The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States April 2007

Federal Reserve Bank of New York

Turnover in the United States 2007

1

The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States
Background The Federal Reserve Bank of New York together with 53 other central banks surveyed turnover in the over-the-counter (OTC) foreign exchange and interest rate derivatives markets during the month of April 2007. This worldwide, cooperative effort is undertaken every three years and is coordinated by the Bank for International Settlements (BIS). The “Triennial Survey” is a comprehensive source of information on the size and structure of the OTC foreign exchange and derivatives markets. These markets trade private, bilateral contracts so no turnover statistics are available as there are for the organized exchanges. (Data for exchange-traded futures and options are excluded from the survey.) To measure the OTC markets, the dealers who make markets in foreign exchange and interest rate derivatives reported trading volumes for the month of April to the central banks in the countries where they are located. The participants reported separately the volume of trading they do with each other to permit adjustments for double reporting. The central banks then compiled national aggregates from the dealers’ data and the BIS compiled global totals from the central banks’ national data.1 (See Annex I for a complete description of survey terms and methods.) Despite continued consolidation among dealers, turnover in the U.S. foreign exchange and derivatives markets has shown considerable growth since the last survey in April 2004. In 2007, a total of 33 dealers in the United States participated in the foreign exchange part of the survey and 28 in the interest rate derivatives part, down from 43 and 40, respectively, in 2004. Participating dealers were commercial banks, brokers and investment banks. They were both U.S.-owned institutions and foreign-owned institutions with dealing operations in the United States. See Annex II for a list of participating dealers. Continuing a practice adopted in an earlier survey, this report discusses turnover in foreign exchange (FX) spot, forwards, and swaps as the foreign exchange part of the survey. Trading in forward rate agreements (FRAs), currency and interest rate swaps, foreign exchange options and interest rate options are then treated together as the interest rate derivatives part of the survey. Aggregate data are included as Annex III. Overview
1

After adjusting for double reporting of trades between participating dealers, daily foreign exchange turnover in the United States (spot, forwards and FX

See the BIS web site (www.BIS.org) for its report on global turnover.

Turnover in the United States 2007

2

swaps) averaged $664 billion in April. This was an increase of 44 percent from the 2004 survey. See Chart 1.
Chart 1 Daily U.S. Foreign Exchange Turnover
Includes Spot, Forwards, and FX Swaps. In $ billions equivalent.

800 700 600 500 400 300 200 100 0
58

Adjusted*

Unadjusted
508 405 295 287
461

709

183 77
129

230
351 167 244

664

254

1986 1989 1992 1995 1998 2001 2004 2007
* Adjusted for double reporting by participating dealers.

Daily turnover for the other derivatives markets covered by the survey (FRAs, interest rate swaps, cross currency swaps, and foreign exchange and interest rate options) averaged $607 billion, up 70 percent. See Chart 2.
Chart 2 Daily U.S. FX and Interest Rate Derivatives Turnover
Includes currency swaps, currency options, FRA’s, interest rate swaps and options. In $ billions equivalent

800 700 600 500 400 300 200 100 0

712
Adjusted* Unadjusted

423

167 64 110

607 355

52
1995

91
1998

135
2001 2004 2007

* Adjusted for double reporting by participating dealers.

Turnover in the United States 2007

3

The U.S. Foreign Exchange Market

Daily foreign exchange turnover in the United States increased 44 percent from 2004 to $664 billion2, continuing the strong growth shown by the surveys of the previous two decades. At constant exchange rates, to remove the effects of exchange rate changes on reported foreign currency amounts, turnover increased 27 percent. 3 The 2004 survey took place during a period of heightened interest in foreign exchange as a separate asset class. A return to steadier trends and higher volatility led to increased volumes largely due to momentum trading by investors. In addition, a widening of interest rate differentials encouraged growth in the so-called “carry trade,” where investors finance positions in high yielding currencies by borrowing in low yielding currencies. The growth in the number and variety of electronic trading alternatives available to market participants also contributed to the increase in reported turnover as they reduced trading costs and other barriers to entry while enhancing pricing transparency. This in turn led to an increase in the number of leveraged accounts, commodity trading advisors (CTAs), and currency overlay managers focusing on foreign exchange as an asset class, many of which regularly engage in high volume programmed and algorithmic trading strategies. Some of the trends that supported the increase in turnover reported in 2004 have continued into 2007, with dealers attributing increased turnover to prime brokerage flows, as well as more hedging by corporations and portfolio managers taking active approaches to managing exchange rate risks. Market commentary has also focused on the emergence of retail aggregators and non-bank financial institutions and the increasing role they are playing in the marketplace. This has resulted in some traditional buy-side entities, such as hedge funds, acting more like dealers with regard to pricing and the liquidity they are willing to provide to the market.

Turnover in 2004

Instruments

Among the three instruments that are considered together as foreign exchange turnover, spot trading increased the most, with trading up 43 percent. Turnover in FX swaps rose 30 percent and FX forwards 86 percent from the 2004 survey. See Chart 3.

This total is adjusted for the double reporting of transactions between participating dealers in the United States. 3 Foreign currency amounts are reported in dollar terms. See Annex I.1 (f) for a description and explanation of the effect of exchange rate changes.
2

Turnover in the United States 2007

4

Chart 3 Daily Foreign Exchange Turnover by Instrument In $ billions equivalent

350 300 250 200 150 100 50 0 1992 1995 1998 2001 2004 2007 Spot Forwards FX Swaps

Spot trading represented 47 percent of total foreign exchange turnover, unchanged from 2004. FX swaps represented 36 percent of the turnover, down from 40 percent. • Average FX swap maturities were somewhat shorter in the latest survey. Almost 75 percent of all swaps had maturities of seven days or less compared to 72 percent in 2004. Maturities of over seven days and up to one year accounted for 23 percent of swaps, down from 27 percent. Less than two percent of all swaps had maturities of over one year.

Outright forward transactions rose slightly to 17 percent of total turnover, up four percentage points. • Maturities in the forward market have shortened over the past three years. Forward transactions with maturities of seven days or less accounted for 44 percent of the total against 38 percent in 2004. Maturities of over seven days to up to one year represented 55 percent, down from 60 percent. As in the FX swaps market, maturities over one year remain under two percent of the total.

