Bank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2010 and Amounts

Transcription

1 Bank of Canada Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter (OTC) Derivatives Markets Turnover for April, 2010 and Amounts Outstanding as at June 30, 2010 December 20, 2010

2 Table of Contents Turnover data for April 2010 Table 1 Traditional foreign exchange turnover in Canada - Summary of surveys Table 2 Over-the-counter (OTC) derivatives market turnover in Canada - Summary of surveys Table 3 Reported foreign exchange turnover in Canada by instrument and by counterparty - Summary of surveys Table 4 Traditional foreign exchange market turnover in Canada by currency - Summary of surveys Table 5 Total reported foreign exchange turnover in Canada Table 6 Reported foreign exchange turnover in Canada in April 2010 by currency pair Table 7 Reported foreign exchange market turnover in Canada by maturity Table 8 Foreign exchange transactions in Canada in April 2010 involving the Canadian dollar against all currencies other than the U.S. dollar Table 9 Execution methods for foreign exchange contracts Table 10 Geographical distribution of global foreign exchange market turnover Table 11 Currency distribution of global foreign exchange market turnover Table 12 Global trading of the Canadian dollar Table 13 Total turnover of single-currency interest rate derivatives in Canada Table 14 Geographical distribution of global interest rate derivatives turnover Amounts outstanding as at June 30, 2010 Table 15 OTC derivatives reported by Canadian financial institutions Table 16 Foreign exchange derivatives reported by Canadian financial institutions Table 17 Single-currency interest rate derivatives reported by Canadian financial institutions Table 18 Equity and stock index derivatives reported by Canadian financial institutions Table 19 All other derivatives reported by Canadian financial institutions Table 20 Credit default swaps reported by Canadian financial institutions

3 Table 1: Traditional foreign exchange turnover in Canada: Summary of surveys Billions of U.S. dollars Foreign exchange turnover in April Number of Average Outright FX business daily Per cent Spot forwards swaps Total days turnover change , , , Table 2: Over-the-counter (OTC) derivatives market turnover in Canada: Summary of surveys Average daily turnover in April in billions of U.S. dollars Foreign exchange derivatives Forward Interest Currency rate rate Single-currency interest rate derivatives swaps Options Total agreements swaps Options Total

4 Table 3: Reported foreign exchange turnover in Canada by instrument and by counterparty: Summary of surveys Billions of U.S. dollars in April (Figures in parentheses indicate percentage shares) Spot Instrument Outright Foreign Reporting forwards exchange swaps dealers Counterparty Customers Financial Non-financial (43) 5 (5) 54 (52) 75 (73) 8 (8) 19 (19) (43) 11 (6) 98 (51) 131 (69) 24 (12) 36 (19) (41) 14 (5) 162 (54) 217 (72) 25 (8) 58 (20) (35) 18 (4) 281 (61) 360 (76) 32 (7) 79 (17) (41) 48 (8) 290 (51) 347 (61) 141 (25) 79 (14) (29) 30 (4) 516 (67) 550 (71) 123 (16) 100 (13) (26) 45 (5) 571 (69) 534 (64) 198 (24) 101 (12) (34) 83 (7) 663 (59) 704 (62) 318 (28) 110 (10) (23) 86 (7) 837 (70) 661 (55) 422 (35) 113 (9) (31) 132 (11) 711 (58) 660 (54) 465 (38) 102 (8)

5 Currency Table 4: Traditional foreign exchange market turnover in Canada by currency: Summary of surveys Percentage shares April March April April April April April April April April U.S. dollar Canadian dollar Euro a German mark a Japanese yen U.K. pound Australian dollar b Mexican peso b Swiss franc Hong Kong dollar b Other currencies All currencies c a On 1 January 1999, the euro replaced 11 European currencies, including the German mark. b Dashes (--) indicate that the currency was not broken out and reported separately. c Since every foreign exchange transaction involves two currencies, the reporting of all currencies necessarily sums to 200 per cent.

