2010 BIS Triennial Survey Results – Australia

Foreign Exchange Market (Tables 1, 2 and 3)

Turnover in the foreign exchange market in Australia covers all transactions undertaken by reporting dealers in spot, outright foreign exchange forwards, foreign exchange swaps, currency swaps and currency options.^[1]

• In April 2010, foreign exchange turnover averaged US$192 billion per day compared with US$171 billion per day in April 2007. This represents an increase of 12 per cent at current exchange rates. Turnover was unchanged at constant exchange rates.
• Turnover in the spot market grew by 35 per cent between 2007 and 2010. In contrast, activity in the outright forwards market decreased by 35 per cent.
• Turnover in foreign exchange swaps increased by 10 per cent in the Australian market, in contrast to the aggregate results which show that global foreign exchange swap turnover was broadly flat. Foreign exchange swaps currently account for 61 per cent of total foreign exchange turnover in Australia.
• Turnover in currency swaps almost doubled between April 2007 and April 2010, while turnover in currency options more than halved.
• The AUD/USD is the most traded currency pair in the Australian market, accounting for 39 per cent of total foreign exchange turnover. However, this represents a lower share than at the time of the previous survey. EUR/USD is the second most traded pair in the Australian market and has increased as a share of total turnover to 20 per cent in 2010. Transactions in USD/JPY and GBP/USD increased as a share of total turnover, while the share of transactions in NZD/USD and USD/CHF declined.
• Transactions between reporting dealers and local financial institutions decreased by 25 per cent between 2007 and 2010, and now account for just 19 per cent of total turnover in the Australian market. In contrast, transactions with overseas financial institutions, which now account for almost 75 per cent of turnover, rose by 31 per cent. Transactions with non-financial institutions declined by 5 per cent.

Footnote

Note that only one leg of a swap contract is recorded to avoid double counting the transaction. [1]

OTC Interest Rate Derivatives (Tables 4 and 5)

Turnover in OTC interest rate derivatives covers all transactions undertaken by reporting dealers in single currency forward rate agreements, interest rate swaps and interest rate options.

• In April 2010, interest rate derivatives turnover in Australia averaged US$41 billion per day, compared with US$23 billion per day in 2007. This is an increase of 79 per cent at current exchange rates. At constant exchange rates turnover in OTC interest rate derivatives increased by 60 per cent.
• Within this category, turnover in interest rate swaps grew by 89 per cent over the period while turnover in forward rate agreements grew by 87 per cent.
• Interest rate derivative transactions between reporting dealers and overseas financial institutions increased by 71 per cent over the period to US$27 billion per day, and now account for 66 per cent of all turnover in OTC interest rate derivatives. Transactions with local financial institutions increased by 133 per cent to US$10 billion per day, while transactions with non-financial institutions increased by 38 per cent.