Media Release 2016 BIS Triennial Survey Results – Australia

Foreign Exchange Market (Tables 1–3)

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] 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 Reserve Bank's survey for April 2016 covers 24 reporting dealers.

• In April 2016, foreign exchange turnover averaged US$135 billion per day, compared with US$182 billion per day in April 2013. This represents a decrease of around 25 per cent at current exchange rates; however, turnover is little changed at constant exchange rates.
• Turnover in the Australian spot market decreased by 34 per cent between 2013 and 2016, compared with a 19 per cent decline in global spot market turnover. Activity in the Australian outright forwards market decreased by 16 per cent, in contrast to the global results which show an increase of 3 per cent.
• Turnover in foreign exchange swaps decreased by 23 per cent in the Australian market, in contrast to the global results which show a 6 per cent increase. Foreign exchange swaps accounted for 66 per cent of total foreign exchange turnover in Australia in April 2016.
• Turnover in currency swaps declined by 27 per cent between April 2013 and April 2016, while turnover in currency options decreased by 62 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 41 per cent of total foreign exchange turnover in April 2016, which is a 3 percentage point decrease from its share at the time of the previous survey. In contrast to the global results, the share of turnover in EUR/USD increased over the three-year period and became the second most traded currency pair in the Australian market.
• Transactions between reporting dealers and local financial institutions decreased by 22 per cent between 2013 and 2016, and account for 19 per cent of total turnover in the Australian market. Transactions with overseas financial institutions fell by 24 per cent, and their share of total turnover increased by 1½ percentage points to account for 77 per cent of turnover. Transactions with non-financial institutions declined by 55 per cent over the three-year period, but these transactions only account for around 4 per cent of turnover.

OTC Interest Rate Derivatives (Tables 4–6)

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 Reserve Bank's survey covers 24 reporting dealers, with transactions recorded based on the location of the sales desk.

• In April 2016, OTC interest rate derivatives turnover in Australia averaged US$49 billion per day, compared with US$66 billion per day in 2013. This represents a decrease of 26 per cent at current exchange rates; in contrast, global turnover in OTC interest rate derivatives increased by 15 per cent over the same period. At constant exchange rates, turnover in the Australian OTC interest rate derivatives market is little changed from 2013.
• Turnover in forward rate agreements in Australia declined by around 75 per cent over the period, following a sharp increase between 2010 and 2013. Turnover in interest rate swaps decreased by 7 per cent, and accounts for 88 per cent of all turnover in OTC interest rate derivatives.
• Transactions between Australian reporting dealers and overseas financial institutions decreased by 21 per cent over the period to US$36 billion per day, however their share of OTC interest rate derivatives turnover increased by 4 percentage points to 72 per cent. Transactions with local financial institutions decreased by 30 per cent to US$12 billion per day, while transactions with non-financial institutions decreased by around 60 per cent, but only account for a small share of OTC interest rate derivatives turnover.
• Turnover of Australian dollar-denominated instruments, which represent the bulk of the Australian OTC interest rate derivatives market, declined by 28 per cent. Turnover of US dollar-denominated instruments fell by 25 per cent, while turnover of instruments denominated in ‘other’ currencies increased.