Liquidity Indicators in the JGB Markets
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1 December 27, 217 Financial Markets Department Bank of Japan Liquidity Indicators in the JGB Markets Indicators in the JGB Futures Market Chart 1: Transaction Volume and Trade Size Chart 2: Bid-ask Spreads Chart 3: Volume of Limit Orders at the Best-ask Price (Market Depth) Chart 4: Price Impact Indicators in the JGB Cash Market Chart : Inter-dealer Transaction Volume Chart 6: Dealer-to-client Transaction Volume Chart 7: Bid-ask Spreads in the Dealer-to-client Market Chart 8: Best-worst Quote Spreads Chart 9: Best-worst Quote Spreads by Residual Maturity Indicators in the SC Repo Market Chart 1: GC-SC Repo Rate Spreads Chart 11: SC Repo Rates As for the definition of each indicator, refer to Kurosaki, Kumano, Okabe, and Nagano [21] Liquidity in JGB Markets: An Evaluation from Transaction Data, Bank of Japan Working Paper Series, No.1-E-2, May 21. Inquiries:Financial Markets Analysis Group, Coordination and Market Analysis Division, Financial Markets Department (TEL: )
2 (Chart 1) Indicators in the JGB Futures Market: Transaction Volume and Trade Size (1) Transaction Volume of JGB Futures 7 tril. yen Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Note: 1-day backward moving average. Latest data as at end-november 217. Sources: QUICK; Osaka Exchange, Inc. (2) Number of Transactions and Trade Size per Transaction 1, number of transactions 1 mil. yen , 12 6, 1 8 4, 6 2, Number of transactions (lhs) Trade size per transaction (rhs) Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul Note: 1-day backward moving average. Latest data as at end-november 217. Source: Nikkei Inc., "NEEDS."
3 (Chart 2) Indicators in the JGB Futures Market: Bid-ask Spreads (1) Bid-ask Spreads (Daily Average and Average of the Widest 1 percent) Lower liquidity Daily average Average of the widest 1 percent Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Notes: 1. Latest data as at end-november "Daily average" is the average of the bid-ask spread data with a 1-minute frequency within each business day. "Average of the widest 1 percent" is the average of the widest 1 percent of that data. A 1-day backward moving average is then applied to both time-series. (2) Histogram of the Bid-ask Spreads 3 times (March 11, 216) (July 29, 216) (September 11, 217) times times Notes: 1. Figures are calculated by summing up the appearance frequency of the bid-ask spread with a 1-minute frequency within each business day. 2. Figures indicate, from left to right, the day on which "average of the widest 1 percent" is the largest during FY 21, FY 216 and FY 217, respectively. Source: Nikkei Inc., "NEEDS."
4 (Chart 3) Indicators in the JGB Futures Market: Volume of Limit Orders at the Best-ask Price (Market Depth) (1) Volume of Limit Orders at the Best-ask Price (Daily Median) 2 unit Lower liquidity Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Note: Figures are calculated by taking the median of the volume of limit orders at the best-ask price with a 1-minute frequency within each business day, and then applying a 1-day backward moving average. Latest data as at end-november 217. (2) Histogram of Volume of Limit Orders at the Best-ask Price 18 (March 11, 216) (July 29, 216) (June 12, 217) times times 18 times unit unit unit Note: 1. Figures are calculated by summing up the appearance frequency of the volume of limit orders at the best-ask price with a 1-minute frequency within each business day. 2. Figures indicate, from left to right, the day on which the median of the volume of limit orders at the best-ask price is the lowest during FY 21, FY 216 and FY 217, respectively. Source: Nikkei Inc., "NEEDS."
5 (Chart 4) Indicators in the JGB Futures Market: Price Impact 8 7 CY 212=1 Lower liquidity Price impact Daily price range to transaction volume ratio Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Note: "Price impact" is calculated by taking the average of each business day. A 1-day backward moving average is then applied to both time-series. Latest data as at end-november 217. Sources: Nikkei Inc., "NEEDS."; QUICK; Osaka Exchange, Inc.
