Triennial survey on the OTC foreign exchange and interest rate derivatives markets in Spain (2022)

In April 2022 central banks and monetary authorities in fifty-two 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) 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 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 certain 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 2022 was US$ 39.2 billion (see Table 1 File XLSX: Opens in new window (12 KB)), as compared with US$ 28 billion in 2019.

By market segment, FX swap transactions, with an average daily turnover of US$ 23.9 billion, accounted for 61% of the Spanish foreign exchange market, and spot transactions, with an average daily turnover of US$ 10.7 billion, for 27% of reported market activity.

By currency (see Table 2 File XLSX: Opens in new window (12 KB)), the euro predominated in foreign exchange turnover, being present in 75% of total transactions, while the US dollar was traded in 67% of transactions. Euro/US dollar transactions accounted for 44% of total transactions, euro/other currency transactions represented 31% of total transactions and US dollar/other currency transactions 23%. Finally, transactions in which neither the euro nor the US dollar were traded accounted for 2% of the total.

By counterparty (see Table 3 File XLSX: Opens in new window (12 KB)), the total transactions were traded as follows: US$ 23.7 billion with reporting dealers in the BIS survey, representing 60% of the total; US$ 11.1 billion with other financial institutions, representing 28%; and US$ 4.5 billion with non-financial customers, representing 11%.

By geographical area, 89% of transactions were traded with cross-border counterparties. In particular, 59% were with financial institutions; 25%, with other financial institutions and 5% with non-financial customers. Transactions with Spanish counterparties account for 11%; mainly with non-financial customers (6%), followed by other financial institutions (3%) and financial institutions (2%).

With regard to the maturities of FX swap transactions which, as mentioned above, accounted for 61% of the Spanish market by instrument, most of the transactions (96%) had a maturity of up to 7 days (see Table 4 File XLSX: Opens in new window (12 KB)).

Finally, in the OTC interest rate derivatives market (see Table 5 File XLSX: Opens in new window (12 KB)), the average daily turnover during April 2022 was US$ 17.5 billion, as compared with US$ 15.5 billion in 2019, owing to an increase in activity across the board. By counterparty, the average daily turnover traded with reporting dealers in the survey was US$ 3.2 billion, that with other financial institutions was US$ 14.1 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$ 3.1 billion being traded with reporting dealers in the survey, US$ 13.9 billion with other financial institutions and US$ 0.1 billion with non-financial customers.

By instrument (see Table 6 File XLSX: Opens in new window (13 KB)), the average daily turnover in swaps was US$ 16.1 billion, accounting for 92% 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 48% of the total turnover.

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