What’s New ⇒ Details of Auctions in Apr.-Jun. 2016 Monthly Topic ⇒ Breakdown by JGB and T-Bill Holders (Dec.2015) ○ Details of Auctions in Apr.-Jun. 2016 On March 28, 2016, the MOF issued a press release about the details of auctions in Apr.-Jun. 2016 based on the discussion at the Meeting of JGB Market Special Participants (65th Round) and the Meeting of JGB Investors (64th Round). The plan could be changed owing to market conditions and other factors. 【Issuance and reopening schedule of the 10-year, 20-year, 30-year and 40-year Bonds (FY 2016)】 ※ 10-year Bonds 4 issues in FY2016, except in the event of rapid market movements. 10-year Bonds will be newly issued in case the gap between the market interest rate on the auction day and the coupon rate of an issue with the same maturity is more than 0.30%. Note1) In FY2016, 10-year Bonds, 20-year Bonds, and 30-years Bonds will be issued every month. Note2) Auction method for 40-year Bonds is Dutch-style-yield-competitive auction (0.5 bp bidding scale). The Ministry of Finance www.mof.go.jp Monthly Newsletter of the Ministry of Finance, Japan JAPANESE GOVERNMENT BONDS Apr. 2016 Contents 1. What’s New Monthly Topic IR Special Office …P.1 2. JGB Primary Market …P.7 3. The Auctions for Enhanced-Liquidity and JGB Buy-Back …P.8 4. JGB Secondary Market …P.9 5. Investor Trends and JGB Outstanding …P.11 6. Economic and Financial Trends …P.15 7. Information …P.16 This Month’s Special! WHAT’S NEW Maturity Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Issue No. Maturity Date Issue No. Maturity Date Issue No. Maturity Date Issue No. - - 9 - 9 - Maturity Date - - 20-Mar-56 - 20-Mar-56 - Maturity Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Issue No. 346 Maturity Date TBD Issue No. 160 Maturity Date TBD Issue No. 54 Maturity Date TBD Issue No. 9 - 9 - 9 - 9 Maturity Date 20-Mar-56 - 20-Mar-56 - 20-Mar-56 - 20-Mar-56 30 52 53 20-Sep-46 20-Dec-46 40 10 344 345 20-Sep-26 20-Dec-26 20 158 159 20-Sep-36 20-Dec-36 30 50 51 20-Mar-46 20-Jun-46 40 10 342 343 20-Mar-26 20-Jun-26 20 156 157 20-Mar-36 20-Jun-36 ※ ※
16
Embed
JAPANESE GOVERNMENT BONDS【Issuance of the Inflation-Indexed Bonds on April-June 2016】 • Issuance Amount on April 2016 will be about 400 billion yen. • Reopening method :1
This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript
What’s New ⇒ Details of Auctions in Apr.-Jun. 2016 Monthly Topic ⇒ Breakdown by JGB and T-Bill Holders (Dec.2015)
WHAT’S NEW Th
○ Details of Auctions in Apr.-Jun. 2016 On March 28, 2016, the MOF issued a press release about the details of auctions in Apr.-Jun. 2016 based on the discussion at the Meeting of JGB Market Special Participants (65th Round) and the Meeting of JGB Investors (64th Round). The plan could be changed owing to market conditions and other factors.
【Issuance and reopening schedule of the 10-year, 20-year, 30-year and 40-year Bonds (FY 2016)】 ※ 10-year Bonds 4 issues in FY2016, except in the event of rapid market movements. 10-year
Bonds will be newly issued in case the gap between the market interest rate on the auction day and the coupon rate of an issue with the same maturity is more than 0.30%.
Note1) In FY2016, 10-year Bonds, 20-year Bonds, and 30-years Bonds will be issued every month.
Note2) Auction method for 40-year Bonds is Dutch-style-yield-competitive auction (0.5 bp bidding scale).
