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The Japanese Yen Interest Rate Swap Market Observed from OTC Derivative Transaction Data: the Impact of COVID-19

September 2, 2021
INOUE Shiori, MIKI Shota*1, GEMMA Yasufumi*2
Financial Markets Department

  1. *1Currently at the Personnel and Corporate Affairs Department
  2. *2Currently at the International Department

Interest rate swaps are a type of transactions in which different types of interest payments are exchanged between two parties. They are actively used for a wide range of purposes such as hedges against interest rate risks and alternative investment vehicles to bonds. This report uses granular data of transactions in the Japanese yen interest rate swap market collected in Japan to review the developments in the market with a focus on transactions by sector of market participants. The analysis reveals transaction relationships between different sectors of market participants as well as the size and trends of net positions of new transactions that reflect their motivation for trading. The results suggest that there were significant changes in the market structure when international financial markets were significantly destabilized due to the COVID-19 pandemic in March 2020, as seen by, for example, the net positions of some sectors reversing from the average market structure.


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-3, is a translation of the original Japanese version, 2021-J-7, published in June 2021. The views expressed in the Review are those of the authors and do not necessarily represent those of the Bank of Japan.

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