Currencies

The U.S. dollar was traded in almost 83 percent of all transactions, down from 92 percent in the last survey. The euro, the second most actively traded currency, was on one side of 38 percent of all trades in the U.S. markets, unchanged from April 2004.

Turnover in the United States 2007

5

Trading of the dollar/euro currency pair accounted for 27 percent of total turnover in the U.S. market. See Chart 4. Yen trading declined to 17 percent from 22 percent and remained the third most actively traded currency.
Chart 4 Daily FX Volume by Currency Pair
In $ billions equivalent

180 160 140 120 100 80 60 40 20 0

27.0

Percent of total turnover

14.2 11.6 12.2

6.9 5.2 4.7 2.7 0.9
Eu ro JP Y GB P CH F CA A N$ UD SE K Ot J he PY r

6.8 3.8 1.6 1.6
GB P CH F

0.2

0.3 0.5
SE K Ot Re he sid r ua l*

CA A N$ UD

USD vs.

Euro vs.

* Residual trades are those not involving either the dollar or the euro.

Market Structure

Participating dealers also reported their trading activity according to types and location of counterparties. The majority of trades were undertaken with other financial institutions (45 percent) as the counterparty, 39 percent with other reporting dealers, and 16 percent with non-financial customers. See Chart 5.

Turnover in the United States 2007

6

Chart 5 Foreign Exchange Trading by Counterparty
Percent of Total

Non-Financial Customers

16%

Reporting Dealers

39%

45%
Other Financial Institutions

Highlighting the international nature of foreign exchange trading, 58 percent of spot, forward and FX swap transactions were conducted with market participants outside the United States. This is down from 66 percent in 2004. The market shares of the biggest foreign exchange dealers continued to grow reflecting consolidation among dealers and banking institutions and the declining number of dealers participating in the survey. • In considering the competitive implications, it should be noted that the lists of the largest dealers vary from instrument to instrument. For example, only one institution ranked among the top five dealers on the lists of the largest spot, outright forwards, and foreign exchange swaps dealers. Lastly, in these global markets, rankings may look quite different on a worldwide basis considering the large trading operations that many global institutions maintain outside the United States. In the spot market, the market share of the top 10 firms in the U.S. market increased to 79 percent from 73 percent. The five largest accounted for 56 percent of turnover, up from 47 percent. In the forward market, the market shares of the top 10 and top five dealers rose respectively to 86 from 77 percent and to 59 from 53 percent, respectively.

Turnover in the United States 2007

7

In the foreign exchange swaps market, the top 10 accounted for 81 percent compared to 76 percent at the previous survey. The share of the top five increased to 55 percent from 49 percent.

Differences Between the BIS Triennial and the Foreign Exchange Committee’s Survey of North American Foreign Exchange Volume Since October 2004, the Federal Reserve Bank of New York has collected and published foreign exchange turnover data on a semi-annual basis on behalf of the Foreign Exchange Committee (FXC), an industry-trade group comprised of representatives from leading foreign exchange dealers and sponsored by this Bank. The reporting panel for the Triennial is slightly larger than the semi-annual survey, with 33 dealers in total compared to 31 for the semi-annual FXC survey. The semi-annual survey captures turnover in all of North America, including Canada and Mexico, unlike the U.S. results to the BIS survey, which is limited to U.S.-based transactions. However, the specified currency pairs collected on the FXC survey is significantly narrower than those collected on the BIS survey. The most notable difference between the two surveys is the reporting basis, with the location of the trading desk determining reporting on the semi-annual survey, whereas on the BIS survey the location of the sales desk of any trade is the determining factor. Data collected on the FXC survey is limited to spot, outright forwards, foreign exchange swaps and total foreign exchange options. No data is collected on currency swaps or single-currency interest rate derivatives. In addition, the FXC survey expressly excludes related-party trades, while certain related party trading is captured on the BIS survey and identified in aggregate. Other differences include: • different maturity bucket information • no maturity data for options on the FXC survey • separate reporting of options bought and options sold on the BIS survey • the absence of any local/cross border reporting on the FXC survey Despite these differences, reported aggregates for the two surveys conducted simultaneously in April were very similar. The results of the two surveys for April 2007 are as follows: Instrument Spot Outright Forwards Foreign Exchange Swaps Options BIS Survey $311 $114 $239 $75 FXC Survey $319 $109 $221 $66 Difference -8 5 18 9

(daily averages in billions of U.S. dollars)

Turnover in the United States 2007

8

Currencies Foreign Exchange and Interest Rate Derivatives Markets Daily turnover for the other derivatives markets covered by the survey rose more strongly than trading in the traditional foreign exchange contracts. These other derivatives include forward rate agreements (FRAs), interest rate swaps, cross currency rate swaps, and foreign exchange and interest rate options. As a group, turnover in these instruments averaged $607 billion per day in the United States during April, up 71 percent from the last survey. (See Chart 2.) Daily turnover for interest rate swaps was $318 billion, an increase of more than 60 percent since the last survey. See Chart 6. Turnover for interest rate options rose to $115 billion per day, the second heaviest trading among these contracts, while turnover in FRAs rose 130 percent to $92 billion per day. Turnover in currency swaps, while remaining a smaller market than the other instruments at less than $6.5 billion per day, jumped over 260 percent. Turnover of FX options were up 110 percent over the past three years.
Chart 6 Daily FX and Interest Rate Derivatives Turnover by Instrument In $ billions equivalent

Instruments

350 300 250 200 150 100 50 0 1995 1998 2001 2004 2007
Currency Swaps FRAs IR Options FX Options IR Swaps

U.S. dollar-denominated contracts and contracts with the dollar on one side accounted for 77 percent of the month’s turnover in these instruments compared to 83 percent three years before.

Turnover in the United States 2007

9

U.S. dollar contracts represented 86 percent of the single currency interest swaps, up from 70 percent in 2004 when it fell by more than 10 percent, as turnover in many non-dollar contracts lagged the increase dollar contract trading in 2007. In particular, Euro contracts slipped from 13 percent to just 5.4% of the total. Trading in yen, sterling, and Canadian dollar each accounted for less than 2 percent of the total. The U.S. dollar was the currency in 89 percent of forward rate agreements and 92 percent of interest rate options. It was on one side of 80 percent of foreign exchange options and 97 percent of currency swaps. There was considerable variability across the five instruments for location and type of counterparty. Market Structure On average for all contracts, 60 percent of trading during April was conducted with a market participant outside the United States. Among the contracts, this percentage varied between 48 percent for interest rate options to 67 percent for foreign exchange options and FRAs. Other reporting dealers were the counterparty for 54 percent of turnover in these contracts on average, ranging from 32 percent for currency swaps to 73 percent for FRAs. See Chart 7.