The Ministry of Finance www.mof.go.jp
Monthly Newsletter of the Ministry of Finance, Japan JAPANESE GOVERNMENT BONDS
【Issuance of the Inflation-Indexed Bonds on April-June 2016】
•Issuance Amount on April 2016 will be about 400 billion yen. •Reopening method:1 issue in FY2016. April, August, October 2016 and February 2017 issues will be the issue No. 21. (Maturity: March 20, 2026, Reference CPI : December 2015) •Auction method is Dutch-style-price-competitive auction (0.05 yen bidding scale). •Auction Schedule of Buy-back Program of Inflation-Indexed Bonds on April-June 2016.
(※) 1. The auctions will be conducted once in April and June. 2. Issues eligible for the buy-backs will be those from issue number 17 to 21. 3. The Ministry of Finance reserves the right not to accept part or all of bids.
【Maximum Issuance amount for Auctions for Enhanced-liquidity on April-June 2016】
April 2016 May 2016 June 2016
(i) Issues with remaining maturities of 1-5 years 【May】
-2-years (issue numbers 352 to 362) -5-years (issue numbers 105 to 126) -10-years (issue numbers 286 to 314) -20-years (issue numbers 36 to 50)
― Approximately 200 billion yen ―
(ii) Issues with remaining maturities of 5-15.5 years 【April ・ May ・ June】
-10-years (issue numbers 315 to 341) -20-years (issue numbers 51 to 131) -30-years (issue numbers 1 to 5)
Approximately 500 billion yen
Approximately 500 billion yen
Approximately 500 billion yen
(iii) Issues with remaining maturities of 15.5-39 years 【April】
-20-years (issue numbers 132 to 155) -30-years (issue numbers 6 to 49) -40-years (issue numbers 1 to 7)
【June】
-20-years (issue numbers 132 to 155) -30-years (issue numbers 6 to 49) -40-years (issue numbers 1 to 8)
<Reference> Summary of minutes of the Meeting of JGB Market Special Participants (65th Round) held on March 23, 2016.
1) Amount of issuance of Inflation-Indexed Bonds (JGBi) in the Apr.–Jun. 2016 quarter, etc. The Financial Bureau explained as follows: ・JGBis market promotion is an important theme in debt management policy from the viewpoint of giving
investors a way to hedge inflation risk. ・In FY2015, the Break-Even Inflation (“BEI”) rate showed a downward trend, and especially at the timing of
every auction, the level of BEI dropped. ・Recently, oil prices started to pick up, but the increment of the BEI rate in Japan is smaller than that in other
developed countries. ・Regarding these circumstances, there are some views that this downtrend is temporary, just reflecting the
economic fundamentals such as a decrease in oil prices. On the other hand, however, there are quite a lot of views that a constant supply-demand gap exists, because the investor base is still limited despite the effort of the authority. Moreover, some pointed out that a liquidity premium has been widened in a situation where a large price fluctuation made investors reluctant to purchase JGBis.
・Based on the circumstances described above, we asked for opinions of the Primary Dealers (“PDs”) and other investors in advance about the issuance of JGBis in April. Many said that in order to continue stable issuance of JGBis, the authority should improve the supply-demand balance and maintain liquidity by reducing the issuance amount and/or implementing Auctions for Buy-backs.
・We propose to reduce the issuance amount in April by ¥100 billion to ¥400 billion, and implement Auctions for Buy-backs of ¥20 billion in April and June respectively. We should suspend Auctions for Buy-back as soon as market liquidity improves, because we consider that Auctions for Buy-backs are temporary measures.
Many of the attendees were of the opinion that the authority’s proposal would present no problem, while some expressed the following opinions: ・We see no problem with the authority’s proposal, but dealers need to firmly explain the idea of the authority to
investors so that they do not misunderstand that the reduction in issuance amount means a decline in the commitment of the authority.
・If the authority reduces the issuance amount, it is possible that investors overseas will worry about the decline in the commitment of the authority, but the authority should give priority to supplying the appropriate amount to the market in order to improve the supply-demand balance.
・It is desirable that the issuance amount of ¥500 billion is maintained and that the Auctions for Buy-backs of ¥100 billion are implemented in April and June. Given that the authority has long increased the issuance amount in order to improve market liquidity so far, if the authority reduces the issuance amount, investors would understand that the authority gives less commitment. What the market participants want is a stable buyer, not a reduction in the issuance amount. If the implementation of Auctions for Buy-backs improves market liquidity, the investors now away from investing JGBis would come back to the market.