6 Table 5: Total reported foreign exchange turnover in Canada Millions of U.S. dollars per month Canadian dollar against Canadian dollar against U.S. dollar against other currencies other than the Instrument and U.S. dollar currencies U.S. dollar All other currency pairs All currencies counterparty April April Per cent April April Per cent April April Per cent April April Per cent April April Per cent growth growth growth growth growth Spot 162, , , , ,503 16, ,780 13, , , Reporting dealers 90, , ,303 89, , , Financial customers 45,882 60, ,779 42, , , Non-financial customers 25,735 29, ,171 3, ,463 35, Outright forwards 45,469 55, ,452 56, ,571 15, ,577 3, , , Reporting dealers 12,757 9, , , ,236 40, Financial customers 16,820 27, ,617 23, ,646 65, Non-financial customers 15,892 18, ,382 5, ,187 26, FX swaps 559, , , , ,464 18, ,106 1, , , Reporting dealers 311, , , , , , Financial customers 200, , ,148 36, , , Non-financial customers 47,549 28, ,272 9, ,456 40, Total reporting dealers 415, , ,402 96, ,955 10, ,210 2, , , Total customers 351, , , , ,582 38, ,253 9, , , Financial 262, , , , ,382 34, ,348 7, , , Non-financial 89,176 76, ,825 18, ,200 4, , , , Local 305, , ,914 73, ,675 36, ,882 1, , , Cross-border 462, , , , ,862 13, ,581 16, , , Total turnover 767, , , , ,537 50, ,463 18, , , Currency swaps 17,510 15, ,525 9, , ,067 26, OTC options 39,693 23, ,671 18, ,146 1, ,513 2, ,023 46,

7 Table 6: Reported foreign exchange turnover in Canada in April 2010 by currency pair Millions of U.S. dollars Directly against the U.S. dollar All other Instrument and counterparty Canadian U.K. Japanese currency Euro Other dollar pound yen pairs Total Spot With reporting dealers 127,257 37,328 8,571 11,688 31,834 13, ,399 Local 18,135 1, ,682 1,303 24,895 Cross-border 109,122 35,663 8,168 10,979 29,152 12, ,504 With financial customers 60,456 12,771 3,834 4,997 20,603 15, ,951 Local 21, ,998 28,543 Cross-border 38,702 11,889 3,649 4,896 19,980 10,292 89,408 With non-financial customers 29,441 1, ,562 2,244 35,544 Local 25, ,018 29,027 Cross-border 3,544 1, , ,517 Outright forwards and FX swaps With reporting dealers 282,474 48,701 18,697 15,074 57,815 6, ,346 Local 97,634 3,776 2,232 1,130 3,506 2, ,848 Cross-border 184,840 44,925 16,465 13,944 54,309 4, ,498 With financial customers 258,719 14,204 6,861 5,703 33,237 28, ,759 Local 77,399 2, ,773 23, ,962 Cross-border 181,320 12,126 6,421 4,998 31,464 4, ,797 With non-financial customers 46,966 3,434 1,026 1,408 8,627 5,362 66,823 Local 41, ,097 4,080 51,896 Cross-border 5,824 2, ,017 3,530 1,282 14,927 Summary by instruments Total spot 217,154 51,704 12,799 16,983 53,999 31, ,894 (Currency share, per cent) (56.6) (13.5) (3.3) (4.4) (14.1) (8.1) (100.0) Total outright forwards and FX swaps 588,159 66,339 26,584 22,185 99,679 39, ,928 (Currency share, per cent) (69.8) (7.9) (3.2) (2.6) (11.8) (4.7) (100.0) Summary by counterparty Reporting dealers Spot 127,257 37,328 8,571 11,688 31,834 13, ,399 Outright forwards and FX swaps 282,474 48,701 18,697 15,074 57,815 6, ,346 Total reporting dealers 409,731 86,029 27,268 26,761 89,649 20, ,745 (Currency share, per cent) (62.1) (13.0) (4.1) (4.1) (13.6) (3.1) (100.0) Customers Spot 89,897 14,376 4,228 5,295 22,165 17, ,495 Outright forwards and FX swaps 305,685 17,638 7,887 7,111 41,864 33, ,582 Total customer 395,582 32,014 12,115 12,406 64,029 50, ,077 (Currency share, per cent) (69.8) (5.6) (2.1) (2.2) (11.3) (9.0) (100.0) Total turnover 805, ,043 39,383 39, ,678 71,240 1,226,822 (Currency share, per cent) (65.6) (9.6) (3.2) (3.2) (12.5) (5.8) (100.0)

8 Table 7: Reported foreign exchange market turnover in Canada by maturity a Millions of U.S. dollars Instrument Amounts % share Amounts % share Amounts % share Amounts % share Amounts % share Outright forwards Up to 7 days 10, , , , , Over 7 days and up to 1 year 20, , , , , Over one year 2, , , , , Total 32, , , , , Foreign exchange swaps Up to 7 days 458, , , , , Over 7 days and up to 1 year 168, , , , , Over one year 7, , , , , Total 634, , , , , a Not adjusted for local double-counting.

