April 2012
1 post
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10-yr JGB auction unattractive to investors
Japanese government bond prices fell into negative territory on Tuesday after a 10-year auction result raised worry that investor demand may not be strong at current yield levels.
Although the auction did drew fairly strong bids, market talk afterwards was that buying appeared mostly to have come from brokers wanting to cover short positions, raising worry about demand from investors,...
October 2011
1 post
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Solid 10-year JGB auction against lowered yield
Ministry of Finance reopened the issue of 2.2 trillion yen of 10-year JGB today. Although JPY yields declined in the morning, the auction was stronger than expected. B/C ratio increased from 3.15 in October to 3.26, and the 0.01-yen tail became narrower than 0.02 in the previous month. Anonymous takedowns of 686 billion yen are the largest since the lase seven months, which imply major...
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China October manufacturing PMIs: Which is true?
It was a negative surprise that October China manufacturing PMI released by the China Federation of Logistics and Purchasing dropped to 50.4 from September 51.2.
A Chinese manufacturing index dropped to the lowest level since February 2009, bolstering the case for fiscal or monetary loosening to support the expansion of the world’s second-biggest economy. The Purchasing Managers’ Index fell...
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Recent auctions don't shake JGB market at all
Having skipped the JGB auction reviews in September and October, we summarize those results: 10-year JGB auction on September 1 resulted in a 2.96 b/c ratio, the lowest since June, but a 0.01 yen tail, which indicated strong biddings. The 10yr auction on October 4 had a good result in a 3.15 b/c ratio with a 0.02 yen tail. Anonymous takedowns, which are closely watched as those of major...
September 2011
2 posts
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Japan Aug jobless rate decline for a technical...
Labour market conditions improved remarkably in August, as the unemployment rate fell to 4.3% from 4.7% in July.
The improvement in the official unemployment rate is largely due to the shrinking of the labour force (-420k). In addition, employment declined (-160k). Jobs were created in construction, which was of course related to earthquake-related reconstruction.
Employment is likely to...
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China manufacturing deterioration
September Flash China Manufacturing PMI at 49.4 vs 49.9 in August.
Markit said:
Commenting on the Flash China Manufacturing PMI survey, Hongbin Qu, Chief Economist, China & CoHead of Asian Economic Research at HSBC said: “This is a similar moderating growth picture as in the previous two months. Fears of a hard landing are unwarranted. External demand weakened a little but official...
August 2011
5 posts
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Japan July industrial production and global...
The rebound in Japan’s industrial production after the March 11 earthquake may be coming to an end, making the nation’s economic recovery even more dependent on overseas demand.
Factory output increased a less-than-expected 0.6 percent in July from June, the slowest gain since March, the Trade Ministry said in Tokyo today. Production has recovered to 95 percent of its level...
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Japanese banks rate exposures
I was given a chance to review financial releases on Japanese major banks. The charts show a comparison of the major banks about shares of notional exposure of JGBs and IRS on capital. The first one is about ‘fundamental exposure’, sum of held-to-maturity JGB outstandings and net long-positioned notional amounts of non-hedged IRS, suggesting potential (but duration unconsidered)...
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5-year JGB auction: Not bad but wasted
Japan Ministry of Finance held an auction for a new 5-year JGB issue with 0.4 percent coupon. As overseas yields are aggressively plummeting, a lot of JGB investors are relatively calm to buy and sell the bonds for profit-taking, especially in the short- and medium-term sectors. Therefore, JGB dealers seemed to have slightly long positions in the medium-term zone. In addition, today’s issue...
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JPY Intervention
The yen dropped by the most since October 2008 against the dollar after Japan sold its currency to stem gains that threaten the nation’s economic recovery.
The yen fell more than 4 percent against the dollar, the biggest drop since a 6.1 percent decline on Oct. 28, 2008, and surpassing the 3.93 percent drop at the previous intervention on March 18 this year. The Bank of Japan followed its...
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10-year JGB auction sees a solid result
Japan Ministry of Finance held an auction for 10-year JGB issue with a 1.1 percent coupon. JGB investors activities have been mixed since the Greece and US debt problems arose in June-July. As global economic fundamentals became worse, the invesors bought and sold back in the near terms on the curve. In terms of the longer sector, as the first chart on JGB monthly net purchases by investor type,...
July 2011
2 posts
1 tag
Net revenue changes head-to-head: JPM vs GS
So contrasting …
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10-year JGB auction: Little tighter than expected...
Japan Ministry of Finance reopened 10-year JGB issue with a 1.2 percent coupon for 2.2 trillion yen. Before the auction, a 10-year yield level climbed up from 1.10 to 1.15 following the recent Treasury yield rise. A yield under 1.2 percent did not seem attractive to bank portfolio investors yet, and thus large investors placed a minimum lot of direct bids. But, dealers appetite made up for the...
