Aug 4, 2018

Japan JGBs held by BoJ

BoJ bought 10 trillion yen JGBs in July, pushed up by the unlimited auction it held on July 30.

Published monthly by Japan Macro Advisors. Updated to the month of July 2018 (published on August 4th, 2018)

Recent Data Trend:

In July 2018, the BoJ bought 10.0 trillion yen (book value) of JGBs. The purchase was much larger than 6.8 trillion yen in June, partly due to the unlimited fixed rate auction the BoJ conducted on July 30th to restrain the rise in the 10yr JGB rate. There was a speculation ahead of the July 30-31 meeting that the BoJ may allow the 10yr rate to rise. Assuming that the BoJ will revert to the average monthly purchase pace of 8 trillion yen, the BoJ will be increasing by roughly 40 trillion yen p...

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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: September 4th, 2018.

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