Foreign exchange and OTC derivate market turnover survey in Spain in April 2004
Press release
In April 2004 central banks and monetary authorities in fifty-two countries -under the co-ordination of the Bank for International Settlements in Basle- conducted surveys of the foreign exchange market (spot, forwards and foreign exchange swaps transactions) and OTC foreign exchange (currency swaps and options) and interest rate (FRAs, swaps and options) derivative market operations of the most active financial institutions in such markets in their countries. The aim of those surveys, as with those undertaken previously every three years since 1986, was to gauge the size and scope of foreign exchange market activity.
The Bank of Spain has participated in this new exercise, as it did in 1989, 1992, 1995, 1998 and 2001. The survey in Spain covered nine banks (commercial banks and saving banks), which are assumed to provide a fair estimation of the total volume of the Spanish market. The main results of the survey are highlighted below as well as several tables are appended to this press release. The figures show the daily average turnover expressed in millions of US dollar equivalent after adjustment to allow for the fact that transactions between banks in Spain will have been reported by both parties to the transaction (1)
The daily average turnover in the Spanish foreign exchange market during April 2004 was US$ 13.6 billion, 79% higher than in the same month of 2001 (see Table 1). By market segments, it must be pointed out that swap operations were US$ 9.1 billion, sharing the 67% of the Spanish foreign exchange market, which represents a rise of 121% as compared with the previous 2001 survey. The daily average turnover in the spot market was US$ 3.8 billion, which represents an increase of 41%, spot transactions accounts for 28% of the net reported exchange market activity. Finally, the daily average turnover in outright forward transactions was US$ 0.7 billion with a decline of 13%, and only represents the 5% of the transactions.
By currencies (see Table 2), the US dollar and Euro were the predominant currencies in foreign exchange turnover, because they were in transactions which amount represented the 81% and 76% of the total transactions respectively, while other currencies were traded in 43% of the operations. The transactions Euro/US dollar were the 57% of the total transactions (see Table 3), the 67% of spot transactions (see Table 4), the 65% of outright forwards (see Table 5) and the 52% of foreign exchange swaps (see Table 6). The transactions Euro/other currencies were 19% of total transactions and the transactions US dollar/other currencies the 24%. Finally, the transactions among other currencies different of Euro and US dollar were marginal.
By counterparty, the total transactions were traded as follows: With reporting dealers, 45%, with other financial institutions, 6%, and with non-financial customers, 49% (see Table 8).
By geographical distribution, the 10% of transactions were traded with Spanish counterparts, basically with non-financial customers (5%) and reporting dealers (4%), and the 90% with cross-border counterparts, of which 41% were reporting dealers and 44% non-financial customers (see Table 8).
Finally, considering the maturities of swap transactions (see Table 7), the bulk of transactions (99%) was up to one year.
In the Spanish foreign exchange derivative market the daily average turnover during April 2004 was US$ 0.4 billion, a 33% lower than the previous survey in 2001 (see Table 10). By market segments the 91% were options, and, although this share is higher than in the same month in 2001, these transactions have decreased in a 15%. The currency swaps only represented a 9%, with a decrease of 78% compared with 2001.
By currencies (see Table 11), turnover in Euro/US dollar was US$ 0.3 billion, with a share of a 70% of the total, which is a 47% lower than the same month in 2001. The 78% of currency swaps (see Table 12) and the 69% of the options (see Table 13) were traded in this currency pair. Transactions in Euro/Other currencies and US Dollar/Other currencies represented the 13% and 17% of total transactions respectively.
By counterparty, US$ 0.2 billion were traded with reporting dealers, US$ 0.03 billion with other financial institutions and US$ 0.2 billion with non-financial customers (see Table 9). The bulk of the trades were with cross-border counterparts.
In the OTC interest rate market, the daily average turnover during April 2004 was US$ 11.9 billion with a decrease of a 42% compared with the same month in 2001 (see Table 14). By instruments, trading in FRAs went down in a 63%, being its turnover US$ 1.3 billion; turnover in swap was US$ 10.4 billion, a 38% lower than in the same period in 2001 and finally options turnover was US$ 0.2 billion.
