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Central Bank Survey of Foreign Exchange and Derivatives Market Activity at end-June 2019: Amounts Outstanding, Japan

September 27, 2019
Financial Markets Department
Bank of Japan

The Bank of Japan has released the results of the second part of the Central Bank Survey of Foreign Exchange and Derivatives Market Activity in Japan, concerning the data on notional amounts outstanding at end-June 2019.

The summary of the results is as follows.

Highlights of the survey results

1. Notional amounts outstanding

The notional amounts outstanding of "over-the-counter (OTC)" derivatives transactions by Japanese financial institutions at end-June 2019 were 63.6 trillion U.S. dollars, increasing by 7.3 percent from the previous survey as of end-June 2016.

A breakdown of OTC contracts by risk factor shows that the amounts outstanding of interest rate (IR) contracts accounted for 86.6 percent of total contracts. In comparison with the previous survey, while the amounts outstanding of IR contracts, foreign exchange (FX) contracts, and equity-linked contracts increased by 8.5 percent, 1.4 percent, and 2.8 percent, respectively, those of commodity derivatives decreased by 1.9 percent. The amounts outstanding of credit derivatives decreased by 21.3 percent.

2. FX contracts

The notional amounts outstanding of FX contracts were 7.9 trillion U.S. dollars, increasing by 1.4 percent from the previous survey. By currency, while the share of the Japanese yen was 25.7 percent, down from 26.2 percent, that of currencies other than the U.S. dollar, the Japanese yen, and the euro was 19.7 percent, up from 18.8 percent.

3. IR contracts

The notional amounts outstanding of IR contracts were 55.1 trillion U.S. dollars, increasing by 8.5 percent from the previous survey. By currency, the shares of the U.S. dollar and the euro were 38.9 percent and 12.4 percent, both up from 32.7 percent and 9.1 percent, respectively, while that of the Japanese yen was 35.1 percent, down from 49.5 percent.

4. Equity-linked contracts

The notional amounts outstanding of equity-linked contracts were 217.0 billion U.S. dollars, increasing by 2.8 percent from the previous survey. By related market of underlying equity, the share of Japanese market-related contracts was 33.2 percent, down from 44.2 percent, while the shares of U.S. market- and European market-related contracts were 49.2 percent and 13.4 percent, both up from 42.0 percent and 7.7 percent, respectively.

5. Commodity contracts

The notional amounts outstanding of commodity contracts were 6.9 billion U.S. dollars, decreasing by 1.9 percent from the previous survey.

6. Credit derivatives

The notional amounts outstanding of credit derivatives were 401.8 billion U.S. dollars, decreasing by 21.3 percent from the previous survey.

7. OTC derivatives contracts with CCPs

By counterparty, the notional amounts outstanding of OTC derivatives contracts with CCPs were 43.8 trillion U.S. dollars, increasing by 15.6 percent from the previous survey. They accounted for 68.9 percent of total OTC contracts (64.0 percent as of end-June 2016).