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Regular Derivatives Market Statistics in Japan at end-December 2023

March 13, 2024
Bank of Japan
Financial Markets Department

The Bank of Japan has released "Regular Derivatives Market Statistics in Japan (end-December 2023)."

The summary of the results is as follows.

1. Notional amounts outstanding of derivatives contracts

The notional amounts outstanding of derivatives contracts by major Japanese financial institutions at end-December 2023 were $74.1 trillion for over-the-counter (OTC) contracts (a decrease of 1.5% from end-June 2023), and $4.0 trillion for exchange-traded contracts (a decrease of 54.6%).

2. Breakdown of notional amounts outstanding of OTC contracts

(1) By risk factor

The notional amounts outstanding of OTC contracts were $64.3 trillion for single currency interest rate (IR) contracts (a decrease of 2.1%), $9.0 trillion for foreign exchange (FX) contracts (an increase of 1.1%), and $0.5 trillion for credit derivatives contracts (an increase of 7.2%).

(2) By currency

With regard to IR contracts, U.S. dollar-denominated contracts were at $27.3 trillion (a decrease of 20.2%), Japanese yen-denominated contracts stood at $18.7 trillion (an increase of 27.3%), and euro-denominated contracts were at $13.0 trillion (an increase of 15.3%). As for FX contracts, U.S. dollar-denominated contracts were at $4.1 trillion (an increase of 0.6%), Japanese yen-denominated contracts stood at $2.2 trillion (a decrease of 1.4%), and euro-denominated contracts were at $0.9 trillion (an increase of 6.0%).

(3) By counterparty

With regard to IR contracts, transactions stood at $7.3 trillion with "reporting dealers" (a decrease of 0.2%), $41.9 trillion with CCPs (a decrease of 2.8%), and $13.4 trillion with "other financial institutions (without CCPs)" (a decrease of 1.9%). As for FX contracts, transactions were at $5.8 trillion with "reporting dealers" (a decrease of 3.5%), $0.2 trillion with CCPs (an increase of 10.0%), and $2.0 trillion with "other financial institutions (without CCPs)" (an increase of 16.6%).

(4) By remaining maturity

With regard to IR contracts, transactions stood at $21.4 trillion with a remaining maturity of "over five years" (an increase of 8.8%), $26.4 trillion with a remaining maturity of "over one year and up to five years" (an increase of 8.4%), $16.6 trillion with a remaining maturity of "one year or less" (a decrease of 23.8%). As for FX contracts, transactions were at $0.8 trillion with a remaining maturity of "over five years" (a decrease of 0.2%), $2.2 trillion with a remaining maturity of "over one year and up to five years" (an increase of 6.9%), and $6.1 trillion with a remaining maturity of "one year or less" (a decrease of 0.6%).