Chart 7 Foreign Exchange and Interest Rate Derivatives by Counterparty Percent of total

10% Customers

Non-Financial

36%

54%
Reporting Dealers

Other Financial Institutions

Trading in the derivatives market is more concentrated than it is in the foreign exchange market.

Turnover in the United States 2007

10

For the three single currency instruments covered by this part of the survey, the top five dealers accounted for about 70 percent of reported turnover and the top ten accounted for over 90 percent. The currency swap market had relatively few reporting dealers and was even more concentrated, while the FX options market was less concentrated, with the top 5 dealers accounting for 59 percent of reported turnover. As in the foreign exchange side of the survey, there is movement in dealer rankings from instrument to instrument and survey to survey. A total of 12 dealers ranked in the top five in trading in at least one of the contracts. In addition, in view of the high degree of cross-border trading in all of these instruments, market share on a global basis may be a better indicator of market positions and concentration.

Additional information Recent trend in turnover

Since the survey only covers one month every three years, dealers are also asked about the trading patterns and trends of their business to help assess whether the survey month’s turnover should be considered normal, and whether it had been increasing or decreasing over the previous six months. More than 3 out of 4 dealers considered turnover during the month as normal. The views of the remaining dealers that responded indicated that activity was above normal. Regarding the trend in trading over the previous six months, dealers were almost evenly split in viewing their business as steady or increasing. Just five percent viewed turnover as decreasing during that period.

Turnover in the United States 2007

11

ANNEX I Survey Terms and Methods 1. Turnover

a) Turnover is the volume of transactions during April 2007 in US dollar equivalents. The amount of each transaction is reported before the effects of any netting arrangements. In the case of swap transactions, only one leg is reported. b) The survey covered three types of counterparties: 1) reporting dealers participating in the survey, 2) other financial institutions, and 3) non-financial customers. Each type of counterparty was broken down into local and cross-border resulting in a total of six categories for counterparties. c) Market totals. Transactions between two participating dealers were reported twice, once by each of them. Survey figures for market totals are therefore adjusted to avoid double counting of such trades. Adjusted figures are market totals after adjusting for double reporting by participating dealers. Unadjusted figures are gross totals without adjusting for double reporting. The data in this report are adjusted figures unless otherwise noted. • Since transactions between local reporting dealers were reported twice, the total of local dealer transactions is divided by two for the adjusted total.

d) Average daily turnover was obtained by dividing total volume by 21 trading days. e) Turnover for non-U.S. dollar transactions was reported in U.S. dollar equivalents using exchange rates at the time of the transactions. f) Changes in exchange rates affect comparisons of turnover between surveys. Turnover of non-U.S. dollar transactions are reported in U.S. dollar equivalents using exchange rates at the time of the transaction. The decline of the dollar against most foreign currencies since the last survey therefore raised the reported amounts of foreign currency turnover in dollar terms.

Turnover in the United States 2007

12

ANNEX I For example, if the same amount of a particular foreign currency that had risen against the dollar was purchased and sold in 2004 and in 2007, a higher amount in dollar terms would be reported in 2007. Turnover for foreign currencies can be recalculated to help assess volume changes due to valuation changes over time by converting the reported dollar equivalents into the original foreign currencies using average April 2004 exchange rates and then converting these amounts back into dollar equivalents at April 2007 exchange rates. For the foreign exchange part of the present survey, revaluing reported 2004 turnover lowered the increase to 27 percent from 44 percent. For the 2004/2001 comparison, the adjustment also lowered turnover because of the dollar’s generalized decline. By revaluing 2001 turnover in foreign currencies at 2004 dollar exchange rates, the increase in turnover was about 60 percent compared to the 82 percent decline in unadjusted dollar terms. 2. Location Trade vs. book location. Transactions were reported on the basis of the location of the dealer agreeing to do the transaction. For example, a dealer in New York might engage in a trade that is booked at a London affiliate. In this case, the trade location is New York and the book location is London. This transaction would be included in the turnover figures in the U.S. survey. If a trader in London entered into a trade but the trader's firm booked the trade in its New York affiliate, the transaction would be included in the institution’s survey report to the Bank of England. 3. Participating firms A total of 33 dealers participated in the foreign exchange part of the survey. See Annex II. A total of 43 dealers participated in this part of the survey in 2004 and 79 in 2001. A total of 28 dealers participated in the foreign exchange and interest rate derivatives part of the survey, compared to 40 in 2004, 54 in 2001, 60 in 1998, and 51 in 1995. The dealers included both U.S. institutions as well as foreign institutions with dealing operations in the United States. Participation is voluntary. See Annex II. Dealers were asked to participate based on several criteria including participation in the last Triennial survey or the Foreign Exchange Committee’s semi-annual survey, the firm's outstanding contracts reported in bank call reports, or in the case of nonbanks, outstanding contracts reported in published financial statements. Private surveys and articles in

Turnover in the United States 2007

13

ANNEX I the financial press were also used to identify foreign banks who may book contracts outside the United States and non-bank dealers who do not publicly report their contracts. 4. Instrument definitions In each risk category, OTC derivatives were broken down into three types of plain vanilla instruments (forwards, swaps and options). Plain vanilla instruments are those traded in generally liquid markets using standardized contracts and market conventions. If a transaction was composed of several plain vanilla components, dealers were asked to report each one separately. Foreign exchange spot and OTC derivatives transactions should be defined as follows: Spot transaction Single outright transaction involving the exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) within two business days. The spot legs of swaps do not belong to spot transactions but are to be reported as swap transactions even when they are for settlement within two days (i.e., spot transactions should exclude “tomorrow/next day” transactions). Outright forward Transaction involving the exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) at some time in the future (more than two business days later). This category also includes forward foreign exchange agreement transactions (FXA), nondeliverable forwards and other forward contracts for differences. Foreign exchange swap Transaction involving the actual exchange of two currencies (principal amount only) on a specific date at a rate agreed at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the short leg) agreed at the time of the contract (the long leg). Both spot/forward and forward/forward swaps should be included. For turnover, only the forward leg should be reported as such. The spot leg should not be reported at all, i.e. neither as spot nor as foreign exchange swap transactions. Short-term swaps carried out as “tomorrow/next day” transactions should also be included in this category.

