2024 BOJ Holding Changes, to Date
June 21, 2024
If you’re into Japanese economic policy, 2024 has been a fun year. Events in the currency and bond markets have triggered responses from the Ministry of Finance (MOF) and the Bank of Japan (BOJ).
Or maybe actions by the MOF and BOJ have triggered responses in the currency and bond markets?
With USDJPY reaching for 160 as I write this, I’m sure there is still more action to come in 2024. This post will show how the BOJ has acted during the first half of 2024 by analyzing the JGB holding reports the BOJ publishes every 10ish days.
Some notable events so far in 2024:
- February 13th — USDJPY breaks the key level of 150 and oscillates around it.
- March 19th — BOJ updates YCC policy, moving the overnight call rate from -0.1% to 0.1%, ending negative interest rate policy. USDJPY breaks 150 and doesn’t look back.
- April 29th — USDJPY touches 160.
- May 1st — MOF Yentervention, USDJPY drops to ~152 a couple days after.
- May 22nd — 10-year JGB yields close above 1% for the first time since 2012.
- May 31st — MOF releases forex interventions during previous month, totaling 9.8T Yen
The chart version:

Cross Asset Correlations
A basic building block of macroeconomics is understanding cross-asset patterns. And the first lesson on currency-bond relationships in developed markets is that, when bond yields go up, the currency strengthens. The ideas goes something like, higher yields give a better return, so market participants buy some of the currency to realize that higher yield.
That’s how it’s supposed to work in developed markets, like Japan, but it’s not how things have worked in the first half of 2024. The above chart shows yields going up, and the currency weakening against the USD. This is how it works in emerging markets, where investors often have little confidence in a nations ability to repay it’s debt and manage the currency.
Back to Numbers
Ok – the interesting stuff. How much has the BOJ increased their JGB holdings by over the first half1 of 2024? Chart 1 shows the total BOJ JGB holdings by report date. Chart 2 shows net change to the BOJ JGB holdings since the previous reporting period.


There have been 16 reports published in 2024 by the BOJ, with 12 of them showing an increase in total holdings, and 4 a decrease. Here is the output from a program I wrote that shows the net change in total BOJ JGB holdings since the last report during the first half of 2024.

What immediately catches my eye on these two charts is the March 29th difference value. It becomes even more interesting when considering March 19th is when the BOJ ended negative interest rate policy by moving the short term rate to 0.1% from -0.1%. We’ll come back to this later.
2, 5, 10, 20, 30, 40!
As exhibited above, during the first half of 2024 the BOJ JGB holdings increased moderately, with a notable large decline in holdings on March 29th. These charts break down the BOJ total holdings for 2, 5 ,10, 20, 30, and 40 year JGBs for 2024, by report.






Here are the numbers for total change in BOJ holdings during 2024, by bond type (100m Yen) :
- 2-year: -40,220
- 5-year: +32,222
- 10-year: +16,909
- 20-year: +38,998
- 30-year: +13,106
- 40-year: +2,397
- Total: +63,512
The total is ~5000 short the ‘Total Net Change’ in the output earlier due to me not counting the ‘Green’ JGBs the BOJ just started issuing2.
Let’s Break it Down
Some quick math to put the complicated 100 million reporting values in perspective. We’ll use the ‘Total Net Change’ value shown at the bottom of Output 1 (68577 in 100m Yen).
68,577 * 100M Yen = 6.8577 trillion Yen. At a USDJPY exchange rate of 160, 6.8577 trillion Yen is equivalent to ~42.8 billion USD.
So, from start of 2024 to the latest June 10th report, the BOJ has increased it’s JGB holdings by ~42.8 billion USD, an average of ~7.2 billion / month.
This is a pretty small sum, all things considered. When the BOJ raised the YCC cap on December 19th, 2022, it resulted in the total BOJ JGB holdings increasing by ~14 trillion Yen over the ten days January 10th – 20th.
That is 100% more JGB buying in ten days than what has occurred over the first six months of 2024.
Let’s put this in the context of the US Fed’s bond buying during 2020 & 2021. Over this period the Fed was pretty steadily buying 80 billion worth of bonds each month, and as much as 50 billion over 5 days early in the pandemic3.
On their worst days the BOJ and US Fed are doing similar sized operations. Yet the UST market is far larger than the market for JGBs, and the Fed owns a far smaller percent of it than the BOJ does the JGB market.
Outsized 5 and 20 Year JGB Buying
It is notable that the BOJ increased it’s holdings of 5 and 20-year JGBs by more than the 10-year over the first half of 2024. Historically the 10-year is where the BOJ does the majority of its operations.
I don’t know why this would be.
Potential drivers I can think of are a lack of sellers and liquidity in the 10-year JGB market (as noted recently by Weston @acrossthespread) or a desire to control the yield of 5 and 20-year bonds.
Actions Speak Louder Than Words
In this case, inaction.
On March 19th the BOJ raised the short term call rate (equivalent of the US federal funds rate) to 0.1% from -0.1%, ending negative interest rates in Japan. In the recent past, when the BOJ has raised an interest rate they have also aggressively bought bonds, and yet… the amount of JGBs held by the BOJ declines by ~10 trillion Yen on the next report date, March 29th.
This is a stark contrast to how the BOJ acted during December 2022 when they raised the 10-year YCC cap from 0.25% to 0.5%, and purchased 10 trillion Yen worth of bonds over ten days shortly after.
In March 2024, the bank sold immediately after a hike, or at least didn’t buy enough bonds to replace those maturing on the balance sheet. This is stunning to me.
Five JGBs rolled off or were sold completely from the BOJ balance sheet between the March 19th report and the March 29th report:
- 5-year #139
- 10-year #333
- 20-year #67
- 20-year #68
- 20-year #69
This roll off/ selling of JGBs can be seen individually on Charts 4, 5, 6. In total it amounted to an ~13.8 trillion Yen reduction of the balance sheet, which Chart 2. shows as a huge downward spike on March 29th.
The BOJ did buy here and there (~3.12t Yen) as shown by the net change from the last report being -10.68 in Output 1, but for the large part JGBs were rolled and sold the ten days following the end of NIRP.
Closing
Over the first half of 2024, the BOJ has made it clear that it wants to player a smaller role in the JGB market. The moderate increase in JGB holdings of ~6.7 trillion Yen, and the 10 trillion JGB holdings reduction the week after raising the call rate from -0.1% to 0.1% indicate this.
When does the BOJ get involved again? Will the 10-year JGB ‘reference’ cap of 1% being breached get a reaction? Will they allow rates to keep climbing with the hope it strengthens the currency, and bite the interest rate bullet in the short term?
Hope you enjoyed.
Dillon
- For the sake of this article, first half means from the first January report to the most recent June 10th report. ↩︎
- I haven’t taken the time include Inflation Indexed and Green JGBs into my analysis tools, as until recently I didn’t have the Inflation Indexed values loading correctly, and now that I do, it will require updating the analysis tools. ↩︎
- New York Fed ↩︎
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