BIS TRIENNIAL SURVEY 2010 EURO AREA DATA

The Triennial Central Bank Survey conducted in April 2010 by 53 central banks and monetary authorities and coordinated by the Bank for International Settlements (BIS) is the fourth comprehensive assessment of foreign exchange and derivatives market activity since the introduction of the euro in 1999.1 The nal overall ndings of the survey were published by the BIS in December 2010. For the third time now, the BIS also collected separate data for trades conducted in the euro area as a whole. This press release concentrates on euro area data, while the national central banks of the Eurosystem release their own national results.

Table 1 Euro area foreign exchange market turnover 1)

(daily averages in April 2004, April 2007 and April 2010; USD billions) 1) Instrument Spot transactions 2) Outright forwards 2) Foreign exchange swaps 2) Currency swaps 3) Options and other FX instruments 4) Total FX turnover 2004 85 25 185 2 12 309 2007 99 51 233 4 14 402 2010 102 40 267 8 13 430

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. 2) Previously classied as part of the so-called traditional FX market. 3) Data for 2007 have been revised. 4) The category other FX instruments covers highly leveraged transactions and/or trades whose notional amount is variable and where a decomposition into individual plain vanilla components was impractical or impossible.

TRADITIONAL FOREIGN EXCHANGE MARKETS

in Japan. These gures are broadly unchanged from 2007. Within the euro area, foreign exchange swaps represented the majority (62%) of total foreign exchange turnover. Most foreign exchange transactions were conducted between reporting dealers, rather than with other nancial institutions or non-nancial customers. Inter-dealer trading represented 64% of turnover in the euro area (see Table 2), which is much higher than the 39% reported at the global level. At the global level, the euro was the second most actively traded currency in April 2010, being on one side of 39% 2 of all foreign exchange transactions. The most actively traded currency was the US dollar with an 85% 2 market share. The Japanese yen, with 19%,2 was third, and the pound sterling, with 13%,2 was fourth. While the
1 For details of the global BIS Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity please visit: http://www.bis.org/publ/rpfxf10t.htm Because two currencies are involved in each transaction, the sum of the percentage shares of individual currencies totals 200%, rather than 100%.

The 2010 survey shows a further rise in global activity on foreign exchange markets compared with 2007, although the rate of increase is substantially lower than in the period from 2004 to 2007. Average daily turnover rose from USD 3,324 billion in April 2007 to USD 3,981 billion in April 2010, an increase of 20% in terms of US dollars. Based on nal data, the average daily turnover for traditional foreign exchange instruments (i.e. spot transactions, outright forwards and foreign exchange swaps) traded by counterparties in the euro area was estimated at USD 430 billion (see Table 1), 7% above the level estimated for April 2007. This amount represents approximately 11% of the overall market volume in net terms (i.e. net of the double-counting of transactions with reporting dealers within the euro area). This compares with market shares of 37% for counterparties in the United Kingdom, 18% for counterparties in the United States and 6% for counterparties

ECB BIS triennial survey 2010 euro area data June 2011

Table 2 Reported euro area foreign exchange market turnover by instrument and counterparty
(daily averages in April 2004, April 2007 and April 2010; USD billions and percentages) 1) 2004 Average daily turnover 85 54 23 8 25 13 7 6 185 123 45 17 2 1 1 0 12 7 4 2 309 198 80 32 2007 Average daily turnover 99 62 26 11 51 33 10 7 233 153 53 27 4 2 1 0 14 9 3 2 402 259 94 48 2010 Average daily turnover 102 68 26 9 40 15 18 7 267 178 69 20 8 5 3 0 13 8 3 2 430 273 119 38

Instrument/counterparty Spot with reporting dealers with other financial institutions with non-financial customers Outright forwards with reporting dealers with other financial institutions with non-financial customers Foreign exchange swaps with reporting dealers with other financial institutions with non-financial customers Currency swaps 2) with reporting dealers with other financial institutions with non-financial customers Options and other FX instruments 3) with reporting dealers with other financial institutions with non-financial customers Total foreign exchange contracts with reporting dealers with other financial institutions with non-financial customers

Share 27 63 27 9 8 52 26 22 60 66 24 9 1 58 33 9 4 55 32 13 100 64 26 10

Share 25 62 26 11 13 66 20 14 58 65 23 12 1 59 31 10 4 61 24 15 100 64 23 12

Share 24 66 25 9 9 37 46 17 62 67 26 7 2 63 32 5 3 61 22 16 100 64 28 9

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. net-gross basis. Due to incomplete reporting, components may not always add up to totals. 2) Data for 2007 have been revised. 3) The category other FX instruments covers highly leveraged transactions and/or trades whose notional amount is variable and where a decomposition into individual plain vanilla components was impractical or impossible.

