## Figure 1.26. Foreign Exchange Swap and Short-Term Bank Funding Markets

## Source details

**Canonical URL:** [Figure 1.26. Foreign Exchange Swap and Short-Term Bank Funding Markets](https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-26.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-26.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-26.csv.json)

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### Dataset description
- Title: Figure 1.26. Foreign Exchange Swap and Short-Term Bank Funding Markets
- Worksheet name: csv
- Row count: 1899
- Column count: 15

### Variables and units (as labeled in the dataset)
- Panel/Series label: 1.� US Dollar Cross-Currency Funding Ratio
  - Unit/definition: (Net cross-currency derivatives as percent of total assets)
- Panel/Series label: 3.� Sixty-Day Realized Volatility of Various Three-Month Funding Rates
  - Unit/definition: (Basis points a day)
- Bank/category columns (sample header row): Non-US banks, CAN, CHE, DEU, FRA, GBR, JPN
- Funding-rate series (sample header row): FX swap, GC repo, OIS, Libor

### Sample observations (exact rows from the file)
- Row with date "9/30/2000":
  - Non-US banks: -3.54
  - CAN: 2.11
  - CHE: -4.51
  - DEU: 0.59
  - FRA: -12.54
  - GBR: 14.28
  - JPN: 19.68
- Row with date "3/29/2018" (Sixty-Day Realized Volatility of Various Three-Month Funding Rates):
  - FX swap: 2.474
  - GC repo: 1.731
  - OIS: 0.566
  - Libor: 0.811

### Key dataset structure notes
- The dataset includes time-stamped observations (dates shown in sample rows: "9/30/2000" and "3/29/2018").
- Cross-section identifiers use ISO-like country codes in columns (CAN, CHE, DEU, FRA, GBR, JPN) alongside an aggregated "Non-US banks" series.
- Funding-rate volatility series are reported in "Basis points a day" with values given to three decimal places in the sample (2.474, 1.731, 0.566, 0.811).

*Source: figure1-26 (csv worksheet from the supplied dataset)*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2018/april/ch1/csv/figure1-26.csv_