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Trends in the Money Market in Japan Results of the Tokyo Money Market Survey (August 2017)
November 2017
Financial Markets Department Bank of Japan
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Financial Markets Department, Bank of Japan
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1
November 2017
Financial Markets Department
Bank of Japan
Trends in the Money Market in Japan Results of the Tokyo Money Market Survey (August 2017)
■ Introduction ■
The Financial Markets Department of the Bank of Japan (the Bank) has conducted the Tokyo Money Market Survey since 2008 to understand developments in the Japanese money market. Initially, this series of surveys was conducted every other year. However, to observe market trends more precisely, the Bank decided to conduct the survey annually beginning with the 2013 survey. In August 2017, the eighth survey in the series was carried out (the survey was conducted as of the end of July 2017).
As with the previous surveys, this survey covers eligible counterparties in the Bank's market operations, as well as other major participants in the money market. The number of respondents in the survey was 303 (with a response rate of 100 percent), up from 300 in the 2016 survey, mainly due to a rise in the number of eligible counterparties in the Bank's market operations.
The Bank intends to capture comprehensively and from various angles the situations and structural changes in the money market, utilizing the results of this survey as well as the results of the Bond Market Survey. The Bank will continue to enhance dialogue with market participants by taking advantage of the Meeting on Market Operations and the Bond Market Group to actively support the relevant parties in their efforts to enhance the Japanese financial markets, including the money market. The Bank intends to contribute significantly to such endeavors in its capacity as Japan's central bank.
2
Number of Respondents in the Tokyo Money Market Survey
2016 survey 2017 survey
Total respondents 300 303
Eligible counterparties in the Bank's market operations 273 276
■ Overview ■
The amounts outstanding in the money market increased from the levels of the previous year on both the cash borrowing side and the cash lending side.1
The amounts outstanding increased against the backdrop of an increase in arbitrage transactions that took advantage of the three-tier system of financial institutions' current accounts at the Bank. This can be attributed to the following reasons. First, the market had adjusted to trading at negative interest rates; IT systems had been adjusted to enable trading at negative interest rates and the number of market participants who trade at negative interest rates had increased after the elapse of considerable time since the introduction of the negative interest rate policy. Second, the funding needs of cash borrowers who were presented with greater arbitrage opportunities under the higher upper bound on macro add-on balances had grown. They borrowed cash at negative interest rates in the money market and piled it up in their current accounts at the Bank. Third, the investment needs of cash lenders had grown mainly due to the inflows of funds from the redemption of Japanese government bonds (JGBs). They were inclined to direct lending toward the money market to avoid the application of the policy rate.
By type of transaction, the amounts outstanding of repo transactions and call transactions increased, while transactions with the Bank and treasury discount bills (T-Bills) contributed to an increase on the cash borrowing side and the cash lending side, respectively.
With respect to the functioning of the money market, although the share of respondents who answered that it had "declined" decreased significantly from the previous year (61 percent in 2016 to 17 percent in 2017), it continued to exceed that of "improved" (9 percent in
1 The discrepancies between the figures on the cash lending side and borrowing side are due to the
constraints regarding the counterparties covered by this survey (e.g., non-residents are not included), and the fact that some types of transactions are recorded only on one side (e.g., transactions with the Bank are recorded only on the cash borrowing side, while treasury discount bills [T-Bills] are recorded only on the lending side).
Note: In addition to the eligible counterparties in the Bank's market operations, several major life insurance companies, general insurance companies and asset management companies participated in the survey (with a response rate of 100 percent).
3
2017).
The Bank intends to continue to monitor closely the developments in the money market through day-to-day monitoring activities, the implementation of the Tokyo Money Market Survey, and dialogue with market participants.
Amount Outstanding in the Money Market
Cash Borrowing Side Cash Lending Side
38 28 28 26 28 27 29 33 17 19
109
69 61 6182 88
110 107116
131
34
33 37 3434 34
38 4226
2533
37 33 4335 26
2835
33
45
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Transactions with the BankCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
36 26 26 25 27 25 27 30 15 19
106
68 62 61 77 7998 97
102117
55
37 30 2927 32
32 36 3531
58
8280
6670 53
28 24
919
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
T-BillsCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
4
1. An Increase in GC Repo Transactions for the Second Consecutive Year
Of repo market2 transactions, the amount outstanding of general collateral (GC) repos3
increased for the second consecutive year.
Amid the increase in arbitrage transactions that took advantage of the three-tier system of financial institutions' current accounts at the Bank, it was pointed out that GC repos were preferred because (1) on the cash borrowing side, GC repos were advantageous in terms of profitability since their interest rates were in the deeper negative territory compared to those in the call market; and (2) on the cash lending side, GC repos enabled financial institutions, including those with large-scale assets, to trade large volumes at once.
The increase in arbitrage transactions is attributable to the following reasons. First, the number of market participants who trade at negative interest rates had increased after the elapse of considerable time since the introduction of the negative interest rate policy. Second, the funding needs of cash borrowers who were presented with greater arbitrage opportunities under the higher upper bound on macro add-on balances had grown. They borrowed cash at negative interest rates in the money market and piled it up in their current accounts at the Bank. Third, the investment needs of cash lenders had grown mainly due to the inflows of funds from the redemption of Japanese government bonds (JGBs). They were inclined to direct lending toward the money market to avoid the application of the policy rate.
Amount Outstanding in GC Repo Transactions by Investor Type
Cash Borrowing Side Cash Lending Side
2 In this paper, the market for cash-collateralized securities lending transactions (the so-called
gentan repo) and securities repurchase transactions (the so-called gensaki repo) is called the "repo market."