shares of the euro and of the Japanese yen in global trading both increased between April 2007 and April 2010, the shares of the US dollar and the pound sterling both declined further. Globally, the euro continued to be traded predominantly against the US dollar, with that currency pair representing 71% of foreign exchange turnover involving the euro. The euro/dollar currency pair also remained the most actively traded currency pair, accounting for 28% of global turnover, almost unchanged from the 27% share recorded in April 2007. At the same time, the combined market share of other currency pairs involving the euro remained small (accounting for 11% of global foreign

exchange turnover), reecting the fact that the US dollar is still the main vehicle currency in the foreign exchange markets. The US dollar was also the most traded currency in the euro area, being involved in 80% of foreign exchange transactions (see Table 3). The euro was involved in almost 62% of foreign exchange transactions performed by euro area counterparties and was predominantly exchanged against the US dollar, with the euro/dollar currency pair accounting for 44% of total euro area foreign exchange turnover (see Table 4).

ECB BIS triennial survey 2010 euro area data June 2011

Table 3 Currency distribution of reported euro area foreign exchange market turnover
(daily averages in April 2004, April 2007 and April 2010; USD billions and percentages) 1) 2004 Average daily turnover 257 187 43 47 29 7 5 7 1 4 3 1 1 1 0 1 4 0 0 0 2 0 0 2 16 309 2007 ) Average daily turnover 329 245 48 50 37 12 10 7 6 7 6 3 2 1 0 4 5 1 2 0 3 0 0 3 20 402 2010 Average daily turnover 344 265 49 62 36 17 10 12 3 5 4 2 2 3 0 3 5 2 1 0 4 0 0 2 26 430

Currency USD EUR JPY GBP CHF AUD CAD SEK HKD NOK DKK SGD ZAR MXN KRW NZD PLN BRL RUB TWD CZK INR THB HUF Other currencies Total 3)

Share 83.2 60.4 13.8 15.1 9.3 2.2 1.7 2.2 0.5 1.4 1.1 0.3 0.4 0.3 0.0 0.3 1.2 0.1 0.1 0.1 0.5 0.0 0.0 0.7 5.2 200

Share 82.0 61.0 11.9 12.6 9.2 3.0 2.5 1.9 1.5 1.6 1.6 0.7 0.6 0.4 0.1 0.9 1.1 0.3 0.4 0.1 0.7 0.0 0.0 0.7 5.1 200

Share 80.1 61.6 11.4 14.5 8.5 4.0 2.3 2.9 0.7 1.1 0.9 0.5 0.5 0.8 0.1 0.7 1.3 0.5 0.3 0.0 0.9 0.0 0.0 0.6 6.0 200

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. 2) Data for 2007 have been revised. 3) Because two currencies are involved in each transaction, the sum of the percentage shares of individual currencies totals 200%, rather than 100%.

Table 4 Reported euro area foreign exchange turnover by currency pair

(daily averages in April 2004, April 2007 and April 2010; USD billions and percentages) 1) 2004 Average daily turnover 140 30 32 20 5 6 23 12 15 8 11 6 309 2007 2) Average daily turnover 183 31 32 24 9 10 42 14 15 12 22 10 402 2010 Average daily turnover 188 35 37 23 7 13 40 9 23 13 32 9 430

Currency pair USD/EUR USD/JPY USD/GBP USD/CHF USD/CAD USD/AUD USD/other currencies EUR/JPY EUR/GBP EUR/CHF EUR/other currencies Other currency pairs 3) All currency pairs

Share 45 10 10 7 2 2 8 4 5 3 4 2 100

Share 45 8 8 6 2 2 10 4 4 3 5 2 100

Share 44 8 9 5 2 3 9 2 5 3 7 2 100

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. 2) Data for 2007 have been revised. 3) Excluding the US dollar and the euro.

ECB BIS triennial survey 2010 euro area data June 2011

OTC INTEREST RATE DERIVATIVES MARKETS

Table 5 Euro area OTC interest rate derivatives market turnover by instrument
(daily averages in April 2004, April 2007 and April 2010; USD billions) 1) Instrument FRAs Swaps Options and other IR instruments ) Total IR instruments 2004 55 206 13 274 2007 48 270 27 345 2010 69 265 31 365

The global average daily turnover for over-the-counter (OTC) derivatives, which includes forward rate agreements, interest rate swaps, options and other interest rate instruments, was signicantly higher in April 2010 than in April 2007; overall OTC interest rate derivatives turnover rose from USD 1,686 billion in 2007 to USD 2,057 billion in 2010. Based on nal data, daily turnover involving euro area counterparties averaged around USD 365 billion in April 2010 (see Table 5), 6% above the level estimated for April 2007. This represented around 18% of global reported OTC interest rate derivatives turnover in net terms (i.e. net of the double-counting of transactions with reporting dealers within the euro area). This share compares with 46% for counterparties in the United Kingdom, 24% for counterparties in the United States and 3% for counterparties in Japan. Interest rate derivative instruments were by far the most traded instruments in the euro area (see Table 5).

