The Bank of Japan’s Financial Markets Department published an updated set of liquidity indicators for Japanese government bond (JGB) markets, presenting chart-based measures for the JGB futures market, the JGB cash market and the special collateral (SC) repo market, with most series updated through end-February 2026. The release tracks futures-market transaction volumes, bid-ask spreads, order-book depth at best prices and price-impact based resiliency measures, generally shown as 10-day backward moving averages. For the cash market, it includes dealer-to-client transaction volumes and bid-ask spreads, inter-dealer transaction volumes (including a breakdown for on-the-run bonds by maturity), inter-dealer bid-ask spreads and quote-availability measures, plus market-depth indicators and distributions of issues by the share of trading hours with best-bid and best-ask prices. SC repo “scarcity” is proxied through GC–SC repo rate spreads and SC repo rates, calculated as volume-weighted averages and shown as 10-day backward moving averages, with indicator definitions cross-referenced to earlier Bank of Japan research publications.
Bank of Japan 2026-03-30
Bank of Japan publishes updated liquidity indicators for JGB futures, cash and special collateral repo markets
The Bank of Japan’s Financial Markets Department published updated chart-based liquidity indicators for Japanese government bond futures, cash and special collateral repo markets, with most series updated through end-February 2026. The data cover transaction volumes, bid-ask spreads, order-book depth, price-impact measures, quote availability and market depth, as well as general collateral–special collateral repo rate spreads and volume-weighted special collateral repo rates, shown as 10-day backward moving averages.