3 These are repo transactions in which the securities to be used as collateral are not specified.
14 8 10 8 14
9
16 8 8 11
24
12 8 9
16 16
16 17
21 19
11
12
8 6
12 12
17 18
29 34
0
10
20
30
40
50
60
70
80
90
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks必要
tril. yen
Tanshi
15 8 10 10
14 17 21 22 21 23
78 10
1517
12
10
7 8
10 10
17 17
21
23
0
10
20
30
40
50
60
70
80
90
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks必要
tril. yen
Tanshi
5
2. Although Having Had Increased from the Previous Year, SC Repo Transactions Remained Below the Level before the Introduction of the Negative Interest Rate Policy
Although the amount outstanding of special collateral (SC) repo4 transactions increased from the previous year, it remained below the level before the introduction of the negative interest rate policy.
On the bond borrowing side, some pointed out that SC repos to cover short positions increased somewhat from the previous year when the motivation of securities companies, which are the major bond borrowers in the market, to take short positions clearly declined under lower interest rates. However, it was also pointed out that issues to be traded were limited to on-the-run issues, and that it was hard to say that the SC repo market had become active as the supply and demand conditions for off-the-run issues tightened even further. In fact, the amount outstanding of SC repos fell below the level in the 2015 survey before the introduction of the negative interest rate policy.
On the bond lending side, some pointed out that regional financial institutions, mainly those with ''unused allowances'' in their macro add-on balances, contributed to the increase in the amount outstanding. This was because interest rates in SC repos were in deep negative territory and arbitrage transactions in which funds were piled up in current accounts at the Bank within the upper bound on macro add-on balances were highly profitable.
Amount Outstanding in SC Repo Transactions by Investor Type
Bond Borrowing Side Bond Lending Side
4 These are repo transactions in which the securities to be used as collateral are specified.
21
11 13 14 12 12 14 12 8 10
23
12 10 13 12 1719
16
1314
10
7 78 10
1114
17
1520
0
10
20
30
40
50
60
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesCity banks
tril. yen Tanshi
20
11 14 15 15 1922 25
22 23
10
7 77 9
10
11 10
810
0
10
20
30
40
50
60
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks
tril. yenTanshi
6
3. An Increase in Uncollateralized Call Transactions and their Recovery to the Level before the Introduction of the Negative Interest Rate Policy
The amount outstanding of transactions in the uncollateralized call market increased from the previous year, and recovered to the level in the 2015 survey before the introduction of the negative interest rate policy.
Factors pointed out to explain the increase were the IT systems adjustments to enable trading at negative interest rates and the new entry of investors who did not conduct uncollateralized call transactions at negative interest rates in the previous year. On this basis, a survey on the status of IT systems adjustments to negative interest rates in the uncollateralized call market shows that the share of respondents who answered that they "have adapted IT systems" increased from 60 percent in 2016 to 74 percent in 2017, demonstrating steady progress in IT systems adjustments.
Furthermore, on the cash lending side, it was pointed out that regional financial institutions and trust banks increased lending through uncollateralized call transactions to suppress policy-rate balances, mainly in response to an inflow of funds from the redemption of JGBs.
Amount Outstanding in the Uncollateralized Call Market by Investor Type
Cash Borrowing Side Cash Lending Side
Status of IT Systems Adjustments to Negative Interest Rates
in the Uncollateralized Call Market
106 5 4
6 67 7
2
4 3
8
2
2 2 2
2 2
3 4
5 7
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
OthersSecurities companiesForeign banksRegional banks and regional banks IICity banks
tril. yen
5
2 3 2 3 3 57 8
10
3
4
8
3 3 3
3 3 5
5 3
2
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others banksRegional banks and regional banks IITrust banksCity banks
tril. yen
Keitou/Shinkin
10 11
14 10
75
8
6074
0102030405060708090
100
2016 2017
Have adapted IT systems
Are currently working on IT systems
Are considering whether it is necessary to adaptIT systems
Have decided it is not necessary to adapt ITsystems as currently there is no need
Have solved the problem by alternative means
%
7
4. Collateralized Call Transactions Remained Unchanged at Low Levels
The amount outstanding of transactions in the collateralized call market remained largely unchanged from the previous year's level when the amount outstanding decreased significantly.
Conventionally, transactions between trust banks and investment trusts as lenders and tanshi companies as borrowers constituted the majority of collateralized call transactions. However, it has been difficult for the tanshi companies to offer the positive rates desired by trust banks and investment trusts in collateralized call transactions since the introduction of the negative interest rate policy.
Amount Outstanding in the Collateralized Call Market by Investor Type
Cash Borrowing Side Cash Lending Side
Amount Outstanding in the Call Market and the Ratio of Collateralized Transactions
3 4 3 3 3 3 3 3
7 9 10 12 12 11
9 11
2 2 0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesSecurities companiesForeign banksRegional banks and regional banks IICity banks
Tanshitril. yen
7 7 6 7 7 8 8 12
2 2
3 4 5 4 5
5 5 3 3 3
3
3
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesRegional banks and regional banks IITrust banksCity banks
Tanshi
tril. yen
24
12 12 10 11 12 15 16
14 16
14
16 17
17 17 16
14
17
2 3
0
20
40
60
80
100
0
5
10
15
20
25
30
35
40
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Collateralized call transactions
Uncollateralized call transactions
Ratio of collateralized call transactions(right-hand scale)
tril. yen %
8
5. Increases in Cash Borrowing through Transactions with the Bank and Cash Lending through T-Bills
The amount outstanding of transactions with the Bank increased as a consequence of an increase in the use of the Loan Support Program. Some pointed out that the fact that a measure was implemented effective from March 31, 2016, whereby twice as much as the increase in the amount outstanding of financial institutions' borrowing would be included in their macro add-on balances also contributed to the increase in the use of the Loan Support Program. It was also pointed out that some of financial institutions that increased the use of the Loan Support Program increased arbitrage transactions in which they borrowed cash at negative interest rates and piled up in current accounts at the Bank utilizing the ''unused allowances'' in macro add-on balances.
