Media Release 2022 Triennial Central Bank Survey Results for Foreign Exchange and Derivative Markets – Australia

Foreign Exchange Market (Tables 1–4)

Turnover in the Australian foreign exchange (FX) market covers all transactions undertaken by reporting dealers in spot, outright forwards, foreign exchange swaps, currency swaps and currency options with exposure to more than one currency. 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, and on an unconsolidated basis.^[1] The Reserve Bank’s survey for April 2022 covers 23 reporting dealers.^[2]

• In April 2022, foreign exchange turnover averaged US$150 billion per day, compared with US$119 billion per day in April 2019.^[3] This represented a 26 per cent increase in turnover at current exchange rates over the period, which is greater than the 14 per cent increase in global turnover over the same period.^[4] This increase in turnover partly reverses the decline that was observed in the Australian FX market over the period from 2013 to 2019.
• The increase was mainly driven by turnover in FX swaps and outright forwards. This may have partly reflected increased demand for hedging products amid heightened FX volatility around the survey period, associated with uncertainty about the path of future interest rates in major advanced economies, rising commodity prices and geopolitical tensions.
• Turnover in the Australian spot market was little changed between 2019 and 2022. This contrasts with an increase in spot market turnover globally. In the Australian market, the share of spot trades declined to 23 per cent of total turnover, while in the global market the share of spot trades declined to 28 per cent of total turnover.
• Activity in outright forwards in the Australian market increased by 66 per cent, compared with a 17 per cent increase in outright forwards globally. The share of outright forwards increased by 4 percentage points to 17 per cent of Australian turnover. Outright forwards account for a similar share in the global market.
• Turnover in foreign exchange swaps increased by 33 per cent in the Australian market, compared with a 19 per cent increase in global FX swap turnover. Foreign exchange swaps continued to account for the majority of FX turnover in Australia, at 57 per cent of total turnover, and almost 80 per cent of transactions had a duration of less than seven days. In the global market, FX swaps account for around 50 per cent of total turnover.
• Turnover in currency swaps decreased by 28 per cent between April 2019 and April 2022, while turnover in currency options increased by 14 per cent. Both of these instruments continued to account for a relatively small share of turnover in the Australian and global market.
• AUD/USD remains the most traded currency pair in the Australian market, accounting for 41 per cent of total FX turnover. The share of turnover in EUR/USD and USD/JPY increased from the previous survey, and these currency pairs are now the second and third most traded in the Australian market, while the share of NZD/USD turnover has declined since 2019. Turnover in USD/CNY in Australia increased further, albeit from a low base, and the pair now accounts for about 3 per cent of turnover in the Australian market. A similar trend was evident in the global results. The USD/CNY now accounts for around 7 per cent of global turnover and is the fourth most traded currency pair in the global FX market.
• Transactions between reporting dealers and local financial institutions rose by 86 per cent between 2019 and 2022. Their share of total turnover increased 10 percentage points and now accounts for 33 per cent of total turnover in the Australian market. Transactions with overseas financial institutions increased by 7 per cent, and accounted for 63 per cent of Australian turnover. Transactions with non-financial institutions rose by 71 per cent over the three-year period, but these transactions only account for 4 per cent of turnover.

OTC Interest Rate Derivatives (Tables 5–7)

Turnover in OTC interest rate derivatives covers contracts related to an interest-bearing financial instrument with cash flows that are determined by referencing interest rates or another interest rate contract. It includes all transactions undertaken by reporting dealers in single currency forward rate agreements, interest rate swaps and interest rate options.^[5] The Reserve Bank’s survey covers 23 reporting dealers, with transactions recorded based on the location of the sales desk.

• In April 2022, OTC interest rate derivatives turnover in Australia averaged US$113 billion per day, compared with US$97 billion per day in 2019. This represents an increase of 16 per cent at current exchange rates.
• Turnover in interest rate swaps in Australia increased by 34 per cent over the period, and accounts for almost all turnover in OTC interest rate derivatives. Around half of the average daily turnover of interest rate swaps in the Australian market reflected turnover in overnight indexed swaps (OIS).
• Turnover in forward rate agreements in Australia decreased significantly, following a sharp increase in 2019. This was consistent with the global results.
• Transactions between Australian reporting dealers and local financial institutions increased by 29 per cent to US$24 billion per day. Transactions with overseas financial institutions increased by 13 per cent over the period and their share of OTC interest rate derivatives turnover decreased by 2 percentage points to 78 per cent. By contrast, transactions with non-financial institutions increased, but only accounted 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 42 per cent. Turnover also increased sharply in instruments denominated in British pounds and the euro.

