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 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.