The amount outstanding of investment in T-Bills increased due to T-Bill purchases for the purpose of suppressing policy-rate balances and of obtaining collateral. This is because T-Bill yields reduced its negative size from the previous year, and hovered at around minus 0.1 percent, which is the rate applied to the policy-rate balance.
Regarding CD/CPs whose issuance rates hovered at around 0 percent, amid the difficulties in investing money at positive rates, financial institutions continued to constrain funding through them. They were inclined to suppress their current account deposits at the Bank and avoid the policy-rate to be applied. On the other hand, the amount outstanding of investments in CD/CPs increased, albeit very slightly, due to an increase in issuance by business companies, leasing companies and non-banks.
Amount Outstanding in Transactions with the Bank, CD/CP and T-Bill Transactions
Cash Borrowing Side Cash Lending Side
34 33 37 34 34 34 38 4226 25
33 37 33 4335
2628
35
3345
0
20
40
60
80
100
120
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Transactions with theBank
CD/CP, CD/CP repos
tril. yen
31 25 21 20 20 19 24 28 20 22
5882
8066 70
5328 24
919
0
20
40
60
80
100
120
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
T-Bills
CD/CP, CD/CP repos
tril. yen
9
6. Perceptions of Market Participants on the Functioning of the Money Market
Although the share of respondents who answered that the functioning of the money market had "declined" decreased significantly from the previous year (61 percent in 2016 to 17 percent in 2017), it continued to exceed that of "improved" (9 percent in 2017). Even for JGB repo market, where the amount outstanding continued to increase, the share of respondents who answered that the functioning of JGB repo transactions had "declined" (20 percent) exceeded that of "improved" (7 percent). Some pointed out that this reflected the decreases in the volume and the types of issues of JGBs in the secondary market.
Perceptions of Market Participants on the Functioning of the Money Market
61
17
59
15
76
8
3520
11 9 12 125 8
187
0
20
40
60
80
100
2016 2017 2016 2017 2016 2017 2016 2017The Money Market Uncollateralized Call
TransactionsCollateralized Call
TransactionsJGB Repo Transactions
Improved Mostly unchanged Declined%
10
[BOX] Status of Initiatives to Shorten the Settlement Cycle of JGBs to T+1
When looking at the status of initiatives to shorten the settlement cycle of JGBs to T+1, which is scheduled to be implemented in May 2018, based on the number of counterparties, the shares of respondents who answered that the shortening of the settlement cycle "can be realized by the existing systems/frameworks" and "development or procurement of information systems is underway" both increased from the previous year.
Status of Initiatives to Shorten the Settlement Cycle of JGBs (%)
Note: Responses were obtained from all counterparties covered by the survey.
Also, when looking at the status of the shift to new gensaki transactions, which is recommended along with the implementation of the T+1 cycle, based on the amount outstanding of transactions, respondents who answered that "the arrangements (clerical work and IT system) for new gensaki transactions are already in place" increased from the previous year, indicating that the shift to new gensaki transactions had progressed further. Meanwhile, some of the respondents who conduct repo transactions at a low frequency still showed an ambiguous stance toward shifting to new gensaki transactions.
Status of the Shift to New Gensaki Transactions (%)
2016 2017
Note: Responses were obtained from 133 counterparties who were engaged in JGB repo transactions in July 2017. Note that the "amount outstanding of transactions" is based on the sum of the amount of cash lent and borrowed through GC repo transactions.
48
31
18
71 24
The arrangements (clerical work andIT system) for newtransactions are already in place
Work to establish the arrangements(clerical work and IT system) for new transactions is underway
Studies to establish the arrangements(clerical work and IT system) for new transactions are in progress
Others (including those still gatheringinformation)
gensaki
gensaki
gensaki
3137
20
11
18
22
40 15
8
7
17
16 2132
0
20
40
60
80
100
2015 2016 2017
Can be realized by the existingsystems/frameworks
Development or procurement ofinformation systems is underway
Required budgets have been secured forinformation system development
Concrete studies are underway on the taskflow, frameworks and budgets forshortening the settlement cycle
To be realized by joint operation centersor the central organizations of financialcooperatives
Others (Including those still gatheringinformation)
11
Furthermore, looking at the status of use of the new basic contract supporting the Subsequent Collateral Allocation Method GC Repo Transactions, respondents who indicated that they intend to conclude contracts using the new basic contract before the implementation of the T+1 cycle in May 2018 accounted for the majority, suggesting that preparations for shortening of the settlement cycle of JGBs to T+1 had steadily advanced.
Status of the Use of the New Basic Contract Supporting the Subsequent Collateral Allocation Method GC Repo Transactions (%)
Note: Respondents are only those counterparties that executed GC repo transactions in July 2017, and also participate in JSCC's JGB clearing services or plan to participate by May 2018.