9 Table 8: Foreign exchange transactions in Canada in April 2010 involving the Canadian dollar against all currencies other than the U.S. dollar Millions of U.S. dollars Instrument U.K. Japanese Australian Swiss Euro Other Total pound yen dollar franc Spot 9,158 1,204 3, ,246 16,292 Outright forwards 6,795 1,996 2, ,582 15,832 FX swaps 6,716 5,100 1,784 1, ,980 18,247 Total turnover 22,668 8,300 7,697 3,163 1,737 6,808 50,371 Currency share (per cent) (45.0) (16.5) (15.3) (6.3) (3.4) (13.5) (100.0)

10 Table 9: Execution methods for foreign exchange contracts Percentage share of total transactions, April 2010 Execution method Electronic trading systems b Interdealer Customer Electronic Multi-bank Single-bank Voice direct direct broking dealing proprietary broker Total systems a systems platforms Spot Total Of which: With reporting dealers c Local c Cross-border c Outright forwards Total Of which: With reporting dealers c Local c Cross-border c Foreign exchcange swaps Total Of which: With reporting dealers c Local c Cross-border c Foreign exchange options Total Of which: With reporting dealers c Local c Cross-border c Total a Trades executed via automated order-matching systems for foreign exchange dealers b Electronic trading systems generally geared towards customers. In multi-bank dealing systems, various banks provide liquidity to the system, whereas on singlebank proprietary platforms, the primary liquidity provider is a single bank. c No reporting dealer data by definition.

11 Table 10: Geographical distribution of global foreign exchange market turnover a Daily averages in billions of U.S. dollars and percent shares Country April 2004 April 2007 April 2010 Per cent growth Amount % Share Amount % Share Amount % Share 2010/2007 Canada United Kingdom United States Japan Singapore Switzerland Hong Kong Australia France Denmark Germany Sweden Korea Russia Belgium Luxembourg Finland Italy Spain India Norway Austria Netherlands Mexico Other countries Total 2, , Source: Bank for International Settlements, Triennial Central Bank Survey Report on Global Foreign Exchange Market Activity for 2010, December 2010, Table B.8. The data are adjusted for local (but not cross-border) double-counting arising from business between reporting dealers. a Foreign exchange turnover includes spot transactions, outright forwards, foreign exchange swaps, currency swaps and options.

12 Table 11: Currency distribution of global foreign exchange market turnover a Percent shares of average daily turnover Currency April April April April April U.S. dollar Euro German mark b French franc b ECU and other EMS currencies b Japanese yen U.K. pound Australian dollar Swiss franc Canadian dollar Other currencies All currencies c Source: Bank for International Settlements, Triennial Central Bank Survey Report on Global Foreign Exchange Market Activity in 2010, December 2010, Table B.4. The data are adjusted for both local and cross-border double-counting between reporting dealers. a Foreign exchange turnover includes spot transactions, outright forwards, foreign exchange swaps, currency swaps and options. b Calculated from the 1998 BIS survey. Includes only traditional foreign exchange products (which excludes currency swaps and options). c Since every foreign exchange transaction involves two currencies, the reporting of all currencies necessarily sums to 200 per cent.

13 Table 12: Global trading of the Canadian dollar a Percent share of total Country April April April April April April Canada United Kingdom United States Singapore Switzerland Japan Australia France Hong Kong Germany Denmark Other Total Source: Calculated from Bank for International Settlements, Triennial Central Bank Surveys, various reports. Data are adjusted for local inter-dealer double-counting. a April 2010 includes all five foreign exchange products. Prior years are based on the three traditional foreign exchange products.

