Central Bank Survey of Foreign Exchange and Derivatives Market Activity in April 2007: Turnover Data, Japan
September 26, 2007
Bank of Japan
Financial Markets Department
I. Outline of Survey
In April 2007, 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 45 financial institutions; consisting of 19 Japanese banks, 17 foreign banks, 3 Japanese securities houses, and 6 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).
The preliminary global results, aggregated from data collected from participating central banks and monetary authorities, are released by the BIS. The preliminary global results are available at the BIS website (http://www.bis.org/triennial.htm (Link to an external website)).
- The BIS started global surveys in 1989 for foreign exchange activity, and in 1995 for derivatives activity.
- The survey in April 2007 was conducted by central banks and monetary authorities of 54 countries and regions with data from approximately 1,300 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 Results4
A. Foreign Exchange Market Activity: Total of spot, outright forwards, and foreign exchange swaps
- (1) Average daily turnover of the foreign exchange market in Japan during April 2007 was US$238.4 billion and increased by 19.9 percent from the previous survey (Annex 1, Table 1). However, Japan's share in the global market declined to 6.0 percent from 8.3 percent in the previous survey (Annex 3).
- (2) By type of counterparty, inter-dealer transactions increased by 27.8 percent (Table 1). By type of instrument, spot transactions marked increase of 90.6 percent (Table 2).
- (3) Transactions by foreign financial institutions decelerated from the previous survey. The share of total turnover in the foreign exchange market held by domestic financial institutions rose to 32.9 percent from 28.9 percent in the previous survey (Table 3).
- (4) The share of currency pairs other than US dollar/Yen, Euro/US dollar, and Euro/Yen rose to 25.1 percent from 20.8 percent in the previous survey (Table 4). Among them, transactions related to Hong Kong Dollar and New Zealand Dollar increased markedly.
- (5) In terms of turnover, the aggregated share of both top 10 and top 20 institutions rose (Table 5).
- 4 It should be noted that intertemporal comparisons are complicated by changes in coverage and definition and the movement of exchange rates over the three-year periods.
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 2007 was US$88.2 billion, an increase of 124.0 percent from the previous survey (Table 6), supported by an increase of single-currency interest rate transactions. Japan's share in the global market rose to 3.5 percent from 2.6 percent in the previous survey (Annex 3).
- (2) Of the single-currency interest rate transactions, interest rate swaps and interest rate options increased by 123.1 percent and 180.6 percent, respectively (Table 6).
- (3) Turnover of transactions by foreign financial institutions increased by 203.3 percent from the previous survey (Table 9). The share of total turnover in the foreign exchange market held by foreign financial institutions rose to 68.5 percent from 50.6 percent in the pervious survey (Table 9).
- (4) By type of counterparty, cross-border transactions increased by 185.0 percent from the previous survey (Table 10).
- (5) The aggregated share of both top 10 and top 20 institutions in terms of amount of derivatives transactions rose from the previous survey (Table 11).
A. Tables on Foreign Exchange Market Activities: Total of spot, outright forwards and foreign exchange swaps
B. Tables on OTC Derivatives Market Activity: Total of FRAs, Interest Rate swaps, Interest Rate options, currency swaps, and currency options