5 8
32
39
16
Have already concluded contracts using the new basic contract
Plan to conclude contracts using the new basic contract by around December 2017
Plan to conclude contracts using the new basic contract by around March 2018
Plan to conclude contracts using the new basic contract by around May 2018
Do not plan to use the new basic contract before the implementation of the shortening of the settlement cycle of JGBs
12
Charts
Chart 1 Chart 2 Chart 3 Chart 4 Chart 5 Chart 6 Chart 7 Chart 8 Chart 9 Chart 10 Chart 11 Chart 12 Chart 13 Chart 14 Chart 15 Chart 16 Chart 17 Chart 18 Chart 19 Chart 20 Chart 21 Chart 22 Chart 23 Chart 24 Chart 25 Chart 26 Chart 27 Chart 28 Chart 29 Chart 30 Chart 31 Chart 32 Chart 33
Amount Outstanding in the Money Market Amount Outstanding in the Money Market by Investor Type Amount Outstanding of Fund Lending by Institutions Eligible and Those Not Eligible for Remuneration Amount Outstanding in the Call Market and the Ratio of Collateralized Transactions Amount Outstanding in the Uncollateralized Call Market by Investor Type Amount Outstanding in the Uncollateralized Call Market and the Ratio of Non-Group Direct Dealing (DD) Transactions Amount Outstanding in the Uncollateralized Call Market by Term Number of Credit Lines Established Status of IT Systems Adjustments to Negative Interest Rates in the Uncollateralized Call Market Amount Outstanding in the Collateralized Call Market by Investor Type Amount Outstanding in the Collateralized Call Market by Term Frequency of Call Transactions Amount Outstanding in the Repo Market Amount Outstanding in the GC Repo Market by Investor Type Amount Outstanding of GC Repo Transactions by Term Amount Outstanding in the GC Repo Market by Starting Date Amount Outstanding in the SC Repo Market by Investor Type Amount Outstanding of SC Repo Transactions by Term Frequency of Repo Transactions Breakdown of Amount Outstanding in the Repo Market by Type of Collateral Amount Outstanding of Repo Transactions in Managed Securities Trusts by Term Amount Outstanding of Repo Transactions by Collateral Maturity Breakdown of the Amount Outstanding of Repo Transactions by Form of Contract Amount Outstanding of Financial Institutions' CP Holdings by Investor Type Amount Outstanding of Yen Fund Transactions with Overseas Counterparties by Investor Type Yen Overnight Index Swap Market Amount Outstanding in the Equity Repo Market Stance on Arbitrage Transactions that Take Advantage of the Three-Tier System of Financial Institutions' Current Accounts at the Bank Stance on the Management of Current Account Deposits at the Bank Topics in the Money Market Changes in Administrative Structures Perceptions of Market Participants on Money Market Transactions Degree of Concentration in Each Market
13 13 14
14 15 15 16 16 17 17 18 18 19 20 20 21 22 22 23 23 24 24 25 25 26 27 28 29 29 30 32 33 35
13
Chart 1: Amount Outstanding in the Money Market
Cash Borrowing Side Cash Lending Side
Note: 1. Among call transactions, the figures for uncollateralized call transactions are calculated as total transactions through tanshi companies (money market brokers) and direct dealing (DD) transactions. 2. Transactions with the Bank denote Funds-Supplying Operations against Pooled Collateral, Purchase/Sale of Japanese Government Securities with Repurchase Agreements, Purchases of CP with Repurchase Agreements, Funds-Supplying Operations to Support Financial Institutions in Disaster Areas, Funds-Supplying Operations to Support Financial Institutions in Disaster Areas of the 2016 Kumamoto Earthquake, Provisioning Measure to Support Strengthening the Foundations for Economic Growth, Fund-Provisioning Measure to Stimulate Bank Lending and Complementary Lending. 3. The discrepancies between the figures on the cash lending side and borrowing side are due to the constraints regarding the counterparties covered by this survey (e.g., non-residents are not included), and the fact that some types of transactions are recorded only on one side (e.g., transactions with the Bank are recorded only on the cash borrowing side, while T-Bills are recorded only on the lending side).
Chart 2: Amount Outstanding in the Money Market by Investor Type
Cash Borrowing Side Cash Lending Side
38 28 28 26 28 27 29 33 17 19
109
69 61 6182 88
110 107116
131
34
33 37 3434 34
38 4226
2533
37 33 4335 26
2835
33
45
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Transactions with the BankCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
36 26 26 25 27 25 27 30 15 19
106
68 62 61 77 7998 97
102117
55
37 30 2927 32
32 36 3531
58
8280
6670 53
28 24
919
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
T-BillsCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
52 52 49 52 56 48 58 6645 51
33 28 27 28 30 3442
48
41 44
78
45 50 43 51 45
5145
4348
32
34 30 3338 35
3941
41
50
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesSecurities companies banksForeign banksRegional banks and regional banks IITrust banksCity banks
Keitou/Shinkintril. yen
Tanshi
60 54 42 41 40 34 22 21 18 23
50 4648 47 50 56
60 7248 52
69
4645
40 47 46 52 47
4349
33
3128
3035 34 38 39
3946
0
50
100
150
200
250
300
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesSecurities companies banksForeign banksRegional banks and regional banks IITrust banksCity banks
tril. yen Keitou/Shinkin
Tanshi
14
Chart 3: Amount Outstanding of Fund Lending by Institutions Eligible and Those Not Eligible for Remuneration
Institutions Eligible for Remuneration Institutions Not Eligible for Remuneration
Chart 4: Amount Outstanding in the Call Market and the Ratio of Collateralized Transactions
Note: Cash borrowing side.
