September 29, 2004
Bank of Japan
Financial Markets Department
- Click on deri0404.zip (114KB[MS-Word, MS-Excel]) to download the full text.
I. Outline of Survey
In April 2004, the Bank of Japan conducted the triennial turnover survey for foreign exchange and OTC derivatives market activity. This survey is a part of the triennial central bank survey, coordinated by the Bank for International Settlements (BIS).1
The Bank of Japan obtained data from 88 financial institutions; consisting of 52 Japanese banks, 27 foreign banks, 4 Japanese securities houses, and 5 foreign securities houses.2
In this survey, foreign exchange activities are classified into 3 instrument types, and derivatives activities are classified into 5 types.3 They are further broken down by currency or currency pairs, category of counterparties, and location of counterparties (local or cross-border).
Simultaneously with the release of national data by participating central banks, the preliminary global results will be released by the BIS, aggregated from data collected from participating central banks and monetary authorities. Preliminary global results are available through the BIS internet link at http://www.bis.org/publ/rpfx04.htm (Link to an external website).
- This coordinated survey by BIS started in 1986 for foreign exchange activity, and in 1995 for derivatives activity.
- The survey in April 2004 was conducted by central banks and monetary authorities of 52 countries and regions with data from approximately 1,200 reporting institutions in total. Participating countries and regions are listed in Annex 2.
- Classification of market activities for this survey are as follows. Foreign exchange market activities include spot transactions, outright forwards, and foreign exchange swaps. OTC derivatives market activities include currency swaps and currency options as foreign exchange-related derivatives, and FRAs, interest rate swaps, and interest rate options as single-currency interest rate-related derivatives.
II. Survey Results
A brief summary of national results for the survey in April 2004 appears below.
A. Foreign Exchange Market Activity: Total of spot, outright forwards, and foreign exchange swaps
- (1) Average daily turnover in the foreign exchange market in Japan during April 2004 was US$198.9 billion, 35.5 percent higher than the figures in April 2001 which were US$146.8 billion (Annex 1, Table 1). However, Japan's share in the global market declined to 8.3 percent from 9.1 percent in the previous survey (Annex 3).
- (2) By type of counterparty, customer transactions grew by 156.3 percent from the previous survey (Table 1). By type of instrument, spot transactions increased by 44.1 percent, and foreign exchange swaps increased by 38.0 percent (Table 2).
- (3) Transactions by foreign financial institutions showed an increase of 42.7 percent from the previous survey. Thus, the share of total turnover in the foreign exchange market held by foreign financial institutions continued its upward trend increasing to 71.1 percent from 67.5 percent in the previous survey (Table 3).
- (4) The share of currency pairs other than US dollar/Yen, Euro/US dollar, and Euro/Yen increased to 20.8 percent from 13.4 percent in the previous survey (Table 4).
- (5) In terms of turnover, the aggregated share of both top 10 and top 20 institutions increased (Table 6).
B. OTC Derivatives Market Activity: Total of currency swaps, currency options, FRAs, interest rate swaps, and interest rate options
- (1) Average daily turnover of derivatives contracts (i.e., single-currency interest rate-related and foreign exchange-related derivative contracts) in Japan in April 2004 was US$39.4 billion, an increase of 81.8 percent from the previous survey (Table 7), supported by an increase of single-currency interest rate-related derivative contracts (96.1 percent rise from the previous survey). However, Japan's share in the global market declined to 2.6 percent from 2.9 percent in the previous survey (Annex 3).
- (2) Of the single-currency interest rate-related derivatives, interest rate swaps and interest rate options grew by 75.2 percent and 301.3 percent, respectively (Table 7).
- (3) Turnover of transactions by foreign financial institutions grew by 187.5 percent. In contrast to the 2001 survey, the share of derivatives contract turnover by foreign financial institutions at 50.6 percent exceeds that of Japanese financial institutions at 49.4 percent (Table 10).
- (4) By type of counterparty, customer transactions increased by 201.3 percent (Table 11).
- (5) The aggregate share of both top 10 and top 20 institutions in terms of amount of derivatives transactions show increases (Table 12).
A. Tables on Foreign Exchange Market Activities: Total of spot, outright forwards and foreign exchange swaps1
Table 1 Average Daily Turnover in the Foreign Exchange Market in Japan
Table 2 Breakdown of Inter-dealer and Customer Transactions by Instrument
Table 3 Breakdown of Inter-dealer and Customer Transactions by Reporting Institution
Table 4 Breakdown of Foreign Exchange Market Activity by Currency Pair1
Table 5 Percentage Share of Inter-dealer Transactions through Brokers
Table 6 Concentration of Foreign Exchange Market Activities
B. Tables on OTC Derivatives Market Activity: Total of FRAs, Interest Rate swaps, Interest Rate options, currency swaps, and currency options
Table 7 Average Daily Turnover by Type of Instrument
Table 8 Breakdown of Single-Currency Interest Rate-related Derivatives by Currency
Table 9 Breakdown of Foreign Exchange-related Derivatives by Currency
Table 10 Breakdown of Derivatives by Reporting Institution
Table 11 Breakdown of Derivatives Transactions by Counterparty
Table 12 Concentration of Derivatives Market Activities
List of Participating Countries and Regions (countries and regions participating for the first time in the 2004 Survey are underlined)
Argentina, Australia, Austria, Bahrain, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Latvia, Lithuania, Luxembourg, Malaysia, Mexico, Netherlands, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Russia, Saudi Arabia, Singapore, Slovak Republic, Slovenia, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, United States
Total of 52 countries and regions.
Average Daily Turnover in Major Markets