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Julian calendar was introduced in 45 BC. Leap years are those whose number is divisible by 4. However, there is a catch here. Of course Julius did not count the (negative) years BC (as we do).
(There is a joke: "Archeologists found a coin with the date inscribed: 45 BC":-)
To preserve the pattern of divisibility by 4, one needs to count from zero. But historians do not like zero, so in our common count year 1 is preceded by year 1 BC. (Which is more reasonable to call 0). So what is commonly known as 45 BC is really year -44. Which is divisible by 4. So this year was the first leap year.
By the common count (used by historians) it is 45 BC.
Source: Wikipedia.