Turnover in the United States 2007

14

ANNEX I Currency swap Contract which commits two counterparties to exchange streams of interest payments in different currencies for an agreed period of time and to exchange principal amounts in different currencies at a pre-agreed exchange rate at maturity. Currency option Option contract that gives the right to buy or sell a currency with another currency at a specified exchange rate during a specified period. This category also includes exotic foreign exchange options such as average rate options and barrier options. Currency swaption OTC option to enter into a currency swap contract. Currency warrant OTC option; long-dated (over one year) currency option. Forward rate agreement (FRA) Interest rate forward contract in which the rate to be paid or received on a specific obligation for a set period of time, beginning at some time in the future, is determined at contract initiation. Interest rate swap Agreement to exchange periodic payments related to interest rates on a single currency; can be fixed for floating, or floating for floating based on different indices. This group includes those swaps whose notional principal is amortized according to a fixed schedule independent of interest rates. Interest rate option Option contract that gives the right to pay or receive a specific interest rate on a predetermined principal for a set period of time. Interest rate cap OTC option that pays the difference between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate.

Turnover in the United States 2007

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ANNEX I Interest rate collar Combination of cap and floor. Interest rate corridor 1) A combination of two caps, one purchased by a borrower at a set strike and the other sold by the borrower at a higher strike to, in effect, offset part of the premium of the first cap. 2) A collar on a swap created with two swaptions –the structure and participation interval is determined by the strikes and types of the swaptions. 3) A digital knockout option with two barriers bracketing the current level of a long-term interest rate. Interest rate swaption OTC option to enter into an interest rate swap contract, purchasing the right to pay or receive a certain fixed rate. Interest rate warrant OTC option; long-dated (over one year) interest rate option. Forward contracts for differences (including non-deliverable forwards). Contracts where only the difference between the contracted forward outright rate and the prevailing spot rate is settled at maturity.

Turnover in the United States 2007

16

Annex II

Turnover Survey Participants Foreign Exchange Dealers

ABN AMRO North America Bank of America Bank of Montreal Bank of New York Bank of Nova Scotia Bank of Tokyo-Mitsubishi Barclays Capital Bear Stearns BNP Paribas Calyon Canadian Imperial Bank Citigroup Commerzbank Credit Suisse Group Deutsche Bank Goldman Sachs JP Morgan Chase Lehman Brothers Mellon Financial Merrill Lynch Mizhuo Corporation Morgan Stanley PNC Bank Royal Bank of Scotland Skandinaviska Enskilda Banken Societe Generale Standard Chartered Bank State Street Bank & Trust Company Sumitomo Mitsui Banking Corp Svenska Handelsbanken UBS Wells Fargo West LB

Annex II

Turnover Survey Participants Derivatives Dealers

ABN AMRO North America Bank of America Bank of Montreal Bank of New York Bank of Nova Scotia Barclays Capital Bear Stearns BNP Paribas Calyon Canadian Imperial Bank Citigroup Commerzbank Credit Suisse Group Deutsche Bank Goldman Sachs JP Morgan Chase Mellon Financial Merrill Lynch Mizhuo Corporation Morgan Stanley PNC Bank Royal Bank of Scotland Societe Generale State Street Bank & Trust Company Svenska Handelsbanken Toronto Dominion UBS West LB

TableA1
RSSD 999 NAME Aggregate Data

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

FOREIGN EXCHANGE CONTRACTS
(in millions of USD)
USD against

1

Turnover in nominal or notional principal amounts in April 2007

Instruments

EUR

JPY

GBP

CHF

CAD

AUD

SEK

OTHER 2

TOT

SPOT

3

with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL

737500 148296 589204 946409 573637 372771 204982 114843 90138 1888891

319417 67275 252142 454042 262431 191609 97260 48875 48383 870720

350311 46685 303626 337716 182351 155365 84208 38457 45753 772235

124471 25538 98933 184496 104560 79937 32830 13817 19013 341802

135897 26299 109598 147088 82400 64689 45596 25391 20203 328581

109736 19701 90035 111407 67002 44405 25594 13152 12442 246737

13989 3907 10082 11247 7452 3795 7422 4138 3284 32658

224480 45538 178942 329529 135094 194435 99818 62804 37014 653825

2015803 383239 1632564 2521933 1414927 1107003 597712 321477 276233 5135448

OUTRIGHT FORWARDS 4
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year
101979 18929 83050 318333 171252 147082 142978 89816 53162 563289 282638 295403 4177 59505 8669 50836 182067 94231 87837 65454 41501 23953 307026 156660 156445 2288 41265 8011 33254 119003 67359 51645 49068 25468 23600 209336 77473 138712 1165 19862 4434 15428 47733 25605 22128 24842 12320 12522 92437 46292 50353 229 16951 3052 13899 68916 36446 32470 38796 22089 16706 124662 41807 83028 2645 24550 4904 19646 69841 50629 19212 22489 13552 8938 116880 47144 74310 330 9633 1980 7653 17078 11007 6070 8446 5667 2779 35157 14854 22092 188 144362 23290 121072 231550 123315 108237 115734 66505 49229 491650 185446 317304 12191 418107 73268 344839 1054521 579844 474679 467808 276919 190888 1940434 852315 1137646 23214

FOREIGN EXCHANGE SWAPS
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year
538523 88231 450292 595028 292687 302341 175916 99195 76721 1309468 1011189 375719 10794 295134 51983 243152 320360 167235 153123 179970 144941 35029 795462 650481 186949 10014 246827 32994 213831 277938 123365 154572 113737 87318 26419 638503 495785 174200 1509 130943 12885 118058 114475 53474 61000 42693 25078 17615 288110 232839 65014 3140 253982 40338 213644 213239 105930 107309 40148 21021 19127 507367 435108 109770 2827 144097 15581 128517 116589 60657 55932 24311 17633 6678 284996 233396 66599 579 32303 5197 27105 19926 8844 11083 3175 2055 1120 55403 38531 22015 53 282270 53717 228552 231250 118576 112674 45920 16113 29806 559439 451112 140666 21382 1924076 300925 1623151 1888803 930769 958034 625869 413354 212514 4438749 3548442 1140932 50297

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. See also table A3 for a more detailed breakdown of total turnover in "other" currencies. 3. Excluding "tomorrow/next day" transactions. 4. Including non-deliverable forwards and other contracts-for-differences. 5. A swap is considered to be a single transaction in that the two legs are not counted separately. Including "tomorrow/next day" transactions.