2) Auctions for Enhanced-Liquidity in the Apr.-Jun. 2016 quarter The Financial Bureau explained as follows: ・We asked for the opinions in advance of PDs and other investors about the allocation of the issuance amount
in each zone. The majority of the opinions were that, as for the zone of 5-15.5 years remaining to maturity where an auction was implemented every month, the amount of ¥500 billion, the same amount as before, was appropriate.
・There were some opinions that, as for the allocation between the zone of 1-5 years and that of 15.5-39 years remaining to maturity, the issuance amount of the latter zone should be increased when taking the recent strong needs for the super long-term zone into account. However, the majority was of the opinion that the issuance amount should be ¥400 billion for the latter zone and ¥200 billion for the former zone as proposed by the authority.
-3-
Many of the attendees were of the opinion that the authority’s proposal would present no problem, while some expressed the following opinion: ・The proposal by the authority has no problem for the initial allocation for adding the zone of 1-5 years
remaining to maturity. However, it is desirable that the allocation among zones should be reviewed flexibly in the future. As for the zone of 1-5 years remaining to maturity, if the issuance amount is small, investors may feel a lack of market liquidity. I understand that reducing the issuance amount in the zone of 15.5-39 years remaining to maturity is difficult, but the issuance amount in the zone of 1-5 years remaining to maturity should not be reduced below ¥200 billion.
3) Auctions for Buy-backs in the Apr.-Jun. 2016 quarter (regarding the 15-year Floating-Rate Bond) The Financial Bureau explained as follows: ・As for 15-Year Floating-Rate Bonds, the authority has implemented the Auctions for Buy-backs as a crisis
response since December 2007, when the supply-demand balance broke significantly and prices fell largely. After that, prices recovered and under the judgment that the need to implement Auctions for Buy-backs decreased, we have gradually curtailed the purchasing amount since FY2015.
・In particular, in and after February this year, the need to sell 15-Year Floating-Rate Bonds decreased largely, partly because interest rates in all zones of fixed rate bonds fell sharply, which resulted in the low level of 1.21 times the bid at the Outright Purchases of Japanese Government Bonds operation conducted by Bank of Japan (“BOJ”) this February. Furthermore, at the Auctions for Buy-backs conducted by the authority in this March, the maximum difference in purchasing price changed to a significant positive value of 0.55 yen.
・If we continue implementing Auctions for Buy-backs in these circumstances, we may purchase 15-Year Floating-Rate Bonds at a comparatively high price. Thus, we propose that we will suspend the Auctions for Buy-backs in and after this April.
・After that, we will pay attention to the coming market situation. When the supply-demand balance breaks significantly, we would like to resume Auctions for Buy-backs by taking into account the discussions in this meeting.
Many of the attendees were of the opinion that the authority’s proposal would present no problem, while some expressed the following opinion: ・It is desirable to keep on implementing the Auctions for Buy-backs. It is too early to assess market
participants’ potential need to sell only by the results of Outright Purchases of Japanese Government Bonds operation and Auctions for Buy-backs in and after February.
-4-
Breakdown by JGB and T-Bill Holders (Dec.2015)
The Bank of Japan (BOJ) released the Flow of Funds Accounts of the 4th Quarter 2015, and the shares of JGB and T-Bill holders were updated as follows:
MONTHLY TOPIC
-5-
The total amount of JGBs and T-Bills outstanding decreased by 4.1 trillion yen to 1,035.8 trillion yen.
BOJ increased its holdings of JGBs by 16.3 trillion yen to 331.3 trillion yen.
Foreigners increased their holdings share of JGBs in Q4 by 0.8% to 10.6%, reaching above 10% for the first
time.
The balance of JGBs held by domestic Banks in Q4 fell by 12.1 trillion yen to 283.6 trillion yen.
Source: Bank of Japan “Flow of Funds Accounts (Preliminary Figures)”
(The end of Sep. 2015)
Total ¥1,039.9 trillion
(The end of Dec. 2015)
Total ¥1,035.8 trillion
<JGB Holdings by Foreign Investors>
Note: ”JGB” includes T-Bills. Source: Bank of Japan
・JGB Holdings by Foreign Investors marked the record high of 109.8 trillion yen.
