Media Release 2022 Triennial Central Bank Survey of Foreign Exchange and Derivative Markets

The Reserve Bank of Australia has today released a summary of findings from the latest triennial survey of turnover in foreign exchange (FX) and over-the-counter (OTC) interest rate derivatives markets that was conducted in the Australian market in April 2022.

This was part of a global survey that involved central banks and authorities from 52 jurisdictions and was coordinated by the Bank for International Settlements (BIS) to obtain comprehensive and consistent information on the size and structure of FX and OTC derivatives markets. Similar surveys have been conducted every three years since 1986 for activity in FX markets and since 1995 for OTC interest rate derivatives markets.

Globally, the Australian dollar is the sixth most traded currency, down from fifth in the previous survey; its share of turnover declined slightly to be around 6 per cent. The AUD/USD is the sixth most traded currency pair globally, down from fourth in the previous survey.

Activity in Australia’s FX market has increased since the April 2019 survey. Average daily turnover in Australia’s FX market increased by 26 per cent to US$150 billion in April 2022.^[1] In comparison, global turnover increased by 14 per cent over the same period. Australia’s FX market is now ranked the 11th largest in the world, down from 10th in April 2019.

FX swaps continued to account for the majority of turnover in the Australian FX market, accounting for 57 per cent of total turnover. Spot trades accounted for 23 per cent of turnover, down from 28 per cent in 2019, and outright forwards accounted for 17 per cent of turnover, up 4 percentage points from the previous survey.

Activity in the Australian OTC interest rate derivatives markets increased since the previous survey. Average daily turnover in Australian OTC interest rate derivatives markets increased by 16 per cent compared with three years prior to US$113 billion during April 2022. This reflected an increase in turnover of interest rate swaps. This was is in contrast to the global results where turnover of OTC interest rate derivatives declined over the three year period.

RBA Assistant Governor (Financial Markets) Christopher Kent said, ‘The BIS Triennial Central Bank survey is the most comprehensive source of information on FX and OTC interest rate derivatives markets. The results highlight that the Australian dollar is still one of the most traded currencies in global FX markets. Increased activity in the Australian market was driven by turnover of FX swaps and outright forwards, which are generally used to hedge currency risk. We are pleased to participate in this survey and we thank market participants for their contributions.’

The preliminary results of the global turnover survey are available from the BIS website. The final data and related analysis will be released by the BIS in December 2022. Links to other participating jurisdictions’ results are available from the BIS website. Detailed results for the Australian market are available on the 2022 BIS Triennial Survey Results – Australia page. The BIS will also publish global data on amounts outstanding in OTC derivatives markets in November 2022.

Endnotes

Australian data are reported on a “net-gross” basis, correcting for local inter-dealer double counting only. Global data are reported on a “net-net” basis, correcting for both local and cross-border inter-dealer double counting. [1]