TableA2
RSSD
999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

NAME
Aggregate Data

FOREIGN EXCHANGE CONTRACTS 1
Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)
EUR against
2

Instruments

RESISEK OTHER TOT DUAL
3

GRAND TOTAL 4

JPY

GBP

CHF

CAD

AUD

SPOT

5

with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL

151139 17732 133407 127422 61529 65892 36296 15128 21167 314857

72399 10508 61891 57366 33931 23435 26130 17493 8637 155894

83306 13875 69433 73438 43678 29761 23943 10538 13404 180688

3656 656 3001 3024 2000 1024 6402 5347 1055 13083

6388 846 5542 5101 2458 2644 9040 8295 745 20530

24292 4226 20067 12208 6026 6183 9578 7734 1845 46077

108888 22430 86458 58952 38126 20826 57011 47717 9294 224850

450067 70271 379798 337513 187750 149763 168400 112253 56148 955982

169946 41574 128370 131015 82537 48478 145640 120447 25194 446600

2635815 495084 2140732 2990464 1685214 1305244 911752 554177 357575 6538030

OUTRIGHT FORWARDS 6
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year
11632 2229 9402 21554 11608 9946 14385 9792 4593 47570 29544 19790 470 5617 700 4916 12557 5958 6599 14788 13066 1722 32962 19716 13785 162 7193 938 6256 10694 5014 5680 8868 6377 2491 26755 17561 9437 696 728 80 649 3772 2179 1593 5033 4309 723 9533 5960 3651 3 1948 101 1847 3455 1909 1546 6205 5234 971 11609 6428 5273 8 5296 934 4363 6889 3228 3661 9352 7629 1723 21538 12241 10162 71 13404 2849 10556 19999 11268 8732 45401 37722 7678 78805 40345 41001 312 45820 7830 37989 78920 41164 37759 104032 84129 19901 228774 131796 103096 1720 43631 19505 24124 74450 44987 29464 98768 82251 16517 216848 118862 116463 1026 507559 100603 406952 1207894 665995 541902 670608 443299 227306 2386056 1102973 1357205 25960 ` 3909 598 3310 9365 6350 3015 2304 760 1544 15578 8974 7017 184 1971 292 1680 11165 4981 6184 15689 9495 6194 28825 16171 12933 12 1836 290 1546 2392 630 1761 3815 1561 2254 8042 4566 3138 630 318 52 267 1520 658 862 4354 3891 463 6192 4267 1884 94 275 2 273 5454 5304 150 3006 2838 168 8735 3154 5584 0 2076 40 2035 1465 520 944 1118 735 383 4659 1337 3322 43 127249 29615 97634 70840 33956 36884 21014 18760 2254 219102 215421 33203 92 137635 30889 106744 102200 52400 49800 51299 38040 13261 291133 253888 67084 1055 169302 30290 139013 58097 41727 16370 54460 48049 6412 281860 248339 58156 5653 2231014 362103 1868908 2049100 1024896 1024204 731628 499443 232187 5011743 4050669 1266172 57005

FOREIGN EXCHANGE SWAPS
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. See also table A3 for a more detailed breakdown of total turnover in "other" currencies. 3. "Residual" covers all currency pairs except those involving the USD and the euro. 4. Covers the sum of the totals in tables A1 and A2 and the column "Residual". 5. Excluding "tomorrow/next day" transactions. 6. Including non-deliverable forwards and other contracts-for-differences. 7. A swap is considered to be a single transaction in that the two legs are not counted separately.

Including"tomorrow/next day" transactions.

TableA3
RSSD 999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity FOREIGN EXCHANGE CONTRACTS 1
Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)

NAME Aggregate Data

Instruments

Total turnover in listed currencies against all other currencies 2
BRL CNY CZK DKK HKD HUF IDR INR KRW MXN NOK NZD PHP PLN RUB SGD THB TRL TWD ZAR

SPOT 3
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
11607 2176 9431 16276 9671 6605 3373 1924 1449 31256 1186 284 902 1631 793 839 1107 1013 94 3925 1772 272 1500 1511 436 1074 5637 5201 436 8920 18758 2024 16734 6031 2504 3527 2862 1697 1166 27652 14896 2882 12014 45982 9266 36716 7099 5046 2053 67978 8267 767 7500 20450 16972 3478 11296 4115 7180 40013 1384 639 745 1975 1532 443 194 106 88 3553 2104 573 1531 2247 1324 923 1413 1372 41 5763 2806 461 2345 3036 2198 838 2523 1234 1289 8364 92965 23925 69040 115489 52175 63314 18093 13774 4319 226550 38420 5914 32506 20302 11996 8306 23765 19222 4543 82484 28887 4979 23908 31870 15422 16448 23594 20340 3254 84350 621 181 440 914 625 288 279 249 30 1814 5893 488 5405 3963 1079 2884 9374 6734 2640 19231 350 203 147 602 329 273 71 47 24 1023 11208 1949 9259 10546 6055 4491 4645 3070 1575 26398 287 77 210 272 185 88 1355 1225 130 1915 1429 356 1073 34824 1656 33168 213 122 91 36466 1240 313 927 1893 1293 599 790 672 118 3923 8863 1333 7530 9624 4924 4700 3197 1865 1332 21684

OUTRIGHT FORWARDS 4
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year
34633 6157 28476 56583 27021 29562 13831 6700 7131 105046 36987 72599 1621
5