Ministry of Finance officials attended several seminars in March, and participated in useful discussions on the Japanese economy under the negative interest rate policy.
Mr. Manabu Sakai, State Minister of Finance, was invited to a seminar in Kyoto, the beautiful old capital of Japan, and addressed participants from foreign central banks and institutional investors. In his speech, Mr. Sakai pointed out that coordinated efforts by the government and the BOJ have improved Japan’s growth prospects dramatically, and that Abenomics is now progressing to its second stage, where the government endeavors to create a “positive cycle of growth and distribution.” Mr. Sakai also pledged that the government should implement the fiscal consolidation plan steadily and that the negative interest rate policy would never lead to a loosening of fiscal discipline.
Mr. Ichikawa, Deputy Director-General of the Financial Bureau, attended panel discussions in Toronto and New York, both held by the Japan Securities Dealers Association. In addition to the current economic and fiscal situation, he explained the “New Three Arrows” in detail. He stressed that improved income distribution and working conditions through greater support for the working generation would address structural bottlenecks of the Japanese economy, and have a significant impact on its long-term growth perspectives. The importance of labor market reform was echoed
by other panelists, too.
In New York, the IR team visited several institutional investors and had a frank exchange of views on the prospects of the Japanese economy and the impact of the negative interest rate on the JGB market. As the policy change came only a month ago, it was difficult to make a solid, quantitative assessment of the
new policy. That said, the team expressed that the government welcomed the BOJ’s efforts on the price front, and looked forward to seeing a good influence on the economy soon.
IR SPECIAL OFFICE
If you have any questions regarding the contents of this newsletter, please do not hesitate to contact us at: [email protected]
Top 10 PDs by Total Purchase in Auctions (Calculated by Duration) (Jul. 2015 ~ Dec. 2015) 1 Mitsubishi UFJ Morgan Stanley Securities Co., Ltd. 6 SMBC Nikko Securities Inc. 2 Nomura Securities Co., Ltd. 7 Merrill Lynch Japan Securities Co., Ltd. 3 Daiwa Securities Co. Ltd. 8 BNP Paribas Securities (Japan) Limited 4 Mizuho Securities Co., Ltd. 9 The Bank of Tokyo-Mitsubishi UFJ, Ltd. 5 Goldman Sachs Japan Co., Ltd. 10 JPMorgan Securities Japan Co., Ltd.
2 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.
3 THE AUCTIONS FOR ENHANCED-LIQUIDITY AND JGB BUY-BACK
①Remaining maturity : approx.5‐~15.5‐year
②Remaining maturity : approx.15.5‐~39‐year
Note.1: JL shows 20‐year JGBs. JX shows 30‐year JGBs. JU shows 40‐year JGBs. Outstanding amount is as of the end of December 2015. Note.2: All issues in the graph above will be eligible afterward.
Amount issued by the Auction for Enhanced-liquidity Outstanding amount in the market (excluding amount issued by the Auction for Enhanced-liquidity)
5 10 15.5
(Remaining maturities)
(billion yen)
0500
1,0001,5002,0002,5003,0003,5004,000
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
12JL
147
JX13
JL14
8JX
14JL
149
JX15
JL15
0JX
16JL
151
JX17
JL15
2JX
18JL
153
JX19
JL15
4JX
20JX
21JX
22JX
23JX
24JX
25JX
26JX
27JX
28JX
29JX
30JX
31JX
32JX
33JX
34JX
35JX
36JX
37JX
38JX
39JX
40JX
41JX
42JX
43JX
44JX
45JX
46JX
47JX
48JU
1JU
2JU
3JU
4JU
5JU
6JU
7
Amount issued by the Auction for Enhanced-liquidity Outstanding amount in the market (excluding amount issued by the Auction for Enhanced-liquidity)(billion yen)
(Remaining maturities)
15.5 20 39
Note: BEI (Japan : old JGBi) is calculated based on the compound interest rate of the old Inflation-Indexed Bonds (issue number 16 with current maturity of 2 years and 4 months) and the 10-Year Bonds (issue number 293 with current maturity of 2 years and 4 months). 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
4 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
Short-term debt securities Long-term debt securities Equity and investment fund shares
Net
Purchase
Net
Sales
-1
-0.5
0
0.5
1
1.5
2
Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16
Short-term debt securities Long-term debt securities Equity and investment fund shares
Net
Purchase
Net
Sales
-8
-6
-4
-2
0
2
4
6
8
10
Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16
Short-term debt securities Long-term debt securities Equity and investment fund shares
Net
Purchase
Net
Sales
-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%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Jan-12 Jan-13 Jan-14 Jan-15 Jan-16
City Banks Trust Banks Insurance Companies Foreigners
Source: Bank of Japan “Flow of Funds Accounts (Preliminary Figures)”
Note.1: "JGB" includes FILP Bonds. "T-Bill" is the sum of "Treasury Bills (TBs)" and "Financial Bills (FBs)" with a maturity of 1 year or less and TBs and FBs have been jointly issued since February 2009.
