February 19, 2016
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 5: 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 10: GC-SC Repo Rate Spreads
Chart 11: SC Repo Rates

As for the definition of each indicator, refer to Kurosaki, Kumano, Okabe, and Nagano [2015]
“Liquidity in JGB Markets: An Evaluation from Transaction Data,” Bank of Japan Working Paper
Series, No.15-E-2, May 2015.
(Chart 1)
Indicators in the JGB Futures Market: Transaction Volume and Trade Size
(1) Transaction Volume of JGB Futures
7
tril. yen
6
5
4
3
2
1
0
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Note: 10-day backward moving average. The latest data are as of end-January 2016.
Sources: QUICK; Osaka Exchange, Inc.
(2) Number of Transactions and Trade Size per Transaction
10,000
number of transactions
100 mil. yen
16
14
8,000
12
10
6,000
8
4,000
6
4
2,000
Number of transactions (lhs)
2
Trade size per transaction (rhs)
0
Jan-12
0
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Note: 10-day backward moving average. The latest data are as of end-January 2016.
Source: Nikkei Inc., "NEEDS."
Jan-15
Jul-15
Jan-16
(Chart 2)
Indicators in the JGB Futures Market: Bid-ask Spreads
(1) Bid-ask Spreads (Daily Average and Average of the Widest 10 percent)
JPY cents
2.5
Daily average
Lower liquidity
Average of the widest 10 percent
2.0
1.5
1.0
0.5
0.0
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Notes: 1. The latest data are as of end-January 2016.
2. "Daily average" is the average of the bid-ask spread data with a 1-minute frequency within each business day.
"Average of the widest 10 percent" is the average of the widest 10 percent of that data.
A 10-day backward moving average is then applied to both time-series.
(2) Histogram of the Bid-ask Spreads
(March 10, 2015)
(April 8, 2013)
300
times
300
times
(January 29, 2016)
300
250
250
250
200
200
200
150
150
150
100
100
100
50
50
50
0
0
0
-1
2
3
4
5JPY cents
times
-1
2
3
4
5JPY cents
-1
2
3
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. March 10, 2015 is the day on which "average of the widest 10 percent" is the largest during 2015.
3. January 29, 2016 is the day on which "average of the widest 10 percent" is the largest during January 2016.
Source: Nikkei Inc., "NEEDS."
4
5JPY cents
(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)
unit
250
Lower liquidity
200
150
100
50
0
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
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 10-day backward moving average. The latest data are as of end-January 2016.
(2) Histogram of Volume of Limit Orders at the Best-ask Price
(October 30, 2014)
(April 8, 2013)
180
times
180
(January 29, 2016)
times
180
150
150
150
120
120
120
90
90
90
60
60
60
30
30
30
0
0
0
-10
-60 -110 -160 -210 -260 300unit
times
-10 -60 -110 -160 -210 -260 300unit
-10
-60 -110 -160 -210 -260 300unit
Note: 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.
Source: Nikkei Inc., "NEEDS."
(Chart 4)
Indicators in the JGB Futures Market: Price Impact
700
CY 2012=100
Price impact
Lower liquidity
Daily price range to transaction volume ratio
600
500
400
300
200
100
0
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Note: "Price impact" is calculated by taking the average of each business day. A 10-day backward moving average is then applied to
both time-series. The latest data are as of end-January 2016.
Sources: Nikkei Inc., "NEEDS."; QUICK; Osaka Exchange, Inc.
(Chart 5)
Indicators in the JGB Cash Market: Inter-dealer Transaction Volume
(1) Inter-dealer Monthly Transaction Volume
100
%
tril.yen
20
90
18
80
16
70
14
60
12
50
10
40
8
30
6
20
4
Monthly transaction volume (lhs)
10
2
Turnover ratio (rhs)
0
0
05
06
07
08
09
10
11
12
13
CY
Notes: 1. The latest data are as of October-December 2015.
2. Treasury Discount Bills, etc. are excluded from transaction volume.
3. "Turnover ratio" is calculated by dividing the transaction volume by the outstanding amount.
Sources: Japan Securities Dealers Association; Ministry of Finance.
14
15
(2) Inter-dealer Daily Transaction Volume (via Japan Bond Trading)
12,000
100 mil. yen
Others
On-the-run bonds
10,000
8,000
6,000
4,000
2,000
0
Jan-12
Jul-12
Jan-13
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Note: Daily transaction volume of 2-year, 5-year, 10-year, 20-year, 30-year, and 40-year JGBs via Japan Bond Trading.
The latest data are as of January 2016.
Source: QUICK.
Jan-16
(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)
50
%
tril. yen
10
45
9
40
8
35
7
30
6
25
5
20
4
15
3
10
2
Monthly transaction volume (lhs)
5
1
Turnover ratio (rhs)
0
0
CY05
2005
06
07
08
09
10
11
12
13
14
15
(2) Breakdown of Dealer-to-client Monthly Transaction Volume (Gross Amount Purchased by Clients)
25
tril. yen
City banks
Regional financial institutions
Investors
Foreigners
20
15
10
5
0
05
CY 2005
06
07
08
09
10
11
12
13
14
Notes: 1. The latest data are as of October-December 2015.
2. Treasury Discount Bills, etc. are excluded from transaction volume.
3. "Turnover ratio" is calculated by dividing the transaction volume by the outstanding amount.
4. Government, Japan Post Bank, Japan Post Insurance, Bank of Japan, etc. are excluded from "clients."
5. "Investors" are agricultural, forestry and fishery financial institutions, insurance companies, investment trusts,
national and local public officers mutual aid associations, and trust banks.