60 52 50 63 61 76 75 8292
37 30 29
26 29 30 33 28
26
6865
5256
37 18 15 817
0
50
100
150
200
250
2009 2010 2011 2012 2013 2014 2015 2016 2017T-BillsCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
10 10 10 11 12 1522
10 10
8 10 1114 18
22
22
20 2511 10 109
9
15
20
1213
14 14 1414
16
10
10
0
20
40
60
80
2009 2010 2011 2012 2013 2014 2015 2016 2017T-BillsCD/CP, CD/CP reposYen fund transactions with overseas counterpartiesRepo transactionsCall (collateralized/uncollateralized) transactions
tril. yen
24
12 12 10 11 12 15 16
14 16
14
16 17
17 17 16
14
17
2 3
0
20
40
60
80
100
0
5
10
15
20
25
30
35
40
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Collateralized call transactions
Uncollateralized call transactions
Ratio of collateralized call transactions(right-hand scale)
tril. yen %
15
Chart 5: Amount Outstanding in the Uncollateralized Call Market by Investor Type
Cash Borrowing Side Cash Lending Side
Chart 6: Amount Outstanding in the Uncollateralized Call Market and the Ratio of Non-Group Direct Dealing (DD) Transactions
Note: Cash borrowing side.
106 5 4
6 67 7
2
4 3
8
2
2 2 2
2 2
3 4
5 7
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
OthersSecurities companiesForeign banksRegional banks and regional banks IICity banks
tril. yen
5
2 3 2 3 3 57 8
10
3
4
8
3 3 3
3 3 5
5 3
2
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others banksRegional banks and regional banks IITrust banksCity banks
tril. yen
Keitou/Shinkin
13.5
6.1 5.1 4.0 4.5 5.1 6.9 6.3 5.4 5.9
10.1
5.8 6.7 5.8
6.7 6.4
7.9 9.7 8.7
9.9
0
20
40
60
80
100
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Non-group DD transactions
Transactions through companiesRatio of non-group DDtransactions (right-hand scale)
tril. yen %
tanshi
16
Chart 7: Amount Outstanding in the Uncollateralized Call Market by Term
Cash Borrowing Side Cash Lending Side
Chart 8: Number of Credit Lines Established
Note: Number of respondents whose total number of credit lines established
could be confirmed for all years from 2008 to 2017. Adjusted for the effects of mergers and other factors.
7.0 9.6 10.0 11.1
0
10
20
30
40
50
60
70
80
90
100
0
5
10
15
20
25
2014 2015 2016 2017Open-endedOver three monthsOver one month and up to three monthsOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
6.6 9.1 9.0 10.2
0
10
20
30
40
50
60
70
80
90
100
0
5
10
15
20
25
2014 2015 2016 2017Open-endedOver three monthsOver one month and up to three monthsOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
0
60
70
80
90
100
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
July 2008=100
17
Chart 9: Status of IT System Adjustments to Negative Interest Rates in the Uncollateralized Call Market
Note: Respondents are only those counterparties that executed uncollateralized call transactions in the year before the
survey was conducted.
Chart 10: Amount Outstanding in the Collateralized Call Market by Investor Type
Cash Borrowing Side Cash Lending Side
3 4 3 3 3 3 3 3
7 9 10 12 12 11
9 11
2 2 0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesSecurities companiesForeign banksRegional banks and regional banks IICity banks
Tanshitril. yen
7 7 6 7 7 8 8 12
2 2
3 4 5 4 5
5 5 3 3 3
3
3
0
5
10
15
20
25
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesRegional banks and regional banks IITrust banksCity banks
Tanshi
tril. yen
10 11
14 10
75
8
6074
0102030405060708090
100
2016 2017
Have adapted IT systems
Are currently working on IT systems
Are considering whether it is necessary to adaptIT systems
Have decided it is not necessary to adapt ITsystems as currently there is no need
Have solved the problem by alternative means
%
18
Chart 11: Amount Outstanding in the Collateralized Call Market by Term
Cash Borrowing Side Cash Lending Side
Chart 12: Frequency of Call Transactions
11.9 14.3
2.2 2.7 0
10
20
30
40
50
60
70
80
90
100
0
5
10
15
20
25
2014 2015 2016 2017Open-endedOver three monthsOver one month and up to three monthsOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
9.3 11.4
2.1 2.6 0
10
20
30
40
50
60
70
80
90
100
0
5
10
15
20
25
2014 2015 2016 2017Open-endedOver three monthsOver one month and up to three monthsOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
%tril. yen
70 66 63 64
92 90 90 91
0
20
40
60
80
100
2016 2017 2016 2017 2016 2017 2016 2017Uncollateralized call(cash borrowing side)
Uncollateralized call(cash lending side)
Collateralized call(cash borrowing side)
Collateralized call(cash lending side)
No transactions Less than a few times a month A few times a monthA few times a week Almost every business day 必要%
19
Chart 13: Amount Outstanding in the Repo Market By Transaction Type
Cash Borrowing Side Cash Lending Side
By Settlement Type
Cash Borrowing Side Cash Lending Side
Note: Centrally cleared transactions refer to those cleared at the Japan Securities Clearing Corporation.
