Q120
12Q2
2012
Q320
12Q4
2013
Q120
13Q2
2013
Q320
13Q4
2014
Q120
14Q2
2014
Q320
14Q4
2015
Q120
15Q2
2015
Q320
15Q4
2016
Q120
16Q2
2016
Q320
16Q4
2017
Q120
17Q2
2017
Q320
17Q4
Primary Income Trade BalanceServices Secondary IncomeCurrent Account
-70%
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
Jan-
09
May
-09
Sep-
09
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
Jan-
15
May
-15
Sep-
15
Jan-
16
May
-16
Sep-
16
Jan-
17
May
-17
Sep-
17
(Diffusion index)
Large enterprises/Manufacturing
Large enterprises/Non-Manufacturing
Small enterprises/Manufacturing
Small enterprises/Non-Manufacturing
Real GDP Growth Rate
Employment Conditions
Prices
Changes in Current Account
Monetary Base Indices of Industrial Production
Total Value of Machinery Orders (Private Sector exc. Volatile orders)
TANKAN (Business Conditions)
Source: Cabinet Office "Quarterly Estimates of GDP"
Source: Ministry of Internal Affairs and Communications “CPI”
Source: Ministry of Health, Labour and Welfare “Employment Referrals for General Workers “, Ministry of Internal Affairs and Communications “Labour Force Survey”
Source: Ministry of Finance “Balance of Payments"
Source: Ministry of Economy, Trade and Industry "Indices of Industrial Production”
Source: Cabinet Office, Government of Japan "Orders Received for Machinery"
(trillion yen)
ECONOMIC AND FINANCIAL TRENDS
Source: Bank of Japan "Monetary Base"
Source: Bank of Japan "Tankan"
-15-
English Publications on JGBs Frequency URL Debt Management
Message from the Financial Bureau As needed https://www.mof.go.jp/english/jgbs/debt_management/message.htm
About JGBs As needed https://www.mof.go.jp/english/jgbs/debt_management/guide.htm
About the Debt Management Policy As needed https://www.mof.go.jp/english/jgbs/debt_management/about.htm
JGB Issuance Plan As needed https://www.mof.go.jp/english/jgbs/debt_management/plan/index.htm
Auction Calendar
Auction Calendar Monthly https://www.mof.go.jp/english/jgbs/auction/calendar/index.htm
Historical Data of Auction Results Each Auction https://www.mof.go.jp/english/jgbs/auction/past_auction_results/index.html
Topics
Product Characteristics of the JGB As needed https://www.mof.go.jp/english/jgbs/topics/bond/index.html
Treasury Discount Bills (T-Bills) Annual https://www.mof.go.jp/english/jgbs/topics/t_bill/index.htm
Japanese Government Guaranteed Bonds Annual https://www.mof.go.jp/english/jgbs/topics/gov_guaranteed_bonds/index.htm
Interest Rate Swap Semiannual https://www.mof.go.jp/english/jgbs/topics/swap/index.htm
Taxation of Government Bonds As needed https://www.mof.go.jp/english/jgbs/topics/taxation2016/index.html
For Individual Investors As needed https://www.mof.go.jp/english/jgbs/topics/individual/index.htm
Data
Central Government Debt Quarterly https://www.mof.go.jp/english/jgbs/reference/gbb/index.htm
Interest Rate Daily https://www.mof.go.jp/english/jgbs/reference/interest_rate/index.htm
STRIPS Monthly https://www.mof.go.jp/english/jgbs/reference/jgbstat/index.htm
Dialogue with the market
Advisory Councils on Government Debt Management Each Meeting https://www.mof.go.jp/english/about_mof/councils/gov_debt_management/index.html
Meeting of JGB Market Special Participants Each Meeting https://www.mof.go.jp/english/about_mof/councils/jgbsp/index.html
Meeting of JGB Investors Each Meeting https://www.mof.go.jp/english/about_mof/councils/jgb_investor/index.html
Publications
Debt Management Report Annual https://www.mof.go.jp/english/jgbs/publication/debt_management_report/index.htm
JGB Newsletter Monthly https://www.mof.go.jp/english/jgbs/publication/newsletter/index.htm
Debt Management Policy Division, Financial Bureau, Ministry of Finance 3-1-1 Kasumigaseki, Chiyoda-ku, Tokyo 100-8940 Japan
Phone: 81-3-3581-4111 Web: www.mof.go.jp
To subscribe to our Newsletter mailing list, please email: [email protected]
-16-
INFORMATION