Japan Government Bonds - Yields Curve

COUNTRY • SUMMARY
JAPAN
Last Update: 28 Nov 2023 18:15 GMT+0

The Japan 10Y Government Bond has a 0.753% yield.

10 Years vs 2 Years bond spread is 69.9 bp.
Normal Convexity in Long-Term vs Short-Term Maturities.

Central Bank Rate is -0.10% (last modification in January 2016).

The Japan credit rating is A+, according to Standard & Poor's agency.

Current 5-Years Credit Default Swap quotation is 25.35 and implied probability of default is 0.42%.

Table of contents

Japan Yield Curve

If data are not all visible, swipe table left
Residual
Maturity		 Yield ZC Price Last
Change
Last Chg 1M Chg 6M Last Chg 1M Chg 6M
1 month -0.211% -2.0 bp -3.9 bp 28 Nov
3 months -0.210% -0.8 bp -1.9 bp 28 Nov
6 months -0.160% +2.2 bp +1.6 bp 28 Nov
9 months -0.085% +1.7 bp +5.7 bp 28 Nov
1 year -0.056% -2.4 bp +7.3 bp 100.06 +0.03 % -0.07 % 28 Nov
2 years 0.054% -3.5 bp +12.1 bp 99.89 +0.07 % -0.24 % 28 Nov
3 years 0.120% -5.3 bp +16.6 bp 99.64 +0.16 % -0.50 % 28 Nov
4 years 0.214% -7.1 bp +20.5 bp 99.15 +0.28 % -0.81 % 28 Nov
5 years 0.320% -6.0 bp +22.0 bp 98.42 +0.31 % -1.09 % 28 Nov
6 years 0.385% -10.7 bp +23.7 bp 97.72 +0.64 % -1.41 % 28 Nov
7 years 0.493% -13.5 bp +27.0 bp 96.62 +0.95 % -1.86 % 28 Nov
8 years 0.603% -15.1 bp +29.4 bp 95.30 +1.20 % -2.32 % 28 Nov
9 years 0.688% -15.3 bp +32.7 bp 94.02 +1.38 % -2.88 % 28 Nov
10 years 0.753% -12.1 bp +33.8 bp 92.77 +1.20 % -3.30 % 28 Nov
15 years 1.193% -15.1 bp +40.9 bp 83.70 +2.26 % -5.90 % 28 Nov
20 years 1.505% -14.8 bp +48.5 bp 74.17 +2.96 % -9.14 % 28 Nov
30 years 1.726% -11.5 bp +45.8 bp 59.85 +3.46 % -12.65 % 28 Nov
40 years 1.825% -10.8 bp +42.4 bp 48.51 +4.32 % -15.37 % 28 Nov
Last Update: 28 Nov 2023 18:15 GMT+0

Japan Yield Analysis

Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat or inverted.
The curve convexity is measured considering some key bond durations (usually 2 years and 10 years, but also other maturities).

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Residual
Maturity		 Yield Spread vs Bond Spread vs
Central Bank
Rate (-0.10%)
3 months 1 year 2 years 5 years 10 years
30 years 1.726% 182.6 bp
10 years 0.753%
85.3 bp
5 years 0.320%
42.0 bp
2 years 0.054%
15.4 bp
1 year -0.056%
4.4 bp
3 months -0.210%
-11.0 bp

Focusing on 2 years Government Bond:

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2Y vs 1Y 11 bp Normal Convexity in Short-Term Maturities
5Y vs 2Y 26.6 bp Normal Convexity in Mid-Term vs Short-Term Maturities
10Y vs 2Y 69.9 bp Normal Convexity in Long-Term vs Short-Term Maturities
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Japan Credit Ratings

A credit rating is an assessment of the creditworthiness of a borrower (in general terms or with respect to a particular debt or financial obligation). For a deeper analysis of credit ratings, click here Japan Credit Ratings History

Rating Agency Rating Outlook
Standard & Poor's A+ -
Moody's Investors Service A1 -
Fitch Ratings A -
DBRS A (high) -

Japan Interest Rates

A bank rate is the interest rate at which a nation's central bank lends money to domestic banks, often in the form of very short-term loans.

