OTC 2007 survey on the foreign currency and derivatives market

The survey carried out in April 2007 included the collaboration of the central banks and monetary authorities of fifty-four countries.

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

The main conclusions for the Spanish foreign currency market are:

  1. The average daily negotiated volume during April 2007 was US$16.3 billion USA , 20% above the volume negotiated during the same month in 2004.
  2. By market segment, FX swap operations amounted to US$8 billion, 12% less than in 2004; the cash market came to US$6.2 billion, a 64% increase compared to 2004 and term transactions reached US$2.1 billion, a 210% increase compared to the volume for 2004.
  3. The US dollar and the euro were the most negotiated currencies, they were used in 92% and 68% of all transactions respectively, while other currencies were negotiated in 40% of the operations.

    Euro/US dollar transactions accounted for 60% of the total, distributed as follows: 63% cash transactions, 66% forwards and 67% FX swaps.

    Euro/other foreign currency transactions accounted for 8% of the total.

    US dollar/other foreign currency transactions accounted for 32%.

For the Spanish foreign currency derivatives market we see that:

  1. The average daily trading volume during the month of April 2007 was US$0.9 billion, 133% up on the 2004 survey.
  2. By market segment, 85% of operations were options, with a 119% increase in absolute values, and currency swaps accounted for the remaining 15%, showing an an increase of 266% compared to 2004.
  3. Euro/US dollar trading stood at US$0.5 billion, 77% up on the same month 2004.

    Euro/other currency transactions and US dollar/other currency transactions accounted for 22% and 24% of all transactions, respectively.

For the OTC interest rate market, the figures are:

  1. The average daily negotiated volume during the month of April 2007 was US$16.8 billion, 41% more than in the 2004 survey.
  2. By instrument, the negotiated volume of FRAs fell by 59% to US$0.5 billion: However, swaps trading came to US$15.6 billion, an increase of 49%, and options trading to US$0.7 billion , 215% up on the negotiated volume during the same month 2004.
  3. The euro was the currency in the greatest volume of operations, accounting for 83% of the total negotiation of interest rate derivatives.