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TriCentralBankSurvey_07

TriCentralBankSurvey_07

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TriennialCentral Bank Survey
December 2007
Foreign exchange andderivatives market activityin 2007
 
 Queries concerning this report should be addressed to the authors listed below:Sections A + B: Alex Heath tel +41 61 280 8514 e-mail: alex.heath@bis.orgSections A + C: Christian Upper tel +41 61 280 8416 e-mail: christian.upper@bis.orgSections D + E: Paola Gallardo tel +41 61 280 8445 e-mail: paola.gallardo@bis.orgSection D: Philippe Mesny tel +41 61 280 8425 e-mail: philippe.mesny@bis.orgSection E: Carlos Mallo tel +41 61 280 8256 e-mail: carlos.mallo@bis.orgCopies of publications are available from:Bank for International SettlementsPress & CommunicationsCH-4002 Basel, SwitzerlandE-mail: publications@bis.orgFax: +41 61 280 9100 and +41 61 280 8100©
Bank for International Settlements 2007. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited.
 ISSN 1814-7348 (print)ISSN 1814-7356 (online)ISBN 92-9131-750-0 (print)ISBN 92-9197-750-0 (online)Available on the BIS website (www.bis.org).
 
 
Triennial Central Bank Survey 2007
iii
 
Contents
Participating institutions...................................................................................v
A. Summary of main findings...............................................1
1. Foreign exchange market turnover...............................................................12. OTC derivatives market activity....................................................................2
B. Traditional foreign exchange markets..............................4
1. Global turnover.............................................................................................42. Turnover by counterparty..............................................................................53. Currency composition...................................................................................9
C. OTC derivatives markets...............................................13
1. Turnover data.............................................................................................13
Foreign exchange derivatives............................................................ 14 Interest rate derivatives..................................................................... 16 Types of counterparties..................................................................... 18 Geographical distribution .................................................................. 18 
2. Notional amounts outstanding.....................................................................20
Interest rate derivatives..................................................................... 21Foreign exchange contracts .............................................................. 24 Credit derivatives.............................................................................. 24 Equity derivatives.............................................................................. 26 Commodity derivatives...................................................................... 26 
D. Methodology.................................................................27
1. Coverage and basic features of the 2007 survey.........................................282. Types of data collected...............................................................................30
2.1 Turnover data ............................................................................. 30 2.2 Nominal or notional amounts outstanding .................................... 312.3 Gross market values ................................................................... 32 
3. Market risk categories................................................................................334. Instrument definitions.................................................................................34
Foreign exchange transactions.......................................................... 35 Single currency interest rate derivatives............................................ 36 Equity and stock index derivatives..................................................... 36 Commodity derivatives...................................................................... 37 Credit derivatives.............................................................................. 37 
5. Counterparties............................................................................................38
5.1 Reporting dealers........................................................................ 38 5.2 Other financial institutions........................................................... 39 5.3 Non-financial customers.............................................................. 39 
6. Currency and other market risk breakdowns...............................................39
6.1 Turnover part .............................................................................. 39 6.2 Amounts outstanding part............................................................ 41
7. Maturities...................................................................................................42

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