June 2011
4 posts
1 tag
Euro Systemic Risk Index
As Greek debt problem has largely drawn attention from global financial market again, I compiled several market data related to European credit, by reference to ten Euro systemic risk indices proposed by Credit Suisse: (1) Libor-OIS spread, (2) EUR basis swap, (3) EUR/USD 3-month ATM implied volatility, (4) 10y swaps 3-month ATM implied volatility, (5) EUR/USD 3-month Risk Reversal, (6) EUR/USD...
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Japan Core Machinery Orders Fall 3.3% In April
Core machinery orders in Japan were down 3.3 percent on month in April, reflecting the ongoing damage from the devastating earthquake and tsunami on March 11.
The headline figure was sharply lower than analyst expectations for a 2.3 percent increase following the surprising 2.9 gain in March.»On an annual basis, core machinery orders eased 0.2 percent - again well shy of expectations...
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5-year JGB auction: Steady but not strong
Japan Ministry of Finance held an auction for a new 5-year JGB issue with 0.4 percent coupon. Before the auction, it was widely recognized that major banks would show large appetite for that new issue, and the auction result could be strong. But, during the morning session, JGB yields in the medium sector fell, which dampened investors’ appetite.
The bid-to-cover ratio was down from 3.25...
May 2011
8 posts
1 tag
10-year JGB auction: Still moderate
Japan Ministry of Finance held an auction for 2.2 trillion yen of 10-year JGB issue with a 1.2 percent coupon. Before the auction, some sell-offs triggered by a strong outlook for Japan industrial production in May-June were seen especially in longer sectors in the curve, and it was guessed that some banks moved to profit-taking. That might support the auction, but many did not expect that they...
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NYT: Japan Appears Dispensable as a Supplier
Japanese supply chain is another Galapagos? From NY Times:
Maybe Japan is not as crucial to the global supply chain as those first weeks after the earthquake made it seem.
The big European company’s experience is widely shared. More than two months after the disaster, any lingering impact on industries outside Japan from shortages of crucial supplies is limited. Beyond their concerns...
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April JGB net purchases by investor type
JSDA release of April JGB net purchases by investor type shows that major city banks largely sold medium-term sector JGBs in order to take profits while the yields had a downward trend. It is supposed that they could not shift funds from the medium-sector to the longer sector as soon as they sold the medium-sector, and start extending their duration in early May as overseas rates dropped triggered...
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5-year JGB auction reslult goes lackluster
Ministry of Finance reopened the issue of 5-year JGB with a 0.5 percent coupon. In May, as the first chart shows, JGB yield curve went bull-flattening earlier, and then turned bear-steepening. But, changes in the medium-term sector were limited, compared with longer sectors in the curve. Sell-offs in the medium sector are expected to continue since late April, and demand for the auction would not...
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Japan business pessimism eases: Reuters Tankan
The monthly poll, which has a 95 percent correlation with the Bank of Japan’s closely watched quarterly tankan survey, marked the first improvement in corporate confidence since the quake, supporting the view that the central bank will keep its policy unchanged when it meets this week.
It’s headline sentiment index plunged by a record in April following a record fall in...
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Japan Machine Orders Unexpectedly Rose in March,...
Japan’s machinery orders unexpectedly rose even amid factory shutdowns, power shortages and supply- chain disruptions caused by a record earthquake.
Factory orders rose 2.9 percent in March from February, when they dropped a revised 1.9 percent, the Cabinet Office said today in Tokyo. Orders, an indicator of capital spending in three to six months, were projected to fall 10 percent,...
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Moderate result of 10-year JGB auction
Japan Ministry of Finance held an auction for 2.2 trillion yen of 10-year JGB issue with a 1.1 percent coupon. It was widely recognized that investors’ demand was not weak but limited due to the recent sharp decline in the yields. On the other hand, the bank sector does not seem to overweight their long positions, because they have extended duration with selling shorter-term bonds in this...
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Markit: Growth of global economy slowed sharply in...
The JPMorgan Global All-Industry Output Index plunged to 51.8, well below February’s near five-year peak of 59.1. Growth eased in both the global manufacturing and service sectors. The extent of the slowdown in services was especially marked, with the rate of expansion the lowest during the current 21-month period of increase. Growth of manufacturing output fared better, but still...
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Japan major department store sales improve in...
In terms of personal consumption, pent-up demand came out in April. As Sankei Biz reported, Japan three major department stores (J. Front Retailing, Mitsukoshi-Isetan, and Takashimaya) released April sales on May 2. April sales of J. Front and Mitsukoshi beat sales levels in the previous year. Mitsukoshi which mainly locates in Tokyo area increased their sales by 0.5 percent from a year earlier,...
