16 小时之前 · The recent decline in borrowing from the SLF is considered to have been driven by the gradual improvement in the functioning of the JGB markets, including the cash, futures, and repo markets, reflecting the reduction in JGB purchases by the Bank and the stabilization of the repo rates as well as changes in investors' positions.

The final chapter in the development of the repo market in Japan was opened by the third shortening of the JGB settlement cycle in May 2018 (from T+2 to T+1 for cash transactions and special collateral repos, and from T+1 to T+0 for

In this paper, we attempt to understand the characteristics of the Japanese government bond (JGB) repo market by applying network analysis methods to highly granular data on JGB repo transactions.

Tokyo Repo Rate (Updated every business day (around 12:30pm)) Tokyo Repo Rate (Time series data) Regarding the data published before October 26, 2012, please refer to "BOJ Time-Series Data Search."

Japanese repo rate and the JGB price data. Our main findings are as follows: when we regard the most recently issued (on-the-run) 10-year JGBs and CTD issues as special, the no-arbitrage condition is significantly satisfied between the repo spread and the corresponding cash premium defined as the differences between the market prices of

As Shortening of JGB Settlement Cycle to T+1 launched on May 1, 2018 (Tue.), JSCC introduced Subsequent Collateral Allocation Repo. Explained below are the background of this project, framework and post-implementation overview.

2022年1月3日 · In this paper, we attempt to understand the characteristics of the Japanese government bond (JGB) repo market by applying network analysis methods to highly granular data on JGB repo transactions.

central clearing and led market participants to promote the wider use of JSCC in JGB transactions. Against that background, trust banks, which are major providers of funds in the JGB repo market, are expected to use JSCC in the form of …

One feature of Japan's repo market, as compared to major overseas markets, is that more than 90% of bond repos uses JGBs (Chart 4). Even if repos and securities lending that use securities other than bonds such as equities are included, JGB repos make up about 90% of the total amount outstanding of all these transactions.

In Japan, Shigemi et al. (2001) described the pricing of Japanese government bonds (JGBs) in the cash, futures, and repo markets after the stressful events that took place between 1998 and 1999.2 This paper aims to examine the pricing mechanism of the Japanese repo market from both theoretical and empirical perspectives.