Published monthly by Japan Macro Advisors. Updated to the month of February 2017 (published on March 3rd, 2017)
Recent data trend:
The BoJ bought 9.6 trillion yen (book value) of JGBs in February 2017, slightly down from 9.7 trillion yen in February 2017. The average maturity of JGB purchased in February was 8.5 years, up from 8.3 years in the previous month.
In terms of the BoJ's market share in the JGB market, it renewed its peak, again. In February 2017, the BoJ owned 42.3% of the JGB market, measured in value, and 37.9% measured in aggregate duration risk. Under the new policy framework adopted in September, the BoJ expects to guide short-term interest rates at minus 0.1 percent and the 10-year government bond yield around zero percent. The pace of its JGB purchase were expected to gradually shrink as it now targets interest rates and not the pace of money printing. In our view, the direction seems uncertain as the BoJ attempt to restrain the yield curve from steepening has faced challenges, mostly driven by expectations of steady rate hikes by the U.S. Federal Reserve.
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.
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: April 2nd, 2017.