April 2011
6 posts
1 tag
Econlog: Marginal vs. Average Tax Rates
Notice that Dr. Palmer computes Obamas’ and Bidens’ tax rates to the first decimal point but gives his own rate as 28%, which just happens to be the marginal tax rate that a fairly successful doctor with a non-earning wife and a few kids would be paying. [In 2010, the rate for a married couple filing jointly was 28% for taxable incomes up to $171,850.] Is it possible that Dr. Palmer...
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A steady result of 5-year JGB auction
Ministry of Finance sold 5-year JGB today with a 0.5 percent coupon, lower than 0.6 percent of the March issue. Although some banks seemed to buy the medium-term bonds ahead of the auction with yields around 0.55 percent, overall demand was stronger than March. It is because banks should maintain minimum portfolios to earn carry profits, and start to buy at the beginning of the fiscal year,...
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Japan Corporate Goods Prices Rise 0.6% On Month
An index measuring the prices for domestic corporate goods was up 0.6 percent in March compared to the previous month, the Bank of Japan said on Wednesday, standing at 104.7.
That exceeded analyst expectations for a 0.4 percent monthly increase following the 0.2 percent gain in February.
via rttnews.com
As the chart below shows, the recent surge in oil and other commodity prices has...
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Japan Bank Lending -1.8% On Year In March
Bank lending in Japan was down 1.8 percent on year in March, the Bank of Japan said on Tuesday, standing at 393.708 trillion yen.
That follows a 2.0 percent annual contraction in February.
via rttnews.com
The first chart describes Japan bank loan outstanding YoY growth rates by bank type. In March, less-sized regional banks largely increased loans and discounts. It was possibly due to...
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10-year JGB auction results stronger than expected
Japan Ministry of Finance reopened an issue of 2.2 trillion yen of 10-year JGB with a 1.3 percent coupon. It had been widely recognized that the 1.3 percent level would not be attractive to investors, and the result would be weak. However, some dealers seemed to make short positions enought to prepare for biddings from last week, and the result was better than expected. The bid-to-cover ratio was...
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Japan Monetary Base +16.9% On Year In March
The monetary base in Japan surged 16.9 percent on year in March, the Bank of Japan said on Monday, standing at 112.743 trillion yen. That was sharply higher than analyst expectations for a 5.8 percent increase following the 5.6 percent rise in February.
via rttnews.com
Japan’s monetary base jump-up in March was obviously due to massive fund-supplying operations by the Bank of Japan...
March 2011
12 posts
1 tag
Japan quake-affected econ/fin stats releases
Today, Markit released March Nomura/JMMA Japan manufacturing PMI, which largely declined from 52.9 in February to 46.4 in March. According to Zero Hedge, that survey was conducted between March 11 to 25, and only 67% of those polled responded.
From Today, Japanese various economic and financial data for March are going to be released, and I will update those in the following sheet.
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VOX: The risk in carry trades
The carry trade – borrowing in currencies with low interest rates and investing in currencies with high interest rates – has been a surprising hit for decades. This column provides empirical evidence suggesting that the mysteriously high returns this generates can actually be explained as compensation for the volatility risk undertaken.
via voxeu.org
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JPY rises after the quake: Wrap-up
It was already an old news, but I wrapped up the consequence of JPY appreciation after the earthquake on March 11. That led to various
speculations about its background among many analysts, and now it seems to reach some consensus.
Immediately after the quake, the speculation that Japanese insurers would sell their foreign currency-denominated assets to hold Japanese yen arose like this article....
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February JGB net purchases by investor type
JSDA released today February JGB buying and selling amounts by investor type. In February, JPY yields climbed up to 0.6 percent in the medium-term sector, and then plummeted to 0.53-0.54 percent in the later month. Major banks did not seem to have large takedowns for the 5-year JGB auction on Feb. 16, but turn into aggressive buying after that. The chart below reflects that movement of the major...
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Reuters Poll: Japan retail investor sentiment down...
The special edition of the monthly poll was taken shortly after the devastating earthquake and tsunami struck on March 11, and showed a 10 point slide in investor sentiment from a similar poll taken earlier in the month.
The Reuters sentiment index fell to minus 30 after the disasters, compared with minus 20 earlier in March. February’s sentiment stood at minus 4. The poll is...
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El-Erian: How Japan’s economy will eventually...
The Japanese people are not alone in hoping for a rapid economic recovery. The rest of the world is with them. Governments and individuals in several countries are already mobilising to help Japan via large donations of equipment, money and volunteers.
This international reaction is driven by one of the noblest of all human feelings, that of empathy. Yet there is also an element of self...