Interest Rates Value
Central Bank Rate -0.10%

Japan Credit Default Swaps

The term credit default swap (CDS) refers to a financial derivative that allows an investor to swap or offset their credit risk with that of another investor. To swap the risk of default, the lender buys a CDS from another investor who agrees to reimburse the lender in the case the borrower defaults.

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Credit Default Swap CDS Value Var % 1W Var % 1M Var % 1Y Implied PD(*)
5 Years CDS 25.35 -2.59 % -14.12 % +48.04 % 0.42 %
(*) Implied probability of default, calculated on the hypothesis of a 40% recovery rate.

Japan 10Y Bond Yield Spread

The Japan 10Y Government Bond has a 0.753% yield.

A positive spread, marked by , means that the 10Y Bond Yield is higher than the corresponding foreign bond. Instead, a negative spread is marked by a green circle .

Click on the values in "Current Spread" column, for the historical series of the spread.
Click on the "Compare" button, for a report with the full comparison between the two countries, with all the available data.
If data are not all visible, swipe table left
Japan 10Y vs Current Spread Chg 1M Chg 6M Compare
Countries
vs Germany 10Y -175.2 bp +18.8 bp +36.8 bp
vs China 10Y -195.2 bp -9.1 bp +36.7 bp
vs France 10Y -231.9 bp +24.7 bp +36.5 bp
vs Spain 10Y -275.6 bp +27.9 bp +40.5 bp
vs Canada 10Y -289.5 bp +24.9 bp +4.9 bp
vs United Kingdom 10Y -346.9 bp +21.9 bp +44.4 bp
vs Italy 10Y -351.2 bp +45.3 bp +44.2 bp
vs United States 10Y -361.2 bp +35.9 bp -21.5 bp
vs Australia 10Y -371.2 bp +23.1 bp -40.3 bp
vs India 10Y -652.0 bp -4.3 bp +6.8 bp
vs Brazil 10Y -1021.9 bp +62.8 bp +98.2 bp
vs Russia 10Y -1131.7 bp +29.9 bp -103.2 bp

Japan Government Bonds Prices

Price Simulation: bonds with a face value of 100, with different coupon rates.

The highlighted column refers to the zero coupon bond.
Click on for a forecast of the yield.
If data are not all visible, swipe table left
Residual
Maturity		 Yield Bond Price - with different Coupon Rates Fx
0% 1% 3% 5% 7% 9%
40 years 1.825% 48.51 76.72 133.15 189.58 246.01 302.44
30 years 1.726% 59.85 83.11 129.64 176.17 222.69 269.22
20 years 1.505% 74.17 91.33 125.65 159.97 194.30 228.62
15 years 1.193% 83.70 97.36 124.68 152.00 179.32 206.65
10 years 0.753% 92.77 102.37 121.57 140.76 159.96 179.15
9 years 0.688% 94.02 102.71 120.11 137.51 154.90 172.30
8 years 0.603% 95.30 103.09 118.67 134.24 149.81 165.39
7 years 0.493% 96.62 103.48 117.21 130.94 144.66 158.39
6 years 0.385% 97.72 103.64 115.48 127.32 139.16 151.00
5 years 0.320% 98.42 103.37 113.27 123.18 133.08 142.99
4 years 0.214% 99.15 103.13 111.08 119.04 127.00 134.96
3 years 0.120% 99.64 102.63 108.62 114.60 120.59 126.58
2 years 0.054% 99.89 101.89 105.89 109.88 113.88 117.88
1 year -0.056% 100.06 101.06 103.06 105.06 107.06 109.06
Maturity Date 100.00 100.00 100.00 100.00 100.00 100.00

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