55 39 30 28
47 44 57 56
76 84
53
30 30 34
35 44
52 51
40
48
0
20
40
60
80
100
120
140
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
SC repos GC repostril. yen
51 37 32 27
42 39 52 51
66 73
55
31 30 34
35 40
46 46 36
44
0
20
40
60
80
100
120
140
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
SC repos GC repostril. yen
45 44 56
70
65 63 60
61
0
20
40
60
80
100
120
140
2014 2015 2016 2017
Not centrally clearedCentrally cleared
tril. yen
44 44 56
71
54 52 47
46
0
20
40
60
80
100
120
140
2014 2015 2016 2017
Not centrally clearedCentrally cleared
tril. yen
20
Chart 14: Amount Outstanding in the GC Repo Market by Investor Type
Cash Borrowing Side Cash Lending Side
Chart 15: Amount Outstanding of GC Repo Transactions by Term
Cash Borrowing Side Cash Lending Side
14 8 10 8 14
9
16 8 8 11
24
12 8 9
16 16
16 17
21 19
11
12
8 6
12 12
17 18
29 34
0
10
20
30
40
50
60
70
80
90
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks必要
tril. yen
Tanshi
15 8 10 10
14 17 21 22 21 23
7 8 10
15 17
12
10
7 8
10 10
17 17
21
23
0
10
20
30
40
50
60
70
80
90
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks必要
tril. yen
Tanshi
25 18 15
27 26 33 32
42 41
13
14
1925
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
2009 2010 2011 2012 2013 2014 2015 2016 2017Open-endedOver one monthOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
24 20 16 25 25
32 31 37 36
13
1725
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
2009 2010 2011 2012 2013 2014 2015 2016 2017Open-endedOver one monthOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
21
Chart 16: Amount Outstanding in the GC Repo Market by Starting Date
Overnight Transactions Cash Borrowing Side Cash Lending Side
Term Transactions Cash Borrowing Side Cash Lending Side
24 23 28 27
33 29
31
18
13 11
5
7 10
0
5
10
15
20
25
30
35
40
45
50
0
5
10
15
20
25
30
35
40
45
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
T+3 and over
T+2 (S/N)
T+1 (T/N)
T+0 (O/N)
T+0 (O/N) ratio(right-hand scale)
%tril. yen
22 22 28 27
32 30 26 14
12 11
5 4
0
5
10
15
20
25
30
35
40
45
50
0
5
10
15
20
25
30
35
40
45
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
T+3 and over
T+2 (S/N)
T+1 (T/N)
T+0 (O/N)
T+0 (O/N) ratio(right-hand scale)
%tril. yen
13.8 18.0 22.7
29.4 8.1 4.4
8.9
11.0
0
5
10
15
20
25
30
35
40
45
50
2014 2015 2016 2017
T+3 and over T+2 T+1 T+0
tril. yen
14.3 17.7 18.9
27.4 3.1
1.6
7.4
7.7
0
5
10
15
20
25
30
35
40
45
50
2014 2015 2016 2017
T+3 and over T+2 T+1 T+0
tril. yen
22
Chart 17: Amount Outstanding in the SC Repo Market by Investor Type
Bond Borrowing Side Bond Lending Side
Chart 18: Amount Outstanding of SC Repo Transactions by Term
Bond Borrowing Side Bond Lending Side
Note: From the 2014 survey, "one month or less" has been subdivided into "one week or less" and "over one week and up to one month."
21
11 13 14 12 12 14 12 8 10
23
12 10 13 12 1719
16
1314
10
7 78 10
1114
17
1520
0
10
20
30
40
50
60
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesCity banks
tril. yen Tanshi
20
11 14 15 15 1922 25
22 23
10
7 77 9
10
11 10
810
0
10
20
30
40
50
60
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others /Securities finance companiesForeign securities companiesJapanese securities companiesTrust banksCity banks
tril. yenTanshi
6 4 8 8 11
13 13 10 9
14 10
7 10
17 17
12 18
21 22
22 24
26
8
7
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
2009 2010 2011 2012 2013 2014 2015 2016 2017Over one monthOne month or lessOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
5 4 7 8 10 17 14 11 10
13 11
9
19
19
1418
21 24
23 23
30
9
10
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
2009 2010 2011 2012 2013 2014 2015 2016 2017Over one monthOne month or lessOver one week and up to one monthOne week or lessOvernightRatio of overnight (right-hand scale)
tril. yen %
23
Chart 19: Frequency of Repo Transactions
Chart 20: Breakdown of Amount Outstanding in the Repo Market by Type of Collateral
Bond Borrowing Side Bond Lending Side
76 7485 83
90 90
72 68
0
20
40
60
80
100
2016 2017 2016 2017 2016 2017 2016 2017GC repos
(cash borrowing side)GC repos
(cash lending side)SC repos
(bond borrowing side)SC repos
(bond lending side)
No transactions Less than a few times a month A few times a monthA few times a week Almost every business day 必要%
0
10
20
30
40
50
60
70
80
90
100
2012 2013 2014 2015 2016 2017 2012 2013 2014 2015 2016 2017GC repo transactions SC repo transactions
Corporate bonds and othersFloating-rate government bondsInflation-indexed government bondsFixed-rate coupon-bearing bonds and T-Bills必要%
0
10
20
30
40
50
60
70
80
90
100
2012 2013 2014 2015 2016 2017 2012 2013 2014 2015 2016 2017GC repo transactions SC repo transactions
Corporate bonds and othersFloating-rate government bondsInflation-indexed government bondsFixed-rate coupon-bearing bonds and T-Bills必要%
24
Chart 21: Amount Outstanding of Repo Transactions in Managed Securities Trusts by Term
Bond Borrowing Side Bond Lending Side
Chart 22: Amount Outstanding of Repo Transactions by Collateral Maturity
Note: Repo transactions with fixed-rate coupon-bearing bonds as collateral. From the 2017 survey, "over five years and up to ten years," "over one year and up to five years," and "one year or less" have been combined into "up to ten years."