4938 473 4465 7426 4016 3410 1832 1363 469 14197 1021 11863 1783

1371 224 1147 2007 1091 916 8266 7253 1013 11644 8781 3080 7

1461 133 1328 2341 1456 885 2111 1840 271 5912 3218 2739 90

2356 1035 1321 11697 2564 9133 4731 4085 646 18783 12123 7038 655

5768 304 5464 3529 2504 1025 8976 4542 4434 18272 13288 5286 0

1579 139 1440 1421 642 778 296 133 163 3295 404 3029 2

4913 1143 3770 6778 3586 3192 1546 945 601 13236 2461 10651 1267

8456 1003 7453 8701 4291 4410 1799 1028 771 18957 1836 17922 201

16029 2770 13259 31104 18653 12451 23882 12920 10962 71014 33793 38793 1200

10695 993 9702 17183 10308 6875 23066 19920 3147 50944 25382 26490 72

9725 1295 8430 19223 10587 8636 20422 18070 2352 49370 28246 21692 723

1434 240 1194 1907 1150 757 243 151 92 3584 1013 2762 51

4630 525 4105 4244 2643 1601 9321 538 8784 18196 11532 7185 7

1284 292 992 2364 1310 1054 332 179 153 3980 291 3810 173

3736 571 3165 12836 6018 6818 6392 4781 1612 22965 9271 14026 239

75 13 62 357 138 219 1387 1131 256 1818 1096 730 6

208 115 93 1555 1064 491 187 134 53 1950 633 1000 431

4331 588 3743 4797 2814 1984 1056 867 189 10184 1564 8911 295

4382 861 3521 9178 5915 3262 4775 3025 1750 18335 9243 9917 34

FOREIGN EXCHANGE SWAPS
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL Maturities seven days or less over seven days and up to one year over one year

1829 367 1462 3673 2303 1370 299 76 223 5800 1399 4717 49

259 0 259 893 827 66 11 11 0 1163 54 1109 0

2568 151 2417 2248 1029 1219 646 401 245 5462 3476 2091 45

13340 671 12669 7230 2758 4472 515 222 293 21083 17368 4236 146

30218 2684 27534 15557 5134 10423 672 465 207 46448 35672 13168 291

6112 812 5300 3735 2161 1574 428 353 75 10275 8784 2303 0

15 3 12 93 78 15 7 2 5 115 11 106 0

186 47 139 404 274 130 13 2 11 603 29 620 0

212 0 212 437 297 141 60 11 49 709 140 552 17

102265 31092 71173 105508 55465 50044 14809 5344 9465 22581 193826 39926 19921

32480 2205 30275 20999 9394 11605 2653 1910 743 56132 38665 19615 57

43171 6919 36252 31029 21282 9746 10910 9613 1297 85110 75199 16632 198

212 91 121 559 511 48 0 0 0 771 7 838 15

4931 529 4402 5898 3233 2665 1277 737 541 12107 7691 4946 0

206 0 206 359 297 62 6 6 0 571 20 551 0

25539 4666 20873 13600 6586 7014 2746 1294 1452 41885 34886 11520 146

1005 48 957 385 267 118 199 49 150 1588 1176 418 41

753 511 242 1681 708 973 89 3 86 2523 2213 820 0

23 23 0 98 70 28 45 22 23 166 43 145 0

8493 874 7619 10926 5877 5050 1411 1147 264 20831 15743 5928 35

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. Only transactions which are included in the columns "other and "residual" in tables A1 and A2. Direct cross-trade between two currencies list 3. Excluding "tomorrow/next day" transactions. 4. Including non-deliverable forwards and other contracts-for-differences. 5. A swap is considered to be a single transaction in that the two legs are not counted separately. Including "tomorrow/next day."

TableA4
RSSD
999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

NAME
Aggregate Data

FOREIGN EXCHANGE CONTRACTS 1
Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)
USD against
2

Instruments

EUR

JPY

GBP

CHF

CAD

AUD

SEK

OTHER

TOT

CURRENCY SWAPS

3

with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL

14954 308 14645 22400 20139 2261 1822 1041 781 39177

1130 93 1035 2806 1527 1278 570 186 384 4505

3765 638 3128 3503 1492 2010 10598 4077 6522 17866

3296 31 3265 1403 151 1252 2781 2769 13 7480

2552 455 2096 5039 852 4187 1740 717 1023 9331

527 267 260 729 555 174 18 18 0 1274

150 150 0 299 299 0 4338 4338 0 4785

16353 4155 12197 12467 5395 7072 19063 13885 5178 47882

42728 6097 36628 48645 30410 18234 40930 27030 13900 132301

OTC OPTIONS 4 Sold
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
58617 10028 48590 60054 22909 37145 33589 16097 17493 152260 599781 6967 52814 58209 19776 38433 19196 5971 13224 137185 30791 7168 23624 39249 21376 17873 14809 6061 8748 84850 6075 1182 4892 6129 2231 3898 4441 2266 2175 16644 18790 3358 15432 22424 9676 12749 9353 3195 6158 50567 14196 1610 12585 14482 6116 8366 6433 1282 5151 35111 128 1 127 504 489 15 253 6 247 885 25106 3590 21516 47384 17684 29700 43657 36570 7090 116147 213482 33904 179578 248434 100257 148177 131733 71448 60285 593646

Bought
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL TOTAL OTC OPTIONS TOTAL FX CONTRACTS
61529 9475 52054 74681 32177 42504 34648 15690 18959 170858 323118 4123943 62837 7058 55779 91755 30515 61240 23484 8014 15470 178076 315261 2292972 33693 5919 27774 45232 28576 16656 16165 2746 13419 95089 179939 1817879 6921 1140 5781 8945 3259 5686 5526 1858 3668 21392 38036 767864 20742 4475 16267 21662 9160 12502 13784 3717 10067 56189 106756 1076697 12589 1447 11143 16596 9958 6637 6480 2405 4075 35665 70776 720663 206 94 112 753 361 392 14 5 9 972 1857 129860 28107 4117 23991 47975 19995 27978 28872 21767 7107 104954 221101 1973896 226625 33725 192899 307595 134000 173595 128974 56201 72772 663194 1256840 12903772

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. See also table A6 for a more detailed breakdown of total turnover in "other" currencies. 3. A swap is considered to be a single transaction in that the two legs are not counted separately. 4. Including currency warrants and multicurrency swaptions.