Table 4: Australian Foreign Exchange Market Turnover by Maturity^(a)(b)(c)(d)

Daily average turnover, US$ billion

Instrument	April 2013		April 2016		April 2019		April 2022
	Amount	Share	Amount	Share	Amount	Share	Amount	Share
Outright Forwards
Up to 7 days	4.8	40.3	2.3	23.6	7.0	30.0	10.4	40.5
One day	−-	−-	−-	−-	−-	−-	3.8	14.8
Over 1 day up to 7 days	−-	−-	−-	−-	−-	−-	6.6	25.7
Over 7 days and up to 1 year	7.0	58.8	7.3	74.4	-	-	-	-
Over 7 days and up to 1 month	−-	−-	−-	−-	5.2	22.0	4.5	17.5
Over 1 month and up to 3 months	−-	−-	−-	−-	7.1	30.1	7.1	27.5
Over 3 months and up to 6 months	−-	−-	−-	−-	3.0	12.6	2.5	9.6
Over 1 year	0.1	0.9	0.2	2.0	-	-	-	-
Over 6 months	−-	−-	−-	−-	1.3	5.3	1.2	4.8
FX Swaps
Up to 7 days	103.5	80.0	78.1	83.8	59.0	62.6	84.8	78.9
One day	−-	−-	−-	−-	−-	−-	35.8	33.4
Over 1 day up to 7 days	−-	−-	−-	−-	−-	−-	48.9	45.6
Over 7 days and up to 1 year	25.3	19.6	12.9	13.9	-	-	-	-
Over 7 days and up to 1 month	-	-	-	-	10.1	10.8	7.2	6.7
Over 1 month and up to 3 months	-	-	-	-	16.3	17.4	8.8	8.2
Over 3 months and up to 6 months	-	-	-	-	6.1	6.5	4.1	3.8
Over 1 year	0.5	0.4	2.1	2.3	-	-	-	-
Over 6 months	−-	−-	−-	−-	2.6	2.7	2.5	2.4
Currency Swaps
Up to 7 days	0.3	6.3	0.0	0.4	0.7	8.6	0.0	1.1
One day	−-	−-	−-	−-	−-	−-	0.0	0.0
Over 1 day up to 7 days	−-	−-	−-	−-	−-	−-	0.0	1.1
Over 7 days and up to 1 year	1.8	35.2	0.9	23.2	-	-	-	-
Over 7 days and up to 1 month	−-	−-	−-	−-	0.0	0.0	0.3	8.0
Over 1 month and up to 3 months	−-	−-	−-	−-	1.0	12.8	0.9	24.4
Over 3 months and up to 6 months	−-	−-	−-	−-	1.0	12.9	0.3	9.0
Over 1 year	3.0	58.5	3.1	76.4	-	-	-	-
Over 6 months	−-	−-	−-	−-	5.2	65.7	2.2	57.6
Currency Options
Up to 7 days	1.0	36.2	0.2	23.3	0.3	10.3	0.2	12.5
One day	−-	−-	−-	−-	−-	−-	0.0	1.0
Over 1 day up to 7 days	−-	−-	−-	−-	−-	−-	0.2	11.5
Over 7 days and up to 1 year	1.7	60.8	0.7	70.0	-	-	-	-
Over 7 days and up to 1 month	−-	−-	−-	−-	0.6	20.8	0.4	21.7
Over 1 month and up to 3 months	−-	−-	−-	−-	1.0	37.1	0.6	30.1
Over 3 months and up to 6 months	−-	−-	−-	−-	0.3	9.1	0.3	17.1
Over 1 year	0.1	2.9	0.1	6.6	-	-	-	-
Over 6 months	-	-	-	-	0.6	22.7	0.4	18.5
Data for maturity breakdown cannot be adjusted for local reporting dealers, so maturity values will not be equal to product totals (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 (d) 2022 survey distinguished for the first time between one day and over one day and up to seven day maturities