13.0 15.7 15.2
17.7
0
5
10
15
20
25
30
2014 2015 2016 2017
Over one monthOver one week and up to one monthOne week or lessOvernight必要
tril. yen
2.6 3.7 2.5 1.9
5.6 3.6 3.1 4.0
7.4 9.4
7.4 9.7
2.6
5.3
6.5
6.1
0
5
10
15
20
25
30
2014 2015 2016 2017
Over one monthOver one week and up to one monthOne week or lessOvernight必要
tril. yen
24 24
32
21 22 29
13 10 10 13 11 11
10 12
21
8 11
17
22 24 17
26 29 19
57 48
32 37
12 11
13 18
13 10
12 17
11 11
9 11
13 10
9
11
0
10
20
30
40
50
60
70
80
2014 2015 2016 2017 2014 2015 2016 2017 2014 2015 2016 2017 2014 2015 2016 2017GC repos
(cash borrowing side)GC repos
(cash lending side)SC repos
(bond borrowing side)SC repos
(bond lending side)
Over ten years
Up to ten years
Over five years and up to ten years
Over one year and up to five years
One year or less
tril. yen
25
Chart 23: Breakdown of the Amount Outstanding of Repo Transactions by Form of Contract
Note: Total of cash borrowed and lent. From the 2017 survey, "New gensaki (with substitution)," "New gensaki (without substitution)," and "Gensaki" have been combined into "Gensaki total."
Chart 24: Amount Outstanding of Financial Institutions' CP Holdings by Investor Type
88 86 85 90 91 92
0
20
40
60
80
100
2012 2013 2014 2015 2016 2017
total
New (with substitution)
New (without substitution)
repo
%Gensaki
gensaki
gensaki
Gensaki
Gentan
6.7 6.5 4.4 4.3 4.4 4.2 3.4 3.1 3.2 2.6
6.0 3.5
3.8 3.7 3.2 3.0 4.4 6.5
4.3 4.7
2.1
2.3
1.9 2.2 2.3 1.8 1.8
1.5
2.1 3.3
0
5
10
15
20
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Others companiesSecurities companiesRegional banks and regional banks IITrust banksCity banks
Tanshi
tril. yen
26
Chart 25: Amount Outstanding of Yen Fund Transactions with Overseas Counterparties by Investor Type
Japanese Yen Borrowing Side Japanese Yen Lending Side
Note: The total of yen lending/funding through the FX swap market (those with a term of one year or less), euroyen transactions, and yen lending/borrowing transactions with the overseas offices of financial institutions.
3 4 5 2 5 2 3 4 4 3
8 12 11
10 7 8
11 14 14 17
0
5
10
15
20
25
30
35
40
45
50
55
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
OthersForeign securities companiesJapanese securities companiesForeign banksCity banks
tril. yen
18 11 8 8 8 7 5 5 5 4
23
12
8 9 8
10 8 9 9 7
0
5
10
15
20
25
30
35
40
45
50
55
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
OthersForeign securities companiesJapanese securities companies banksForeign banksRegional banks and regional banks IITrust banksCity banks
tril. yen
Keitou/Shinkin
27
Chart 26: Yen Overnight Index Swap Market
Volume and Number of Yen OIS Transactions via Brokers
Source: Money Brokers Association.
Amount Outstanding in the Yen OIS Market
Note: Includes transactions by overseas offices of financial institutions. On the basis of notional amounts.
0
100
200
300
400
500
600
700
800
0
50
100
150
200
250
300
Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16
Amounts
Number of transactions(right-hand scale)
transactionstril. yen
148 133
245
392
0
100
200
300
400
500
600
2007 2008 2011 2012 2013 2014 2015 2016 2017
With clients
With banks/securitiescompanies (via brokers)
With banks/securitiescompanies (DD)
tril. yen
28
Chart 27: Amount Outstanding in the Equity Repo Market By Investor Type
Cash Borrowing Side Cash Lending Side
Note: Excludes the institutional credit trading, general margin trading, and equity lending between a financial instruments business operator and a securities finance company. The same applies to the next chart.
By Settlement Type
Cash Borrowing Side Cash Lending Side
Note: "Centrally cleared transactions" refer to those cleared at JASDEC DVP Clearing Corporation.
1.5 2.0 1.3 1.5
4.0 4.1 6.0 6.1
1.5 1.8
4.6 3.7
0
2
4
6
8
10
12
14
2014 2015 2016 2017
Trust banks /Securities financing companiesForeign securities companiesJapanese securities companiesCity banks
Tanshi
tril. yen
2.1 2.4 2.3 2.3
2.0 2.8
4.8 4.6
0
2
4
6
8
10
12
14
2014 2015 2016 2017
Trust banks /Securities financing companiesForeign securities companiesJapanese securities companiesCity banks
Tanshi
tril. yen
2.1
5.2 4.0
5.9
6.9 7.4
0
2
4
6
8
10
12
14
2015 2016 2017
Not centrally cleared
Centrally cleared
tril. yen
2.3 4.2 4.2
4.5
3.6 3.5
0
2
4
6
8
10
12
14
2015 2016 2017
Not centrally cleared
Centrally cleared
tril. yen
29
Chart 28: Stance on Arbitrage Transactions that Take Advantage of the Three-Tier System of Financial Institutions' Current Accounts at the Bank
Chart 29: Stance on the Management of Current Account Deposits at the Bank
Note: Respondents are only those who have current account deposits at the Bank.
8 9 6 7
59 58
27 26
0
20
40
60
80
100
2016 2017
Adjust the balance so that only the positive interest rate is appliedAdjust the balance so that only the positive or the zero interest rate is appliedHave other standardsDo not have standards
%
38%
8%
54%
Basically engage inarbitrage transactions
Engage in transactions withless frequency
Do not engage in arbitragetransactions at all
30
Chart 30: Topics in the Money Market
Status of Initiatives to Shortening the Settlement Cycle of JGBs
Note: Conducted a survey on the status of initiatives to shorten the settlement cycle of JGBs to T+1, which is scheduled to be implemented in May 2018.
