FX Swaps and Forwards: Missing Global Debt?

18 Pages Posted: 26 Sep 2017

See all articles by Claudio E. V. Borio

Claudio E. V. Borio

Bank for International Settlements (BIS) - Research and Policy Analysis

Robert N. McCauley

Bank for International Settlements (BIS)

Patrick McGuire

Bank for International Settlements (BIS)

Date Written: September 17, 2017

Abstract

What would balance sheets look like if the borrowing through FX swaps and forwards were recorded on-balance sheet, as the functionally equivalent repo debt is? We combine various data sources to estimate the size, distribution and use of this "missing" debt and to begin to assess its implications for financial stability. A key finding is that non-banks outside the United States owe large sums of dollars off-balance sheet through these instruments. The total is of a size similar to, and probably exceeding, the $10.7 trillion of on-balance sheet dollar debt. Even when this debt is used to hedge FX risk, it can still involve significant maturity mismatches.

JEL Classification: F31, F34, F41

Suggested Citation

Borio, Claudio E.V. and McCauley, Robert N. and McGuire, Patrick M., FX Swaps and Forwards: Missing Global Debt? (September 17, 2017). BIS Quarterly Review September 2017. Available at SSRN: https://ssrn.com/abstract=3041870

Claudio E.V. Borio (Contact Author)

Bank for International Settlements (BIS) - Research and Policy Analysis ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

Robert N. McCauley

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

Patrick M. McGuire

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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