TableA5
RSSD
999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

NAME
Aggregate Data

FOREIGN EXCHANGE CONTRACTS 1
Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)
EUR against

Instruments

RESISEK OTHER 2 TOT

GRAND

JPY

GBP

CHF

CAD

AUD

DUAL 3 TOTAL 4

CURRENCY SWAPS

5

with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL

3 0 3 6 0 6 0 0 0 9

7 0 7 110 60 50 28 28 0 145

71 0 71 145 16 129 61 61 0 277

0 0 0 132 0 132 396 0 396 528

0 0 0 0 0 0 0 0 0 0

0 0 0 31 2 29 0 0 0 31

53 0 53 139 10 129 0 0 0 192

134 0 134 563 88 475 485 89 396 1182

1549 689 860 558 178 380 606 559 47 2713

44408 6787 37622 49766 30676 19089 42021 27678 14343 136195

OTC OPTIONS 6 Sold
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
23991 3565 20428 23577 12352 11224 11924 1417 10507 59491 6168 765 5402 7782 2808 4974 1003 71 932 14953 4094 171 3923 7105 3728 3377 5362 1771 3591 16562 1025 77 948 682 239 443 38 5 33 1745 809 19 791 1094 169 925 501 404 97 2404 970 48 924 3039 974 2065 395 74 321 4404 5568 309 5258 4473 1003 3470 2219 887 1332 12261 42626 4954 37675 47751 21272 26478 21442 4629 16813 111820 12144 1760 10384 34294 13299 20995 7370 1312 6057 53808 268252 40618 227637 330479 134828 195650 160545 77389 83155 759274

Bought
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL TOTAL OTC OPTIONS Other products 7 TOTAL FX CONTRACTS
of which: Related party trades
8

17507 4348 13159 19231 9367 9865 15285 1627 13658 52023 111514

5261 719 4541 11413 5552 5861 1944 308 1636 18618 33571

4459 309 4149 5998 1954 4044 7967 803 7164 18425 34987

921 15 906 839 371 468 444 36 408 2204 3949

542 42 500 856 251 605 610 404 206 2008 4412

1405 163 1243 1364 941 423 301 162 139 3070 7474

4036 429 3608 4155 849 3306 2006 950 1056 10197 22458

34130 6025 28106 43856 19285 24571 28557 4290 24267 106544 218364

11862 1948 9913 28265 6822 21443 8070 1310 6760 48197 102005

272617 41698 230918 379716 160107 219609 165601 61801 103799 817935 1577209 0

489528

251397

250749

33285

45286

79779

545407

1695437

1050026

15649235 482082

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. See also table A6 for a more detailed breakdown of total turnover in "other" currencies. 3. "Residual" covers all currency pairs except those involving the USD and the euro. 4. Covers the sum of the totals in tables A4 and A5 and the column "Residual". 5. A swap is considered to be a single transaction in that the two legs are not counted separately. 6. Including currency warrants and multicurrency swaptions. 7. Any instrument where the transaction is highly leveraged and/or the notional amount isvariable and where a decomposition into individual plain vanilla components is impractical or impossible. 8. Report trades with branches and affiliated firms included in Total FX Contracts above. Notes, however, that the survey excludes all trades (1) conducted as back-to-back deals, (2) to facilitate internal bookkeeping or internal risk management within a reporting institution, or (3) between desks and offices of the reporting dealer in the same country.

TableA6
RSSD 999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity FOREIGN EXCHANGE CONTRACTS 1
Turnover in nominal or notional principal amounts in April 2007
(In millions of USD)
2

NAME Aggregate Data

Instruments

Total turnover in listed currencies against all other currencies BRL CNY CZK DKK HKD HUF IDR INR KRW MXN NOK NZD PHP PLN RUB SGD THB TRL TWD ZAR

CURRENCY SWAPS 3
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
35 4 31 37 0 37 0 0 0 72 8 3 5 122 6 116 0 0 0 130 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 61 60 1 0 0 0 0 0 0 61 0 0 0 0 0 0 0 0 0 0 5 5 0 10 10 0 0 0 0 15 5 5 0 0 0 0 1 0 1 6 710 233 477 295 50 245 0 0 0 1005 473 30 443 2009 674 1335 9 9 0 2482 0 0 0 0 0 0 0 0 0 0 198 198 0 2 1 1 0 0 0 200 10 10 0 0 0 0 0 0 0 10 0 0 0 111 111 0 0 0 0 111 82 82 0 143 143 0 0 0 0 225 5 5 0 0 0 0 0 0 0 5 0 0 0 0 0 0 0 0 0 0 181 155 26 135 125 10 0 0 0 316 0 0 0 0 0 0 0 0 0 0 18 18 0 98 56 42 0 0 0 116

OTC OPTIONS 4 Sold
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
6372 1081 5291 9968 4901 5066 1603 748 855 17943 211 2 209 625 0 625 409 139 270 1245 252 1 251 535 417 118 301 6 295 1088 0 0 0 0 0 0 5 5 0 5 711 100 611 3655 115 3540 608 28 580 4974 816 1 815 1063 195 868 195 0 195 2074 70 0 70 289 50 239 13 0 13 372 294 113 181 1655 446 1209 271 206 65 2220 1027 181 846 1485 323 1162 25845 25583 262 28357 4545 588 3947 16084 9472 6612 5176 2970 2206 25805 933 122 811 3701 1318 2383 892 25 867 5522 3948 472 3477 6976 2063 4913 767 181 586 11691 0 0 0 18 6 12 9 9 0 27 1790 94 1696 606 206 401 255 151 104 2651 35 21 14 119 4 115 434 352 82 588 974 134 840 1436 326 1110 341 156 185 2751 0 0 0 20 0 20 15 0 15 35 3381 389 2992 3024 955 2069 1728 830 898 8133 216 2 214 15 9 6 260 246 14 491 1056 61 995 1757 974 783 1131 440 691 3944

Bought
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL TOTAL OTC OPTIONS TOTAL FX CONTRACT
7013 936 6077 10442 5924 4518 749 244 505 18204 36147 178320 38 2 36 281 53 228 401 191 210 720 1965 21380 272 7 265 616 343 273 566 139 427 1454 2542 28566 0 0 0 0 0 0 10 6 4 10 15 54661 729 50 679 3049 1095 1954 624 92 532 4402 9376 142645 548 28 520 843 155 688 270 72 198 1661 3735 72293 0 0 0 95 60 35 35 0 35 130 502 7480 230 88 143 1000 126 874 160 133 27 1390 3610 23218 281 38 243 1099 106 993 12889 12806 83 14269 42626 71660 7468 808 6660 10433 4537 5896 5399 2586 2813 23300 49105 571741 1797 280 1517 3937 1024 2913 586 28 558 6320 11842 201400 4042 489 3552 6326 2399 3927 562 144 418 10930 22621 241652 2 2 0 16 0 16 9 9 0 27 54 6232 395 91 304 669 313 356 162 95 67 1226 3877 53521 40 0 40 0 0 0 36 34 0 76 664 6461 773 79 694 1651 274 1377 229 34 195 2653 5404 96655 0 0 0 0 0 0 63 53 10 63 98 5418 2935 433 2502 3269 731 2538 1372 524 848 7576 15709 56964 288 2 286 22 20 2 124 108 16 434 925 15197 911 113 798 1641 818 823 1188 360 828 3740 7684 68650

1. All transactions involving exposure to more than one currency, whether in interest rates or exchange rates. 2. Only transactions which are included in the columns "other" and "residual" in tables A4 and A5. Direct offshore cross-trades between two cu 3. A swap is considered to be a single transaction in that the two legs are not counted separately. 4. Including currency warrants and multicurrency swaptions.