Status of the Shift to New Gensaki Transactions (%)
2016 2017
Note: Based on the sum of the amount of cash lent and borrowed through GC repo transactions. Responses were obtained from 133 counterparties who executed JGB repo transactions in July 2017.
3137
20
11
18
22
40 15
8
7
17
16 2132
0
20
40
60
80
100
2015 2016 2017
Can be realized by the existingsystems/frameworks
Development or procurement ofinformation systems is underway
Required budgets have been secured forinformation system development
Concrete studies are underway on the taskflow, frameworks and budgets forshortening the settlement cycle
To be realized by joint operation centersor the central organizations of financialcooperatives
Others (Including those still gatheringinformation)
48
31
18
71 24
The arrangements (clerical work andIT system) for newtransactions are already in place
Work to establish the arrangements(clerical work and IT system) for new transactions is underway
Studies to establish the arrangements(clerical work and IT system) for new transactions are in progress
Others (including those still gatheringinformation)
gensaki
gensaki
gensaki
31
Status of the Use of the New Basic Contract Supporting the Subsequent Collateral Allocation Method GC Repo Transactions (%)
Note: Respondents are only those counterparties that executed GC repo transactions in July 2017, and also participate in JSCC's JGB clearing services or plan to participate by May 2018.
The Back-Up Facility and Market-Level Business Continuity Planning (BCP)
5 8
32
39
16
Have already concluded contracts using the new basic contractPlan to conclude contracts using the new basic contract by around December 2017Plan to conclude contracts using the new basic contract by around March 2018Plan to conclude contracts using the new basic contract by around May 2018Do not plan to use the new basic contract by the time the settlement cycle of JGBs is shortened
5 4 5
20 17 16
21 23 23
6 6 4
10 13 14
38 37 39
0
10
20
30
40
50
60
70
80
90
100
2015 2016 2017
Have a back-up office and periodically conduct disaster exercisesthere
Have a back-up office, but conduct periodic disaster exercises onlyat the offices where the firm normally conducts its business
Have a back-up office, but do not conduct periodic disasterexercises in either the back-up office or at the firm's normal placeof business
Do not have a back-up office, but conduct periodic disasterexercises at its normal place of business
Do not have a back-up office and do not conduct periodic disasterexercises
Others
%
32
Chart 31: Changes in Administrative Structures
Note: Changes from the previous year.
0
20
40
60
80
100
2016 2017 2016 2017 2016 2017Uncollateralized Call Transactions Collateralized Call Transactions JGB Repo Transactions
Enhanced No change Downsized%
33
Chart 32: Perceptions of Market Participants on Money Market Transactions
【Functioning】 【Profitability】
Note: 1. Responses were obtained only from those counterparties that were engaged in call money transactions or JGB repo
transactions, or in both of them. 2. The question on "Functioning" was designed to find the perceptions of market participants on the change in the functioning of
the money market from the previous year, mainly taking into account whether respondents were able to make transactions with intended rates, prices, terms, and counterparties. The same applies to the following results.
3. The question on "Profitability" was designed to find the perceptions of market participants on the change in profitability in the money market from the previous year, mainly taking into account investment yield, funding cost, transaction amounts, and fixed cost. Responses also include those from counterparties who posted losses in their total money market transactions. It is considered that they answered "improved (declined)" when their losses shrank (or expanded) from the previous year. The same applies to the results that follow.
JGB Repo Transactions
【Functioning】 【Profitability】
Note: Reponses were obtained only from those that were engaged in JGB repo transactions.
61
17
11 9
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
64
29
20 17
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
3520
187
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
32 28
45
23
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
34
Uncollateralized Call Transactions
【Functioning】 【Profitability】
Note: Reponses were obtained only from those that were engaged in uncollateralized call transactions.
Collateralized Call Transactions
【Functioning】 【Profitability】
Note: Reponses were obtained only from those that were engaged in collateralized call transactions.
59
15
12 12
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
63
30
22 17
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
76
8
5 8
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
74
16
1016
0
20
40
60
80
100
2016 2017
Improved Mostly unchanged Declined%
35
Chart 33: Degree of Concentration in Each Market
Call Market: Cash Borrowing Side Call Market: Cash Lending Side
Repo Market: Bond Borrowing Side Repo Market: Bond Lending Side
0%
20%
40%
60%
80%
100%
0% 10% 20% 30% 40% 50%
Shar
e in
cum
ulat
ive a
mou
nts o
utst
andi
ng
Percentage of respondents
2017 Uncollateralized calls
2016 Uncollateralized calls
2017 Collateralized calls
2016 Collateralized calls0%
20%
40%
60%
80%
100%
0% 10% 20% 30% 40% 50%
Shar
e in
cum
ulat
ive
amou
nts o
utst
andi
ngPercentage of respondents
2017 Uncollateralized calls2016 Uncollateralized calls2017 Collateralized calls2016 Collateralized calls
0%
20%
40%
60%
80%
100%
0% 10% 20% 30% 40% 50%
Shar
e in
cum
ulat
ive a
mou
nts o
utst
andi
ng
Percentage of respondents
2017 GC repos
2016 GC repos
2017 SC repos
2016 SC repos0%
20%
40%
60%
80%
100%
0% 10% 20% 30% 40% 50%
Shar
e in
cum
ulat
ive a
mou
nts o
utst
andi
ng
Percentage of respondents
2017 GC repos
2016 GC repos
2017 SC repos
2016 SC repos