14 Table 13: Total turnover of single-currency interest rate derivatives in Canada Millions of U.S. dollars per month Instrument and Canadian dollar U.S. dollar All other currencies All currencies counterparty April April Per cent April April Per cent April April Per cent April April Per cent growth growth growth growth Forward-rate agreements 11, , ,093 21, ,308 13, , , Reporting dealers 4,816 96, ,501 12, ,637 4, , , Financial customers 5,282 6, ,658 8, ,456 9, ,396 23, Non-financial customers 1, , , Interest rate swaps 143, , , , , , , , Reporting dealers 98, , , , ,018 96, , , Financial customers 19,336 76, ,845 17, ,284 16, , , Non-financial customers 24,976 36, ,422 5, ,261 15, ,659 57, OTC options 44,945 5, ,484 5, , ,323 12, Reporting dealers 24,482 2, ,731 3, ,378 7, Financial customers 14, , , ,307 1, Non-financial customers 5,525 2, ,928 1, ,638 3, Total reporting dealers 128, , , , , , , , Total customers 71, , ,612 33, ,945 41, , , Financial 39,556 82, ,328 26, ,284 25, , , Non-financial 31,827 38, ,284 7, ,661 15, ,772 61, Local 85, , ,533 22, , , , Cross-border 113, , , , , , , , Total turnover 199, , , , , , , ,

15 Table 14: Geographical distribution of global interest rate derivatives turnover a Daily averages in billions of U.S. dollars and percent shares Country April 2004 April 2007 April 2010 Per cent growth Amount % Share Amount % Share Amount % Share 2010/2007 Canada United Kingdom , United States France Japan Switzerland Netherlands Germany Australia Singapore Spain Italy Belgium Austria Other Countries Total , , Source: Bank for International Settlements, Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2010, Final Summary Tables. The data are adjusted for local (but not cross-border) double counting arising from business between reporting dealers. a Interest rate derivatives include forward rate agreements, interest rate swaps and options.

16 Table 15: OTC derivatives reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Instrument Principal amounts outstanding Gross markets values End-June End-June End-June End-June Foreign exchange derivatives Outright forwards & FX swaps 1, ,835.3 Currency swaps Options Total 2, , Interest rate derivatives FRAs ,228.9 Swaps 5, ,776.9 Options Total 6, , Equity and stock index derivatives Forwards and swaps Options Total Commodity and precious metal derivatives (excluding Gold) Credit derivatives Other derivatives Total derivatives 9, , Not adjusted for inter-dealer double-counting.

17 Table 16: Foreign exchange derivatives reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Principal amounts outstanding Currency Outright forwards and FX swaps Currency swaps OTC options Total Gross market values Canadian dollar , U.S. dollar 1, , Euro Japanese yen U.K. pound Swiss franc Other By maturity: Total 2 1, , Up to 1 year 1, ,908.9 Over 1 year to 5 years Over 5 years Not adjusted for inter-dealer double-counting. 2 Each foreign exchange contract was reported twice, according to the currencies making up the two "legs" of the contract. The totals were halved to correct for this double-counting.

18 Table 17: Single-currency interest rate derivatives reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Principal amounts outstanding Currency Forward rate agreements Interest rate swaps OTC options Total Gross market values Canadian dollar , , U.S. dollar , , Euro , Japanese yen U.K. pound Swiss franc Other By maturity: Total 1, , , Up to 1 year 3, ,821.3 Over 1 year to 5 years 3, ,050.0 Over 5 years 1, , Not adjusted for inter-dealer double-counting.

19 Table 18: Equity and stock index derivatives reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Nationality of issuer Principal amounts outstanding Forwards OTC and swaps options Total Gross market values Canadian American (U.S.) European Japanese Other By maturity: Total Up to 1 year Over 1 year to 5 years Over 5 years Not adjusted for inter-dealer double-counting.

20 Table 19: All other derivatives reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Principal amounts outstanding Instrument Forwards and swaps OTC options Total Gross market values Commodities and precious metals (excluding Gold) Credit Other Not adjusted for inter-dealer double-counting.

21 Table 20: Credit default swaps reported by Canadian financial institutions Principal amounts outstanding and gross market values as at June 30, Billions of U.S. dollars Instrument Principal Amounts Oustanding Total Sovereign Non-Sovereign Gross market values Bought Sold Bought Sold Bought Sold Single - name With reporting dealers With central counterparties With other financial institutions With non-financial customers Total Multi - name 2 With reporting dealers With central counterparties With other financial institutions With non-financial customers Total Total CDS Not adjusted for inter-dealer double-counting. 2 A breakdown of multi-name instruments into sovereign and non-sovereign was not requested in the triennial survey.