Note.2: "Banks, etc." includes Japan Post Bank, "Securities investment trust " and "Securities Companies". Note.3: "Life and Nonlife insurance" includes Japan Post Insurance.
(trillion yen)
Breakdown of Outstanding Amount of General Bonds by Remaining Years to Maturity
Market-held Balance of the Inflation-Indexed Bonds (as of February 29, 2016) JGB Holdings by Retail Investors
(trillion yen)
Scheduled redemption of JGB at maturity in April, 2016
Note.1: The figures are based on the outstanding JGBs at the end of February, 2016. 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 (Note) Outstanding "JGBs for retail investors" at Mar-16 is calculated to 〔aggregate issues of ¥46.3trillion〕-〔redemption before maturity of ¥14.4trillion〕-〔aggregate redemption money of ¥21.0trillion〕. Other figures based on Bank of Japan “Flow of Funds” statistics. (Source) Ministry of Finance, Bank of Japan “Flow of Funds”
Market BOJ TotalOld 1,004 1,098 2,102New 4,504 195 4,700
0.4 0.7 1.0
2.0
3.3
4.8
6.5
8.4
10.1
12.4
14.0 15.3
17.1
18.7
20.7
22.0 23.2
24.1
25.8 26.5 26.7 26.8
27.4 27.5 27.6 27.5 27.7 27.7 27.2 27.3 27.4 27.2
25.8 25.2
24.1 23.4
22.9 22.3
21.0 20.3
19.7 19.2
18.2 17.8 17.4 16.8
15.9 14.9
13.8 12.6
11.9 11.2 11.0
12.3 12.5 12.4 13.4
14.6
15.9
18.0
20.1
21.8
24.5 25.7
26.9 28.0
29.1
31.4 32.3
33.4 33.6
35.4 36.0 36.3
35.3 35.8
36.7 36.0 35.6 35.5 35.0
34.4 34.4 34.1
33.0
31.1 30.4
29.5 28.5
27.7 27.0 25.5
24.5 24.2
22.9 22.0
21.4 21.0 20.4
19.3 18.4
16.9
15.4 14.5
13.6 13.4
2.1%2.0%
2.0%2.1%2.2%2.3%
2.6%2.9%
3.0%3.2%
3.4%3.5%
3.7%3.8%
4.1%4.2%
4.3%4.4%4.6%4.6%
4.5%4.5%4.5%
4.6%4.5%
4.4%4.3%4.3%4.1%
4.0%3.9%
3.8%3.6%
3.4%3.2%
3.1%3.0%2.9%
2.7%2.6%2.5%
2.4%2.2%
2.2%2.1%2.0%
1.9%1.8%
1.6%1.5%1.4%
1.3%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
0
5
10
15
20
25
30
35
40
45
Mar - 03 Mar - 04 Mar - 05 Mar - 06 Mar - 07 Mar - 08 Mar - 09 Mar - 10 Mar - 11 Mar - 12 Mar - 13 Mar - 14 Mar - 15 Mar - 16
(trillion yen)
Total JGBs held by retail investors (left)
Outstanding "JGBs for retail investors" (left)
Ratio of JGBs held by retail investors (right)
Dec - 12
-15-
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 Japan "Orders Received for Machinery"