Central Bank Survey of Foreign Exchange and Derivatives Market Activity at end-June 2022: Amounts Outstanding, Japan
September 9, 2022
Bank of Japan
Financial Markets Department
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 amounts outstanding as of end-June 2022. The results are identical with those of "Regular Derivatives Market Statistics in Japan at end-June 2022" due to the identical coverage of both reporting dealers and items.
The summary of the results is as follows.
Highlights of the survey results
1. Notional amounts outstanding
The notional amounts outstanding of derivatives transactions by major Japanese financial institutions at end-June 2022 were equivalent to 63.2 trillion U.S. dollars for over-the-counter (OTC) contracts, and 7.5 trillion U.S. dollars for exchange-traded contracts, respectively.
A breakdown of OTC contracts by risk factor shows that the amounts outstanding of single currency interest rate (IR) contracts occupied the largest market share at 85.2 percent. Those of foreign exchange (FX) contracts, credit derivatives, and equity contracts accounted for 13.7 percent, 0.8 percent, and 0.3 percent, respectively. In terms of exchange-traded contracts, IR options accounted for the largest share at 59.6 percent.
2. Amounts outstanding in market value
The gross positive and negative market values of OTC derivatives contracts were 783.0 billion U.S. dollars and 809.6 billion U.S. dollars, respectively.
3. Breakdown by currency
The U.S. dollar and the Japanese yen taken together were dominant in both IR contracts and FX contracts of OTC derivatives with market shares of 76.7 percent and 69.7 percent, respectively.
4. Breakdown by counterparty
Transactions with "Other financial institutions (of which: CCPs)" (CCPs) accounted for 76.1 percent due to centrally-cleared IR swaps in IR contracts of OTC derivatives. Regarding FX contracts of OTC derivatives, transactions with "Reporting dealers" accounted for 66.0 percent. As for credit derivatives, transactions with "Reporting dealers" accounted for 35.6 percent and those with CCPs accounted for 48.3 percent.
5. Breakdown by remaining maturity
Among OTC contracts, contracts with remaining maturities of "Over one year and up to five years" occupied the largest share in IR contracts, at 40.2 percent. With regard to FX contracts, contracts with remaining maturities of "One year or less" accounted for 68.8 percent. Regarding credit derivatives, contracts with remaining maturities of "Over one year and up to five years" held the largest share, accounting for 76.4 percent.