OTC 2004 survey on the foreign currency and derivatives market

The survey was carried out in April 2004 in collaboration with the central banks and monetary authorities of fifty-two countries.

The study in Spain covered nine entities (commercial banks and savings banks), which are assumed to provide a fair estimation of the total volume of the Spanish market.

The main results for the Spanish foreign currency market are:

  1. The average daily negotiated volume was US$13.6 billion USA , 79% up on the volume negotiated during the same month 2001.
  2. By market segment, swap operations amounted to US$1 billion, 121% more than in 2001; the cash market was US$ 3.8 billion, which represents an increase of 41% and term transactions amounted to US$0.7 billion, 13% less than in 2001.
  3. By currency, the US dollar and the euro were the most negotiated. They were used in 81% and 76% of all transactions, respectively, while the rest of the currencies were negotiated in 43% of the operations.

    Euro/USD transactions accounted for 57% of the total, 67% of cash transactions, 65% of forwards and 52% of FX swaps.

    Euro/other foreign currency transactions accounted for 19% of the total and US dollar/other foreign currency transactions 24% of the total.

The data for the Spanish foreign currency derivatives market shows that:

  1. The average daily trading volume during the month of April 2004 was US$0.4 billion, 33% less than in the 2001 survey.
  2. By market segment, 91% of the operations were options, with a decrease in absolute value of 15%; and currency swaps only accounted for 9%, a decrease of 78% compared with figures for 2001.
  3. Euro/US dollar trading was US$0.3 billion, with a 70% quota, which is 47% down on the figure for the same month 2001.

    78% of currency swaps and 69% of options were negotiated in this currency pair. Euro/other currency transactions and US dollar/other currency transactions accounted for 13% and 17% of all transactions, respectively.

Lastly, the OTC interest rate market study indicates that:

  1. The average daily volume negotiated during the month of April 2004 was US$11.9 billion, a 42% decrease compared to the negotiated volume during the same month in 2001.
  2. By instrument, the negotiated volume of FRAs fell by 63%, with trading standing at US$1.3 billion USD , swap trading was US$10.4 billion, 38% less than the same period in 2001 and, lastly, the volume of options came to US$0.2 billion.
  3. The euro was the currency in the greatest number of operations, accounting for 91% of the total negotiation of interest rate derivatives.