The Euro was the most traded currency, representing the 91% of the total turnover in interest rate derivatives (see Table 14). This currency was used in the 86% of the FRAs traded, in the 92% of the Swaps and in the 88% of the options. The share of the US Dollar has decreased in all the instruments traded.
By counterparty (see Table 9), turnover traded with reporting dealers was US$ 5.9 billion, with other financial institutions was US$ 1.4 billion and with non-financial customer was US$ 4.6 billion. As in foreign exchange derivatives, the bulk of turnover was traded with cross-border counterparts, of which US$ 5.2 billion were traded with reporting dealers, US$ 1.2 billion with other financial institutions and US$ 4.2 billion were traded with non-financial customers.
FOREIGN EXCHANGE AND OTC DERIVATIVES MARKET
Daily average turnover in April 2004 (in millions of US dollar)
Foreing exchange market
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 13,573 | 100 | 7,579 | 100 | 79 |
| Spot | 3,763 | 28 | 2,670 | 35 | 41 |
| Forwards | 664 | 5 | 763 | 10 | -13 |
| FX swaps | 9,146 | 67 | 4,146 | 55 | 121 |
Return to the text previous to table 1
Table 2
| 2004 | ||||
|---|---|---|---|---|
| TOTAL % | SPOT % | FORWARDS % | FX SWAP % | |
| Euro | 76 | 77 | 82 | 75 |
| US Dollar | 81 | 90 | 83 | 77 |
| Other | 43 | 33 | 35 | 48 |
Return to the text previous to table 2
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 13,573 | 100 | 7,579 | 100 | 79 |
| Euro/US Dollar | 7,672 | 57 | 5,924 | 78 | 29 |
| Euro/Other | 2,597 | 19 | 659 | 9 | 294 |
| US Dollar/Other | 3,301 | 24 | 996 | 13 | 231 |
Return to the text previous to table 3
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 3,763 | 100 | 2,670 | 100 | 41 |
| Euro/US Dollar | 2,508 | 67 | 1,695 | 64 | 48 |
| Euro/Other | 376 | 10 | 520 | 19 | -28 |
| US Dollar/Other | 878 | 23 | 455 | 17 | 93 |
Return to the text previous to table 4
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 664 | 100 | 763 | 100 | -13 |
| Euro/US Dollar | 434 | 65 | 603 | 79 | -28 |
| Euro/Other | 110 | 17 | 101 | 13 | 9 |
| US Dollar/Other | 120 | 18 | 59 | 8 | 103 |
Return to the text previous to table 5
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 9,146 | 100 | 4,146 | 100 | 121 |
| Euro/US Dollar | 4,730 | 52 | 3,628 | 88 | 30 |
| Euro/Other | 2,111 | 23 | 38 | 1 | 5,455 |
| US Dollar/Other | 2,303 | 25 | 480 | 12 | 380 |
Return to the text previous to table 6
| 2004 % | 2001 % | |
|---|---|---|
| TOTAL | 100 | 100 |
| Seven days or less | 87 | 66 |
| Over seven days and up to one year | 12 | 33 |
| Over one year | 1 | 1 |
Return to the text previous to table 7
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 13,573 | 100 | 7,579 | 100 | 79 |
| With reporting dealers | 6,067 | 45 | 3,269 | 43 | 86 |
| - Local | 576 | 4 | 188 | 2 | 206 |
| - Cross-border | 5,491 | 41 | 3,081 | 41 | 78 |
| With other financial institutions | 833 | 6 | 3,438 | 45 | -76 |
| - Local | 194 | 1 | 432 | 6 | -55 |
| - Cross-border | 639 | 5 | 3,006 | 39 | -79 |
| With non-financial customers | 6,673 | 49 | 872 | 12 | 655 |
| - Local | 670 | 5 | 789 | 11 | -15 |
