Media Release 2019 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 2019 covers 22 reporting dealers.

• In April 2019, foreign exchange turnover averaged US$119 billion per day, compared with US$121 billion per day in April 2016. Turnover is little changed over this period at current exchange rates; however, this represents a 6 per cent increase at constant exchange rates.
• Turnover in the Australian spot market increased by 24 per cent between 2016 and 2019, consistent with a 20 percent increase in global spot market turnover. Activity in the Australian outright forwards market increased by 57 per cent, somewhat higher than the global results which show an increase of 43 per cent.
• Turnover in foreign exchange swaps decreased by 19 per cent in the Australian market. This contrasts with a 34 per cent increase in global swap turnover. Foreign exchange swaps accounted for 55 per cent of total foreign exchange turnover in Australia in April 2019, decreasing from two-thirds in April 2016.
• Turnover in currency swaps increased by 28 per cent between April 2016 and April 2019, while turnover in currency options increased by 58 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 2019. The share of turnover in EUR/USD and USD/JPY decreased over the three-year period, while the share of turnover in NZD/USD increased to become the second most traded currency pair. Turnover in USD/CNY in Australia has continued to increase, albeit from a low base, with the pair now accounting for about 2 per cent of turnover in the Australian market.
• Transactions between reporting dealers and local financial institutions rose by 13 per cent between 2019 and 2016, and their share of total turnover increased by 3 percentage points to account for 22 per cent of total turnover in the Australian market. Transactions with overseas financial institutions decreased by 5 per cent, but continue to account for 75 per cent of turnover. Transactions with non-financial institutions fell by 22 per cent over the three-year period, but these transactions only account for around 3 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 2019 survey distinguished for the first time between overnight index swaps (OIS) and other interest rate swaps. The Reserve Bank's survey covers 23 reporting dealers, with transactions recorded based on the location of the sales desk.

• In April 2019, OTC interest rate derivatives turnover in Australia averaged US$97 billion per day, compared with US$56 billion per day in 2016. This represents an increase of 72 per cent at current exchange rates, or 85 per cent at constant exchange rates. Global turnover in OTC interest rate derivatives increased even more sharply, rising by more than 140 per cent. This appears to have been driven by increased hedging and positioning amid shifting prospects for growth and monetary policy, an increase in turnover of shorter-term contracts (which are rolled over more often), as well as more comprehensive reporting of related party trades than in previous surveys.
• Turnover in interest rate swaps in Australia increased by 63 per cent over the period, and accounts for 86 per cent of all turnover in OTC interest rate derivatives. More than half of the average daily turnover of all interest rate swaps was due to turnover in OIS. Turnover in forward rate agreements in Australia increased by 182 per cent, following a sharp decrease between 2013 and 2016.
• Transactions between Australian reporting dealers and overseas financial institutions increased by 87 per cent over the period to US$78 billion per day, and their share of OTC interest rate derivatives turnover increased by 6 percentage points to 80 per cent. Transactions with local financial institutions increased by 39 per cent to US$18 billion per day. In contrast, transactions with non-financial institutions decreased, 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, increased by 44 per cent. Turnover also increased sharply in instruments denominated in US dollars, New Zealand dollars and euro.

Endnotes

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]