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. Single-currency interest rate contracts only. 2) The category other IR instruments covers highly leveraged transactions and/or trades whose notional amount is variable and where a decomposition into individual plain vanilla components was impractical or impossible.

In the euro area, forward rate agreements (FRAs) and interest rate swaps accounted for 19% and 72%, respectively, of overall turnover in interest rate derivatives contracts, while at the global level they accounted for 29% and 62% of turnover. OTC interest rate derivatives transactions in the euro area (see Table 6) were still mainly conducted between reporting dealers (56%), but to a lesser extent than in 2007 (75%). Trading of OTC interest rate derivatives with

Table 6 Euro area OTC interest rate derivatives turnover by counterparty

(daily averages in April 2004, April 2007 and April 2010; USD billions and percentages) 1) 2004 Average daily turnover 55 34 18 2 206 128 59 20 13 8 4 1 274 169 82 23 2007 Average daily turnover 48 32 15 1 270 207 53 10 27 19 5 1 345 259 73 12 2010 Average daily turnover 69 47 21 2 265 136 112 17 31 22 6 2 365 205 139 20

Instrument/counterparty FRAs with reporting dealers with other nancial institutions with non-nancial customers IR swaps with reporting dealers with other nancial institutions with non-nancial customers Options and other IR instruments 2) with reporting dealers with other nancial institutions with non-nancial customers Total IR instruments with reporting dealers with other nancial institutions with non-nancial customers

Share 20 62 34 5 75 62 29 9 5 58 33 9 100 62 30 8

Share 14 67 31 2 78 77 20 4 8 71 18 4 100 75 21 3

Share 19 68 30 2 72 51 42 6 9 71 19 6 100 56 38 6

Source: BIS. 1) Single-currency interest rate contracts only. Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. Due to incomplete reporting, components may not always add up to totals. 2) The category other IR instruments covers highly leveraged transactions and/or trades whose notional amount is variable and where a decomposition into individual plain vanilla components was impractical or impossible.

ECB BIS triennial survey 2010 euro area data June 2011

Table 7 Reported euro area OTC interest rate derivatives turnover by currency
(daily averages in April 2004, April 2007 and April 2010, USD billions) 1) Instrument FRAs USD EUR JPY GBP Other currencies Swaps USD EUR JPY GBP Other currencies Options and other IR instruments 2) USD EUR JPY GBP Other currencies Total USD EUR JPY GBP Other currencies 2004 55 12 29 0 5 8 206 30 156 1 13 6 13 4 9 0 0 0 274 46 195 2 19 14 2007 48 4 39 0 1 4 270 20 221 3 16 10 27 4 20 0 0 0 345 28 280 3 18 14 2010 69 12 52 0 6 2 265 46 193 12 11 3 31 3 25 0 0 2 365 60 269 11 18 7

Source: BIS. 1) Adjusted for local inter-dealer double-counting, i.e. on a net-gross basis. Single-currency interest rate contracts only. Due to incomplete reporting, components may not always add up to totals. 2) The category other IR instruments covers highly leveraged transactions and/or trades whose notional amount is variable and where a decomposition into individual plain vanilla components was impractical or impossible.

other nancial institutions rose signiciantly to 38% of euro area turnover. Trading in OTC interest rate derivatives continued to increase between April 2007 and April 2010, albeit at a slower pace than in the previous period. The euro again accounted for the largest share of global average daily turnover (41%), and its share slightly increased compared to the previous survey (39%). Turnover in interest rate swaps denominated in euro increased by 7% globally between April 2007 and April 2010, although it decreased by around 13% in the euro area. However, it remained the most actively traded OTC interest rate derivative instrument, both globally and in the euro area, where it still accounted for 53% of total OTC interest rate derivative turnover in April 2010 (see Table 7).

ECB BIS triennial survey 2010 euro area data June 2011

 European Central Bank, 2011 Address: Kaiserstrasse 29, 60311 Frankfurt am Main, Germany Postal address: Postfach 16 03 19, 60066 Frankfurt am Main, Germany Telephone: +49 69 1344 0 Website: http://www.ecb.europa.eu Fax: +49 69 1344 6000 All rights reserved. Reproduction for educational and non-commercial purpose is permitted provided that the source is acknowledged. ISBN 978-92-899-0800-9 (online) ECB BIS triennial survey 2010 euro area data June 2011