Media Release 2013 BIS Triennial Survey Results – Australia

Foreign Exchange Market (Tables 1 – 4)

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] Transactions are recorded as ‘Australian’ if the sales desk involved in the trade is located in Australia, regardless of where the trade is subsequently booked.^[2] Similarly, deals struck by an overseas sales desk but ‘booked’ in Australia are not included in the Australian data. The RBA survey covers 25 reporting dealers.

• In April 2013, foreign exchange turnover averaged US$182 billion per day, compared with US$192 billion per day in April 2010. This represents a decrease of 5 per cent at current exchange rates, and 16 per cent at constant exchange rates.
• Turnover in the Australian spot market decreased by 21 per cent between 2010 and 2013, in contrast to the global results which show a 38 per cent increase. Activity in the Australian outright forwards market increased by 44 per cent, broadly in line with the global results.
• Turnover in foreign exchange swaps decreased by 2 per cent in the Australian market, in contrast to the global results which show a 27 per cent increase. Foreign exchange swaps accounted for 63 per cent of total foreign exchange turnover in Australia in April 2013.
• Turnover in currency swaps was broadly unchanged between April 2010 and April 2013, while turnover in currency options increased by 40 per cent. Both of these instruments continue to account for a small share of turnover in the Australian market.
• AUD/USD remains the most traded currency pair in the Australian market, accounting for 44 per cent of total foreign exchange turnover in April 2013. This represents a higher share than at the time of the previous survey, but is broadly in line with the average since the survey commenced in 1989. Consistent with the global results, the share of turnover in USD/JPY increased over the three-year period, resulting in USD/JPY replacing EUR/USD as the second most traded currency pair in the Australian market.
• Transactions between reporting dealers and local financial institutions decreased by 9 per cent between 2010 and 2013, and now account for 18 per cent of total turnover in the Australian market. Transactions with overseas financial institutions fell by 4 per cent, but continue to account for around 75 per cent of turnover. A more detailed breakdown of turnover with financial institutions was collected in the 2013 survey, revealing that around 80 per cent of turnover in the Australian market is either between reporting dealers or with non-reporting banks, with institutional investors accounting for a further 6 per cent. Transactions with non-financial institutions declined by 17 per cent over the three-year period.
• Electronic methods were the most popular means of FX trading in Australia in April 2013, with 62 per cent of total turnover executed in this manner and the remaining turnover executed using ‘voice’ methods.

Footnotes

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

In cases where no sales desk is involved, the location of the transaction is determined based on the location of the trading desk. [2]

OTC Interest Rate Derivatives (Tables 5 and 6)

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. The RBA survey covers 25 reporting dealers, with transactions recorded based on the location of the sales desk.

• In April 2013, interest rate derivatives turnover in Australia averaged US$66 billion per day, compared with US$41 billion per day in 2010. This represents an increase of 63 per cent at current exchange rates, compared with a more modest 14 per cent increase in global turnover over the same period. At constant exchange rates, turnover in the Australian OTC interest rate derivatives market increased by 45 per cent.
• Turnover in forward rate agreements in Australia rose by 170 per cent over the period, while turnover in interest rate swaps rose by 39 per cent. Interest rate swaps account for 71 per cent of all turnover in OTC interest rate derivatives.
• Interest rate derivative transactions between Australian reporting dealers and overseas financial institutions increased by 69 per cent over the period to US$45 billion per day, and now account for 68 per cent of all turnover in OTC interest rate derivatives. Transactions with local financial institutions increased by 73 per cent to US$17 billion per day, while transactions with non-financial institutions decreased by 9 per cent to US$4 billion per day.