Regular Derivatives Market Statistics in Japan at end-June 2024
September 6, 2024
Bank of Japan
Financial Markets Department
The Bank of Japan has released "Regular Derivatives Market Statistics in Japan (end-June 2024)."
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-June 2024 were $70.4 trillion for over-the-counter (OTC) contracts (a decrease of 4.9% from end-December 2023), and $4.0 trillion for exchange-traded contracts (a decrease of 0.7%).
2. Breakdown of notional amounts outstanding of OTC contracts
(1) By risk factor
The notional amounts outstanding of OTC contracts were $60.5 trillion for single currency interest rate (IR) contracts (a decrease of 5.9%), $9.1 trillion for foreign exchange (FX) contracts (an increase of 0.9%), and $0.5 trillion for credit derivatives contracts (an increase of 6.6%).
(2) By currency
With regard to IR contracts, U.S. dollar-denominated contracts were at $24.7 trillion (a decrease of 9.8%), Japanese yen-denominated contracts stood at $19.8 trillion (an increase of 6.0%), and euro-denominated contracts were at $11.0 trillion (a decrease of 15.3%). As for FX contracts, U.S. dollar-denominated contracts were at $4.1 trillion (an increase of 0.8%), Japanese yen-denominated contracts stood at $2.0 trillion (a decrease of 9.4%), and euro-denominated contracts were at $1.0 trillion (an increase of 4.5%).
(3) By counterparty
With regard to IR contracts, transactions stood at $6.9 trillion with "reporting dealers" (a decrease of 5.9%), $41.3 trillion with CCPs (a decrease of 1.3%), and $10.7 trillion with "other financial institutions (without CCPs)" (a decrease of 20.4%). As for FX contracts, transactions were at $6.1 trillion with "reporting dealers" (an increase of 4.4%), $0.3 trillion with CCPs (an increase of 31.0%), and $1.7 trillion with "other financial institutions (without CCPs)" (a decrease of 11.3%).
(4) By remaining maturity
With regard to IR contracts, transactions stood at $18.9 trillion with a remaining maturity of "over five years" (a decrease of 11.5%), $23.6 trillion with a remaining maturity of "over one year and up to five years" (a decrease of 10.8%), $18.1 trillion with a remaining maturity of "one year or less" (an increase of 9.1%). As for FX contracts, transactions were at $0.8 trillion with a remaining maturity of "over five years" (an increase of 2.0%), $2.4 trillion with a remaining maturity of "over one year and up to five years" (an increase of 10.1%), and $5.9 trillion with a remaining maturity of "one year or less" (a decrease of 2.5%).