Japan Avg. Duration of JGBs

At the end of May 2017, there were 899 trillion yen of JGBs outstanding and their average duration was 7.7 years.

Published monthly by Japan Macro Advisors. Updated to the month of June 2017 (published on July 20th, 2017)

Recent data trend:

Since 2008, the Japanese government has been extending the duration of JGBs.

Average duration of JGBs was extended from 4.9 years as of January 2008 to 7.7 years as of May 2017. In terms of the time to maturity, it was extended from 6.2 years as of January 2008 to 8.6 years as of May 2017. This duration extension was supported by the generally strong demand for JGBs in the aftermath of the great recession between 2008-09 as well as the appetite on the part of life insurance companies in Japan to extend the duration of their assets to match the duration of their liabilities. More recently, the BoJ has started to reduce its monthly purchase of JGBs and now its pace of JGB holding purchase is around 60 trillion yen per year as regards 80 trillion yen earlier.

Brief overview of  “Avg. Duration of JGBs”

We, Japan Macro Advisors, publish our monthly duration estimates for Japanese government bond (JGB) as well as Japanese government securities (JGS=JGB + TB). The Ministry of Finance does publish the average time to maturity of JGB in their quarterly newsletter series, but the definition is slightly incorrect. It only covers General Bond portion of the JGB, leaving out the FILP Bonds that account for 15% of the total JGBs. It also does not publish the duration information on TBs. Lastly there is a time lag. As of July 31 2013, the latest quarterly newsletter is that of April issue and it provides the duration information as of December 2012. We aim to supplement these shortcomings in frequency, coverage and timeliness. Our estimates start from 2008 and our estimates tend to have 3 months lag to real time.

The methodology and publication schedule of the indicator

The Next Release Date:  August 2nd, 2017.

Suggested Pages

Interest Rates

In June 2017, Japanese 10-year JGB interest rates was 0.053% on average.

View Page

JGBs held by BoJ

In May 2017, the BoJ bought 7.2 trillion yen (book value) of JGBs, down from 9.7 trillion yen in April 2017. The average maturity of JGBs purchased in May was 8.6 years, up from 8.3 years in the prev

View Page

BoJ Balance sheet

As of July 20 2017, the Bank of Japan held a total of 502.6 trillion yen in assets. Its JGB holding was 396.2 trillion yen, up by 67.8 trillion yen from a year ago.

View Page

General Government Balancesheet

At the end of March 2017, the Japanese general government owed a total of 1270.5 trillion yen in liability, equivalent to 236.4% of GDP. The liability includes 863 trillion yen of JGBs, 115.2 trillion yen of T-bills and 157.5 trillion yen of loans.

View Page