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Foreign Exchange and Derivatives Markets Turnover Survey (April 1998)*

September 30, 1998
Bank of Japan
International Department
Financial Markets Department

  • Click on deri9804.zip (45KB[MS-Word, MS-Excel]) to download the full text.

(Outline of Survey)

In April 1998, the Bank of Japan conducted the Foreign Exchange and Derivatives Markets Turnover Survey. This survey is conducted once in every three years by the central banks or monetary authorities of participating countries and regions, and is coordinated by the Bank for International Settlements(BIS)1.

The survey in April 1998 was conducted by the central banks or monetary authorities of 43 countries and regions, which collected the data from approximately 3,200 reporting institutions in total2.

The Bank of Japan obtained the data from 255 Japanese banks, 101 foreign banks, 3 Japanese securities companies, 6 foreign securities companies, and 10 FX brokers3.

The BIS will aggregate and publish the data collected from participating central banks or monetary authorities on a global basis.

In this survey, the foreign exchange transactions are classified into 3 instrument types, and derivatives activities are classified into 5 instrument types4. Transactions of each type of instrument are further broken down by currency or currency pairs, category of counterparties, and location of counterparties (local or cross-border).

The daily volume of turnover is adjusted for the local double counting of transactions between two reporting institutions in Japan. Meanwhile, double counting of cross-border transactions between two reporting institutions will be adjusted by the BIS. Thus, a simple aggregation of the results of all participating countries and regions will not be equivalent to the global statistics released by the BIS.

  1. The first survey coordinated by BIS started in 1986 for foreign exchange activity, and derivatives section was added to the survey in 1995.
  2. Participating countries and regions are listed on the attached ANNEX 2.
  3. Foreign exchange brokers are to report only foreign exchange transactions (including cross-currency swaps and FX options), and securities companies are to report only derivatives activities.
  4. Classification of transactions

(Foreign exchange activities)
Spot, Outright forwards, Foreign exchange swaps

(Derivatives activities)
Interest rate-related derivatives: FRAs (Forward rate agreements), IR swaps (Interest rate swaps), IR options (Interest rate options)

Foreign exchange-related derivatives: Cross-currency swaps, FX options (Foreign exchange options)

(Survey Results)

The brief results of the survey in April 1998 are as follows.

I. Foreign Exchange Activities: Total of Spot, Outright forwards and Foreign exchange swaps

  1. a) Average daily turnover in the Foreign Exchange Market in Japan during April 1998 was $148.7 billion, 7.9% lower than in April 1995.
  2. b) Foreign banks increased their share (48.6% --> 56.9%), mainly in customer transactions(30.7% --> 64.7%).
  3. c) Yen-related transactions continued to dominate Japanese market, increasing in share to 83.5% from 81.1%.
  4. d) The proportion of transactions through brokers in the inter-dealer trading increased to 36.4% from 27.9%.

II. Derivatives Activities: Total of FRAs, IR swaps, IR options, Cross-currency swaps and FX options*

  • Amount of FX options in April 1995 does not include transactions by securities companies.
  1. a) Average daily turnover of derivatives contracts (i.e., interest rate-related and foreign exchange-related derivatives contracts) in the Japanese market was $42.1 billion in April 1998, an increase of 28.4% from the previous survey.
  2. b) Of the total, $31.6 billion (19.8% increase from the previous survey) was accounted for by interest rate-related derivatives and $10.4 billion (64.1% increase) by foreign exchange-related derivatives.
  3. c) Of the interest rate-related derivatives, turnover of FRAs declined by 57.8% to $1.0 billion, while IR swaps and IR options increased by 37.4% and 15.6%, to reach $17.6 billion and $13.0 billion, respectively. Since the previous survey, cross-currency swaps have increased by 99.7% to reach $1.1 billion, and FX options have grown by 60.6% to reach $9.3 billion.
  4. d) Yen-linked interest rate-related derivatives comprised 81.1% of all interest rate-related derivatives, down by 5.1% points from 86.2% in 1995.
  5. e) Yen/Dollar transactions amounted to 91.9% of all foreign exchange-related contracts, an increase of 14.9% points from 77.0% three years ago.
  6. f) Breakdown data by reporting dealers show that 40.8% of total turnover was accounted for by Japanese financial institutions, whereas 59.2% was accounted for by foreign financial institutions operating in Japan. These shares were 57.6% and 42.4% in 1995, respectively.
  7. g) Turnover of interest rate-related transactions by Japanese financial institutions has decreased by 17.8% since 1995, while that of foreign exchange-related contracts has grown by 26.5%. Foreign financial institutions operating in Japan have expanded their contracts by 70.1% for interest rate-related derivatives and 2.18-fold for foreign exchange-related derivatives.
  8. h) Inter-dealer trades amounted to $23.8 billion, a decrease by 7.1% compared to 1995, while transactions with other counterparties increased to $18.3 billion, which translates to a 2.55-fold increase.
  9. i) Domestic transactions were $11.5 billion, 11.7% higher than the previous survey, while cross-border transactions were $30.5 billion (36.1% increase).
  10. j) The largest 10 institutions -in terms of amount of derivative transactions- accounted for 64.6% of total turnover, and the largest 20 institutions accounted for 84.9%. Both figures show an increase of about 10% points compared to the previous survey.

(ANNEX 1)

I. Tables of Foreign Exchange Activities : Total of Spot, Outright forwards and Foreign exchange swaps

(Table 1) Average Daily Turnover in the Tokyo Foreign Exchange Market

(Table 2) Average Daily Turnover of Interbank and Customer Transactions by Type of Contract

(Table 3) Average Daily Turnover of Interbank and Customer Transactions by Japanese and Foreign Banks

(Table 4) Percentage Share by Currency Pair

(Table 5) Percentage Share of the Interbank Transactions through Brokers

II. Tables of Derivatives Activities: Total of FRAs, IR swaps, IR options, Cross-currency swaps and FX options*

  • Amount of FX options in April 1995 does not include transactions by securities companies.

(Table 6) Average Daily Turnover by Type of Transactions

(Table 7) Breakdown of Interest Rate-related Derivatives by Currency

(Table 8) Breakdown of Foreign Exchange-related Derivatives by Currency

(Table 9) Turnover of Derivatives by Reporting Institution

(Table 10) Breakdown of Derivatives Transactions by Counterparty

(Table 11) Concentration of Derivatives Transactions


(ANNEX 2)

List of Participating Countries and Regions (The 26 countries and regions who participated in the previous survey are underlined)

Argentina, Austria, Australia, Bahrain, Belgium, Brazil, Canada, Chile, China, Czech Republic, Denmark, Finland, France, Germany, Greece, Hong Kong, Hungary, India, Indonesia, Ireland, Italy, Japan, Korea, Luxembourg, Malaysia, Mexico, Netherlands, New Zealand, Norway, The Philippines, Poland, Portugal, Russia, Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, United Kingdom, United States,

A total of 43 countries and regions participated.