Published monthly by Japan Macro Advisors. Updated to the month of December 2016 (published on January 6th, 2017)
Recent data trend:
The BoJ bought 9.4 trillion yen (book value) of JGBs in December 2016, down from 10 trillion in November 2016. The average maturity of JGB purchased in December increased from 7.8 years to 8.5 years.
In terms of the BoJ's market share in the JGB market, it renewed its new peak, again. In December 2016, the BoJ owned 41.3% of the JGB market, measured in value, and 36.8% measured in aggregate duration risk. After its September decision, the BoJ is no longer committed to a quantitative target for the size of its JGB purchase. The pace of its JGB purchase were expected to gradually shrink, but the direction is now uncertain as the BoJ needs to restrain the yield curve from steepening in order to keep the 10 year yield at 0%.
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: February 2nd, 2017.