Published monthly by Japan Macro Advisors. Updated to the month of June 2017 (published on July 7th, 2017)
Recent data trend:
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 previous month.
At this lower level of monthly purchase, the BoJ will be increasing its JGB holding in its balance sheet by around 60 trillion yen per year, rather than 80 trillion yen being indicated in the BoJ's monetary policy statement.
In terms of the BoJ's market share in the JGB market, it did rise from 43.2% in April to 43.4% in May, but the pace of increase is significantly slower than what it used to be since the BoJ embarked on its quantitative easing policy in April 2013. In the past 4 years, the BoJ's market share in JGB has been rising on average 0.6% point per month.
Brief overview of “JGBs held by BoJ”
The Bank of Japan (BoJ) is currently aiming to lengthen the duration of JGB holding. In its policy statement in April 2013, it pledged that it will target to purchase JGBs with 7 years remaining maturity on average. However, the BoJ does not officially publish the duration related statistics on their JGB holding or of its monthly purchase. We, Japan Macro Advisors, estimate these statistics. These data are our proprietary data, but we permit the free use of statistics on condition that users display the source (JMA) publicly. The average duration of the BoJ’s JGB holding had been steadily falling between 2011 to early 2013 until the new BoJ Governor Haruhiko Kuroda introduced “Quantitative and Qualitative Monetary Easing” in April 2013.
The methodology and publication schedule of the indicator(English)
The methodology and publication schedule of the indicator(Japanese)
BoJ's market share in the fixed coupon JGBs by maturity sub-sectors
BoJ's market share in JGBs by maturity sub-sectors
Note: Measured in market value at the end of each month
The Next Release Date: August 2nd, 2017.