6 (Chart ) Indicators in the JGB Cash Market: Inter-dealer Transaction Volume (1) Inter-dealer Daily Transaction Volume (via Japan Bond Trading) 12, 1, 1 mil. yen % A: on-the-run bonds (lhs) B: others (lhs) A/(A+B) (rhs) 7 6 8, 6, 4 4, 3 2, 2 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 1 (2) Inter-dealer Daily Transaction Volume of On-the-run Bonds (via Japan Bond Trading) 1 mil. yen 2, -year 1-year 2-year 2, 1, 1, Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Notes: 1. Latest data as at November Daily transaction volume of 2-year, -year, 1-year, 2-year, 3-year, and 4-year JGBs via Japan Bond Trading. Source: QUICK.
7 (Chart 6) Indicators in the JGB Cash Market: Dealer-to-client Transaction Volume (1) Dealer-to-client Monthly Transaction Volume (Gross Amount Purchased by Clients) tril. yen Super-long-term JGBs 4 4 Long-term JGBs Medium-term JGBs (foreign investors) Medium-term JGBs (domestic investors) CY (2) Breakdown of Dealer-to-client Monthly Transaction Volume (Gross Amount Purchased by Clients) tril. yen 2 City banks Regional financial institutuions 2 Investors Foreigners 1 1 CY Notes: 1. Latest data as at October-November Treasury Discount Bills, etc. are excluded from the transaction volume. 3. "Clients" include "city banks," "regional financial institutions," "investors," and "foreigners." Other institutions (government, Bank of Japan, Japan Post Bank, Japan Post Insurance, business corporations, other financial institutions etc.) are excluded from "clients." 4. "Investors" are insurance companies, trust banks, agricultural, forestry and fishery financial institutions, investment trusts, and national and local public officers mutual aid associations. Source: Japan Securities Dealers Association.
8 (Chart 7) Indicators in the JGB Cash Market: Bid-ask Spreads in the Dealer-to-client Market (1) -year JGBs 1 1 Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 (2) 1-year JGBs Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 (3) 2-year JGBs Jan-13 Jul-13 Jan-14 Jul-14 Jan-1 Jul-1 Jan-16 Jul-16 Jan-17 Jul-17 Notes: 1.Solid lines indicate 1-day backward moving average of the quotations through Trade web as of 3: p.m. Latest data as at end-november Dotted lines indicate the first/third quartile spreads between January 21 and March 213. Source: Thomson Reuters.
9 (Chart 8) Indicators in the JGB Cash Market: Best-worst Quote Spreads (1) Best-worst Quote Spreads (Average) (2) Probability that the Best-worst Quote Spread is 1 (2 ) or wider Lower liquidity % 1 or wider 2 or wider Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan-17 Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan-17 (3) Histogram of Best-worst Quote Spreads 4 % CY 212 average Apr. 213 Jul. - Sep. 217 Nov 証券会社の対顧客取の 1~1% 程度 ( アセマネ 信託中 Notes: 1. A portion of transactions with the spread wider than 1 is excluded from the calculation. Notes: 2. As for figures (1) and (2), latest data as at November 217. Source: Yensai.com.
10 (Chart 9) Best-worst Quote Spreads (by Residual Maturity) (1) Short-term (2 years or less) (2) Medium-term (2- years) Lower liquidity Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan-17. Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan-17 (3) Long-term (-1 years) (4) Super-long-term (over 1 years) 取引度.2 中心 ).1. Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan Jan-11 Jan-12 Jan-13 Jan-14 Jan-1 Jan-16 Jan-17 Note: A portion of transactions with the spread wider than 1 is excluded from the calculation. Latest data as at November 217. Source: Yensai.com.
11 (Chart 1) (1) Volume Weighted Average Rate of All the Traded Issues %.2 GC-SC Repo Rate Spreads Apr-13 Oct-13 Apr-14 Oct-14 Apr-1 Oct-1 Apr-16 Oct-16 Apr-17 Oct-17 (2) Histogram 4 % 4 % 4 3 CY /3Q /3Q Nov GC-SC Repo Rate Spreads, GC-SC Repo Rate Spreads, Notes: 1. As for figure (1), latest data as at end-november 217. The bold line indicates 1-day backward moving average. 2. CY 213 in figure (2) is the average of April to December 213. Sources: Japan Securities Dealers Association; JBond Totan Securities.
12 (Chart 11) SC Repo Rates.1 % Apr-13 Oct-13 Apr-14 Oct-14 Apr-1 Oct-1 Apr-16 Oct-16 Apr-17 Oct-17 Note: Figures indicate the volume weighted average rate of all the traded issues. Latest data as at end-november 217. The bold line indicates 1-day backward moving average. Source: JBond Totan Securities.
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