Statistics

OTC 2019 survey on the foreign exchange and derivatives market

In April 2019 central banks and monetary authorities in fifty-three countries, coordinated by the Bank for International Settlements in Basel (BIS), conducted a survey on the total trading volume in the foreign exchange market (spot transactions, outright forwards, FX swaps, currency swaps and currency options) and in the interest rate derivatives market (FRAs, swaps and options and other products) by the most active financial institutions in these markets in their countries. The aim of the surveys, as with those undertaken previously every three years since 1986, is to gauge the size and scope of activity in the foreign exchange and OTC derivatives markets.

As it has done every three years since 1989, the Banco de España has participated in this latest exercise. The survey in Spain covered four credit institutions, which provide an adequate indication of the total volume of the Spanish market. The main results of the survey are set out in the tables below. The figures show the average daily turnover, expressed in millions of US dollars, after adjustment to avoid double-counting for the fact that transactions between reporting dealers in Spain have been reported by both parties to the transaction.

Broadly, the Spanish foreign exchange market reported an increase in activity. The average daily turnover during April 2019 was US$ 40.7 billion (see Table 1 File XLSX: Opens in a new window (9 KB)), as compared with US$ 32.6 billion in 2016.

By market segment, FX swap transactions, with an average daily turnover of US$ 26 5 billion, accounted for 65% of the Spanish foreign exchange market, and spot transactions, with an average daily turnover of US$ 7.9 billion, for 19% of net reported exchange market activity.

By currency (see Table 2 File XLSX: Opens in a new window (9 KB)), the US dollar predominated in foreign exchange turnover, being present in 83% of total transactions, while the euro was traded in 57% of transactions. Euro/US dollar transactions accounted for 41% of total transactions, while euro/other currency transactions represented 16% of total transactions and US dollar/other currency transactions 41%. Finally, transactions in which neither the euro nor the US dollar were traded accounted for 1% of the total.

By counterparty (see Table 3 File XLSX: Opens in a new window (9 KB)), the total transactions were traded as follows: US$ 22 billion with reporting dealers in the BIS survey, representing 54% of the total; US$ 15.3 billion with other financial institutions, representing 38%; and US$ 3.3 billion with non-financial customers, representing 8%.

By geographical area, 93% of transactions were traded with cross-border counterparties, of which 53% were reporting dealers and 34% other financial institutions, and 7% with Spanish counterparties, basically with other financial institutions (3%) and non-financial customers (3%).

With regard to the maturities of FX swap transactions which, as mentioned above, accounted for 65% of the Spanish market by instrument, most of the transactions (88%) had a maturity of up to 7 days (see Table 4 File XLSX: Opens in a new window (9 KB)).

Finally, in the OTC interest rate market (see Table 5 File XLSX: Opens in a new window (9 KB)), the average daily turnover during April 2019 was US$ 16.2 billion, as compared with US$ 5.6 billion in 2016, owing to an increase in activity across the board. By counterparty, the average daily turnover traded with reporting dealers in the survey was US$ 5.4 billion, that with other financial institutions was US$ 10.7 billion and that with non-financial customers was US$ 0.2 billion.

The bulk of turnover in interest rate transactions (98%) was traded with cross-border counterparties, US$ 5.2 billion being traded with reporting dealers in the survey, US$ 10.5 billion with other financial institutions and US$ 0.2 billion with non-financial customers.

By instrument (see Table 6 File XLSX: Opens in a new window (10 KB)), the average daily turnover in swaps was US$ 15.6 billion, accounting for 96% of the total volume of the market. By currency, out of the total number of swaps, the euro was the most traded currency, accounting for 54% of the total turnover.