| - Cross-border | 6,003 | 44 | 83 | 1 | 7,133 |
Return to the text previous to table 8
OTC Derivatives market
| TOTAL | FOREIGN EXCHANGE | INTEREST RATES | ||||
|---|---|---|---|---|---|---|
| 2004 | 2001 | 2004 | 2001 | 2004 | 2001 | |
| TOTAL | 12,300 | 21,020 | 372 | 556 | 11,928 | 20,464 |
| With reporting dealers | 6,054 | 10,736 | 156 | 185 | 5,898 | 10,551 |
| - Local | 726 | 819 | 2 | 1 | 724 | 818 |
| - Cross-border | 5,328 | 9,917 | 154 | 184 | 5,174 | 9,733 |
| With other financial institutions | 1,460 | 9,952 | 25 | 193 | 1,435 | 9,759 |
| - Local | 279 | 608 | 4 | 17 | 275 | 591 |
| - Cross-border | 1,181 | 9,343 | 21 | 176 | 1,160 | 9,167 |
| with non-financial customers | 4,787 | 332 | 192 | 178 | 4,595 | 154 |
| - Local | 400 | 287 | 30 | 178 | 370 | 109 |
| - Cross-border | 4,387 | 45 | 162 | 0 | 4,225 | 45 |
Return to the text previous to table 9
OTC Foreign exchange derivative market
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 372 | 100 | 556 | 100 | -33 |
| Currency Swaps | 35 | 9 | 161 | 29 | -78 |
| Options | 337 | 91 | 395 | 71 | -15 |
Return to the text previous to table 10
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 372 | 100 | 556 | 100 | -33 |
| Euro/US Dollar | 260 | 70 | 493 | 89 | -47 |
| Euro/Other | 47 | 13 | 62 | 11 | -24 |
| US Dollar/Other | 65 | 17 | 1 | 0 | 6,500 |
Return to the text previous to table 11
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 35 | 100 | 161 | 100 | -78 |
| Euro/US Dollar | 27 | 78 | 161 | 100 | -83 |
| Euro/Other | 4 | 11 | 0 | 0 | - |
| US Dollar/Other | 4 | 11 | 0 | 0 | - |
Return to the text previous to table 12
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 337 | 100 | 395 | 100 | -15 |
| Euro/US Dollar | 233 | 69 | 332 | 84 | -30 |
| Euro/Other | 43 | 13 | 62 | 16 | -30 |
| US Dollar/Other | 61 | 18 | 1 | 0 | 5,136 |
Return to the text previous to table 13
OTC Interest rate derivative market
| 2004 | 2001 | 04/01 | |||
|---|---|---|---|---|---|
| Amount | % | Amount | % | % | |
| TOTAL | 11,928 | 100 | 20,464 | 100 | -42 |
| Dollar | 957 | 8 | 5,995 | 29 | -84 |
| Euro | 10,843 | 91 | 13,159 | 64 | -18 |
| Other | 128 | 1 | 1.310 | 7 | -90 |
| FRAS | 1,303 | 100 | 3,490 | 100 | -63 |
| Dollar | 176 | 13 | 1,734 | 50 | -90 |
| Euro | 1,119 | 86 | 1,373 | 39 | -18 |
| Other | 8 | 1 | 383 | 11 | -98 |
| SWAPS | 10,409 | 100 | 16,753 | 100 | -38 |
| Dollar | 755 | 7 | 4,213 | 25 | -82 |
| Euro | 9,534 | 92 | 11,613 | 69 | -18 |
| Other | 120 | 1 | 927 | 6 | -87 |
| OPTIONS | 216 | 100 | 221 | 100 | -2 |
| Dollar | 26 | 12 | 48 | 22 | -46 |
| Euro | 190 | 88 | 173 | 78 | 10 |
| Other | 0 | 0 | 0 | 0 | - |
Return to the text previous to table 13
(1) The Bank for International
Settlements will produce a release on the size of the global market, obtained
from the information provided by the fifty-two countries participating
in the survey (http://www.bis.org/publ/rpfx04.htm 
).
To obtain the size of the global market it is not sufficient simply to
aggregate figures across countries, because to do so would involve double-counting
of cross-border transactions. The Bank for International Settlements will
make the necessary adjustments.