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5-year JGB auction results slightly weak
Ministry of Finance sold a new issue of 5-year JGB today with a 0.6 percent coupon that is the same as the previous month issue. As domestic banks, the major investors for the 5-year sector, are reluctant to have large long positions before the end of the fiscal year, the demand was expected limited. On the other hand, dealers seemed to have enough short positions to prepare for bidding the...
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WSJ: The BOJ’s Critics Hit Back
This week, we’ve asked the BOJ’s critics — and other experts — to respond. Below is part one of commentary from eight prominent BOJ watchers in the U.S. and Japan; part two will follow in a separate post.
Not surprisingly, we found strenuous disagreement with Mr. Shirakawa’s defense. While Mr. Shirakawa proudly touted the BOJ’s “innovative policies” in pioneering unconventional monetary...
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Japan Monetary Base and BoJ funds-supplying...
According to the release by the Bank of Japan on March 2, Japan Monetary Base, the currency supplied by the BoJ defined as Banknotes in Circulation + Coins in Circulation + Current Account Balances, decreased MoM by 2.1 percent in February, following -9.9 percent in January. It was due to declines in the current account balances reserved by private banks as well as the banknotes.
The BoJ also...
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Alternative measures of labor underutilization: US...
According to February employment situation release in U.S., the unemployment rate fell to a seasonally adjusted 8.9%, the lowest since April 2009, from 9.0% in January. It beats a consensus around 9.1%. MarketWatch reported that an alternate measure of employment, which includes discouraged workers and those forced to work part-time because of the weak economy, fell to 15.9% from 16.1%. The latest...
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Japan Capital Spending +3.8% In Q4
Capital spending in Japan was up 3.8 percent in the fourth quarter of 2010 compared to the previous three months, the Ministry of Finance said on Thursday.
That missed expectations for an increase of 5.9 percent on quarter following the 5.0 percent rise in the third quarter.
Excluding software, capital spending rose 4.8 percent on quarter in Q4 - but that also missed forecasts for a...
February 2011
12 posts
1 tag
10-year JGB auction goes lackluster again
Japan Ministry of Finance held an auction for a new issue of JGB with a 1.3 percent coupon. Before the auction, although a yield of the new issue rises over the levels of the recent several auctions, it had been considred that the auction would not draw particular interests from investors from a relative value viewpoint as well as a coupon level. Also, it seemed a little bit difficult for JGB...
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Japan shipment-inventory cycle update:...
Industrial production in Japan jumped a seasonally adjusted 2.4 percent in January compared to the previous month, the Ministry of Economy, Trade and Industry said in a preliminary report on Monday, rising for the third straight month.
That was well below expectations for an increase of 4.0 percent following the revised 3.3 percent increase in December.
via rttnews.com
Despite the...
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How will the recent energy price hike affect Japan...
According to the data officially released today, Japan January CPI shows a slightly larger growth than expected, but almost keeps the recent trend:
Core inflation in Japan was down 0.2 percent on year in January, the Ministry of Internal Affairs and Communications said on Friday - falling for the 23rd consecutive month, although marking the slowest pace of decline since April 2009.
...
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Japan's money market update
As Bloomberg reported, the bid-to-cover ratio of today’s BoJ rate-competitive auction for funds-supplying operations increased from1.51 yesterday to 2.85. The bid-to-cover ratio of the rate-competitive auctions had declined to less than one since January due to reducing short-term funding demand of dealers. But, as banks seem to become reluctant to provide money, repo rates are increasing...
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Japan's Export Growth Slows on Lunar New Year...
Japan swung to its first trade deficit in 22 months in January as exports to Asia slowed and a surge in commodity prices pushed up import costs.
Overseas shipments rose 1.4 percent in January from a year earlier, from December’s 12.9 percent gain, the Finance Ministry said in Tokyo today. The median estimate of 23 economists surveyed by Bloomberg News was for a 7.4 percent increase. The...
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January JGB net purchases by investor type
JSDA released today January data of JGB net purchases by investor type. In January, while JGB yields overall rose gradually, the super long-term sector yields increased to the middle of the month and then turned to decline. The first chart reflects that movement generated mainly by large net purchases of major banks in the super long-term sector. It was the largest monthly net purchases in the...
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Japan's weekly international transactions in...
According to the latest weekly report on International Transactions in Securities by MOF, domestic investors had a net cash inflow by selling medium- and long-term foreign bonds during the second week in February. It suggests that US Treasurys yield increased and it forced some domestic investors rebalancing portofolio. But, the amount was not as large as last year, and such sell-offs would not...
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5-year JGB auction results weaker than expected
Ministry of Finance sold a new issue of 5-year JGB today with a 0.6 percent coupon, the highest since November 2009. Relative values of the issue are not attractive to investors, and dealers did not seem to expect large final demand, although they need to hold the issues to some extent because it could be a single issue.
The bid-to-cover ratio declined from 3.97 in January to 3.56, and the tail...