TableB1
RSSD
999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

NAME
Aggregate Data

SINGLE-CURRENCY INTEREST RATE DERIVATIVES 1
Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)

Instruments

USD

EUR

JPY

GBP

CHF

CAD

AUD

DKK

HKD

IDR

MXN

NOK

NZD

SEK

SGD

THB

OTH

TOT

FORWARD RATE AGREEMENTS
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
1263973 323986 939987 453009 262730 190279 1464 0 1464 1718447 55270 14522 40748 32673 8453 24220 1822 0 1822 89765 0 0 0 1775 1685 90 0 0 0 1775 44082 5534 38548 5344 1048 4296 0 0 0 49426 21090 1405 19685 12732 1112 11620 0 0 0 33823 2503 1510 994 4530 1298 3232 862 0 862 7895 1172 393 780 6236 1841 4395 0 0 0 7409 183 183 0 366 0 366 0 0 0 549 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 67 67 0 0 0 0 67 1046 0 1046 771 0 771 0 0 0 1817 0 0 0 1758 0 1758 0 0 0 1758 3982 170 3811 1080 43 1036 0 0 0 5061 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 9572 2548 7024 7164 2095 5069 0 0 0 16736 1402872 350250 1052623 527504 280373 247130 4148 0 4148 1934524

SWAPS 2
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
3018316 1010593 2007724 2145362 1255951 889411 586230 134695 451535 5749907 113230 21213 92017 186746 41418 145328 63825 6580 57245 363801 44474 7526 36949 45734 16596 29137 24276 1560 22715 114484 37182 9108 28074 49010 16752 32258 12656 487 12169 98848 33854 1494 32360 19986 463 19524 1384 63 1321 55223 79293 13220 66072 43554 19192 24362 7331 3004 4327 130178 2171 244 1927 562 504 57 326 314 12 3059 30 30 0 60 60 0 10 0 10 100 1372 177 1195 1861 1019 842 654 0 654 3887 0 0 0 10 0 10 0 0 0 10 24254 8599 15656 36641 12480 24160 3406 497 2909 64301 0 0 0 0 0 0 1 1 0 1 963 0 963 347 340 7 181 0 181 1491 1016 241 776 1383 720 664 19 0 19 2418 1216 39 1177 761 129 632 343 0 343 2320 409 0 409 223 36 188 420 137 283 1052 32253 9647 22605 42961 12628 30332 8057 267 7791 83271 3390034 1082129 2307905 2575199 1378287 1196912 709120 147605 561514 6674353

1. All transactions where all the legs are exposed to one and only one currency's interest rate, including all fixed/floating and floating/floating single-currency interest rate contracts. 2. A swap is considered to be a single transaction in that the t

TableB2
RSSD
999

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

SINGLE-CURRENCY INTEREST RATE DERIVATIVES 1
NAME
Aggregate Data

Turnover in nominal or notional principal amounts in April 2007
(in millions of USD)

Instruments

USD

EUR

JPY

GBP

CHF

CAD

AUD

DKK

HKD

IDR

MXN

NOK

NZD

SEK

SGD

THB

OTH

TOT

OTC OPTIONS Sold
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL
506720 150445 356275 288195 176392 111803 102547 60831 41716 897464 11444 1639 9805 7802 1849 5953 3119 402 2718 22365 19329 12624 6705 19350 12049 7302 6161 1985 4176 44841 4730 281 4448 1349 170 1178 191 32 159 6269 642 62 580 622 0 622 0 0 0 1264 6094 2953 3141 3247 738 2509 1429 1429 0 10770 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 89 0 89 124 0 124 356 0 356 569 0 0 0 0 0 0 0 0 0 0 1120 133 988 1708 884 825 0 0 0 2829 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 643 0 643 0 0 0 0 0 0 643 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 555 87 468 1439 750 690 282 0 282 2276 551367 168224 383142 323838 192831 131006 114086 64679 49407 989290

Bought
with reporting dealers - local - cross-border with other financial institutions - local - cross-border with non-financial customers - local - cross-border TOTAL TOTAL OTC OPTIONS Other products 2 TOTAL CONTRACTS
of which: Related party trades 3
1. All transactions where all the legs are exposed to one and only one currency's interest rate, including all fixed/floating and floating/floating single-currency interest rate contracts. 2. Any instrument where the transaction is highly leveraged and/or the notional amount is variable and where a decomposition into individual plain vanilla components is impractical or impossible.

879231 500985 378245 330094 223995 106098 125079 58593 66486 1334403 2231867 9700221

13195 1205 12711 14552 6380 8172 3055 0 3055 31522 53887 507453

16031 9962 6068 15285 8623 6662 5519 1637 3882 36835 81676 197935

2741 206 2535 1464 20 1444 178 148 30 4383 10652 158926

414 0 414 41 0 41 0 0 0 455 1719 90765

8802 3833 4969 1119 841 278 1446 1405 41 11367 22137 160210

0 0 0 17 0 17 0 0 0 17 17 10485

0 0 0 0 0 0 0 0 0 0 0 649

618 0 618 99 0 99 0 0 0 717 1286 5173

0 0 0 0 0 0 0 0 0 0 0 10

1161 246 915 3327 2499 828 18 0 18 4505 7334 71702

0 0 0 0 0 0 0 0 0 0 0 1818

0 0 0 0 0 0 0 0 0 0 0 3249

641 0 641 0 0 0 0 0 0 641 1264 8763

7 0 7 0 0 0 0 0 0 7 7 2327

0 0 0 0 0 0 0 0 0 0 0 1052

405 60 346 1504 183 1321 296 0 296 2205 4481 104488

923967 516497 407470 367500 242540 124959 135591 61783 73808 1427058 2416348 10756 11025225 3414972