Sources: Japan Securities Dealers Association; Ministry of Finance.
15
(Chart 7)
Indicators in the JGB Cash Market: Bid-ask Spreads in the Dealer-to-client Market
(1) 5-year JGBs
30
JPY cents
25
20
15
10
5
0
Jan-13
Apr-13
Jul-13
Oct-13
Jan-14
Apr-14
Jul-14
Oct-14
Jan-15
Apr-15
Jul-15
Oct-15
Jan-16
Jul-13
Oct-13
Jan-14
Apr-14
Jul-14
Oct-14
Jan-15
Apr-15
Jul-15
Oct-15
Jan-16
Jul-13
Oct-13
Jan-14
Apr-14
Jul-14
Oct-14
Jan-15
Apr-15
Jul-15
Oct-15
Jan-16
(2) 10-year JGBs
JPY cents
30
25
20
15
10
5
0
Jan-13
Apr-13
(3) 20-year JGBs
JPY cents
60
50
40
30
20
10
0
Jan-13
Apr-13
Notes: 1.10-day backward moving average. The latest data are as of end-January 2016.
2. Dotted lines indicate the first/third quartile spreads between Jan. 2010 and Mar. 2013.
Source: Thomson Reuters.
(Chart 8)
Indicators in the JGB Cash Market: Best-worst Quote Spreads
(1) Best-worst Quote Spreads (Average)
1.2
(2) Probability that the Best-worst Quote Spread is
1 bps (2 bps) or wider
bps
35
1.6
%
1 bps or wider
Lower liquidity
1.4
2 bps or wider
30
1.0
1.2
25
0.8
1.0
20
0.6
0.8
15
0.6
0.4
10
0.4
0.2
5
0.2
0.0
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
0
Jan-11
Jan-16
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
0.0
(3) Histogram of Best-worst Quote Spreads
40
%
1.0
CY 2012 average
Apr. 2013
Jan. - Mar. 2015
Jan. 2016
0.9
35
0.8
30
0.7
25
0.6
20
0.5
15
0.4
10
0.3
証券会社の対顧客取引
の10～15％程度0.2
（アセマネ・信託中心）
5
bps
Notes: 1. A portion of transactions with the spread wider than 10 bps is excluded from the calculation.
Notes: 2. As for figures (1) and (2), the latest data are as of January 2016.
Source: Yensai.com.
2.01.75-2.0
1.5-1.75
1.25-1.5
1.0-1.25
0.75-1.0
0.5-0.75
0.25-0.5
-0.25
bps
2.01.75-2.0
1.5-1.75
1.25-1.5
1.0-1.25
0.75-1.0
0.5-0.75
0.25-0.5
-0.25
2.01.75-2.0
1.5-1.75
1.25-1.5
1.0-1.25
0.75-1.0
0.5-0.75
0.25-0.5
-0.25
bps
2.01.75-2.0
1.5-1.75
1.25-1.5
1.0-1.25
0.75-1.0
0.5-0.75
0.25-0.5
-0.25
0
bps
0.1
0.0
(Chart 9)
Best-worst Quote Spreads (by Residual Maturity)
(1) Short-term (2 years or less)
1.6
(2) Medium-term (2-5 years)
bps
1.0
bps
Lower liquidity
0.9
1.4
0.8
1.2
0.7
1.0
0.6
0.8
0.5
0.4
0.6
0.3
0.4
0.2
0.2
0.1
0.0
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
(3) Long-term (5-10 years)
1.0
0.0
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
(4) Super-long-term (over 10 years)
bps
1.6
0.9
bps
1.4
0.8
1.2
0.7
1.0
0.6
0.8
0.5
0.4
0.6
0.3
の対顧客取引
～15％程度0.2
ネ・信託中心）
0.4
0.2
0.1
0.0
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
0.0
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
Note: A portion of transactions with the spread wider than 10 bps is excluded from the calculation. The latest data are as of January 2016.
Source: Yensai.com.
(Chart 10)
GC-SC Repo Rate Spreads
(1) Simple Average of All the Traded Issues
%
0.100
0.075
0.050
0.025
0.000
Apr-13
Aug-13
Dec-13
Apr-14
Aug-14
Dec-14
Apr-15
Aug-15
Dec-15
(2) Histogram
40
%
40
%
CY 2013
35
Oct.-Dec. 2015
Jul.-Sep. 2015
35
30
30
25
25
20
20
15
15
10
10
5
5
0
Jan. 2016
0
-0
-1
-2
-3
-4
-5
-6
-7
-8
-9 -10 10-
GC-SC Repo Rate Spreads, bps
-0
-1
-2
-3
-4
-5
-6
-7
-8
-9 -10 10-
GC-SC Repo Rate Spreads, bps
Notes: 1. As for figure (1), the latest data are as of end-January 2016. The bold line indicates 10-day backward moving average.
2. CY 2013 in figure (2) is the average of April to December 2013.
Sources: Japan Securities Dealers Association; JBond Totan Securities.
(Chart 11)
SC Repo Rates
(1) Simple Average of All the Traded Issues
0.100
%
0.075
0.050
0.025
0.000
-0.025
-0.050
Apr-13
Aug-13
Dec-13
Apr-14
Aug-14
Dec-14
Apr-15
Aug-15
Apr-14
Aug-14
Dec-14
Apr-15
Aug-15
Dec-15
(2) Number of Negative Rate Issues
Number of Issues
100
90
80
70
60
50
40
30
20
10
0
Apr-13
Aug-13
Dec-13
Dec-15
Note: The latest data are as of end-January 2016. As for figure (1), the bold line indicates 10-day backward moving average.
Source: JBond Totan Securities.