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Central Bank Survey of Foreign Exchange and Derivatives Market Activity at end-June 2001: Amounts Outstanding, Japan*

December 20, 2001
Bank of Japan
Financial Markets Department

Outline of Survey

The Bank of Japan is releasing today the results for Japan of the second part of the triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, concerning the data on notional principal amounts outstanding at end-June 2001. This survey is a part of the triennial central bank survey, coordinated by the Bank for International Settlements (BIS).1 The first part of the survey on turnover covering data for April 2001 was released on October 10, 2001.2

The second part of the survey covers notional amounts outstanding on a consolidated basis. In Japan, data from financial institutions with headquarters in Japan were collected from a total of 235 banks and 5 securities firms.3

The Bank for International Settlements (BIS), which coordinates and aggregates the global results of the survey, is also publishing the preliminary results of the second part of the survey today (available on the BIS Internet Web site at http://www.bis.org/ (Link to an external website)). The results of the Regular Derivatives Market Statistics (Yoshikuni Statistics) at end-June 2001 for Japan were released on September 14, 2001, and are available on the Bank of Japan's Internet Web site.

The second part of the triennial survey and the Yoshikuni Statistics covers the notional amounts outstanding and gross market values of foreign exchange, interest rate, equity, commodity, and credit derivatives. Breakdown by forwards, swaps, and options are also provided, as well as by currency and counterparty.4,5 Breakdown by maturity is also available for FX contracts, IR contracts, and equity derivatives.

  1. The first set of such data for the OTC derivatives market was collected for end-March in 1995. From 1998, the timing of the survey was changed to end-June so as to align the timing with the regular derivatives market statistics (Yoshikuni Statistics), which started that year.
  2. Data for Japan can be obtained from the Bank of Japan's Internet Web site as well as the upcoming February 2002 edition of the Bank of Japan Quarterly Bulletin.
  3. Consolidated basis covers branches, subsidiaries, and affiliated companies both domestic and abroad.
  4. Classification of market activities for this survey is as follows. FX contracts and gold includes outright forwards and FX swaps, currency swaps, and currency options. IR contracts include FRA, IR swaps, and IR options. Equity, commodity, and other derivatives each include forwards and swaps as well as options. Credit derivatives includes forwards and swaps and options.
  5. Breakdown by currency is not available for commodity derivatives, credit derivatives, and other derivatives. Meanwhile, the latest credit derivatives data for Japan has been released as a part of the Yoshikuni Statistics results released on September 14, 2001. Data on credit derivatives are not yet collected on a regular basis globally.