Skip to main content

Cross-Currency Swap Market through the Lens of OTC Derivative Transaction Data: Impact of COVID-19 and Subsequent Recovery

May 26, 2021
Financial Markets Department

Cross-currency swaps are one of the major US dollar funding tools for non-US banks. While their developments have attracted international attention, data for gauging transaction details are limited since these swaps are over-the-counter transactions, not trades on an exchange. This report provides an overview of the Japan's cross-currency swap market with over-the-counter derivative transaction data collected in Japan. Then it briefly reviews the impact of the COVID-19 crisis on these transactions around the spring of 2020. A data analysis indicates that major banks continued transactions as a market maker by breaking trades into smaller blocks and diversifying the counterparties, while smaller banks who do not actively engage in normal times were found to have participated in trading.


Bank of Japan Review is published by the Bank of Japan to explain recent economic and financial topics for a wide range of readers. This report, 2021-E-1, is a translation of the original Japanese version, 2021-J-4, published in May 2021.

If you have comments or questions, please contact Financial Markets Department (E-mail: