Survey of the OTC Derivatives Market in Australia – May 2009 List of tables

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Table 1: Australian Dollar-denominated OTC Derivatives in International Context

Table 2: Sell-side Banks: Activity in Main OTC Derivatives Products

Table 3: Share of Trade with Overseas-based Counterparties by Value

Table 4: Share of Post-trade Processing Undertaken Overseas

Table 1: Australian Dollar-denominated OTC
Derivatives in International Context Gross notional values outstanding as at December each year (USD billions)
Product 2004 2005 2006 2007 2008 Average
annual
growth
(per cent)
Global foreign
exchange
of which: 		29,289 31,360 40,271 56,238 49,753 16
Australian
dollar 		1,092 1,315 1,502 2,227 1,611 14
Global interest
rate
of which: 		190,502 211,971 291,582 393,138 418,678 23
Australian
dollar 		609 730 1,042 1,701 1,824 33

Note: Currency breakdowns are not available for other OTC derivatives products. The notional value of Australian dollar foreign exchange derivatives comprises all outstanding contracts with one leg referencing Australian dollars. The sum of the individual currency components of the global foreign exchange total in the BIS data is twice the global foreign exchange total, reflecting that for each contract the currency breakdown captures both currency legs.

Source: BIS semi-annual OTC Statistics
Table 2: Sell-side Banks: Activity in Main OTC Derivatives Products
Domestic banks Overseas banks
Number
active(a) 		Median
scale(b) 		Number
large(c) 		Number
active(a) 		Median
scale(b) 		Number
large(c)
IR/CCS 6 >500 6 9 101 – 500 5
OIS/FRA 6 101 – 500 4 8 101 – 500 4
FX 6 >500 6 7 26 – 100 3
Credit 5 26 – 100 0 7 101 – 500 5
Equity 5 101 – 500 3 8 >500 6
Commodities 4 >500 4 4 101 – 500 2

Note: The table presents a summary of Survey responses received from six domestic sell-side banks and nine overseas sell-side banks.
(a) The number of active banks is the number of banks reporting at least one trade per calendar month (pcm);
(b) Respondents were asked to report the average number of trades pcm in each product over the preceding 12-month period. Median scale is the median response across banks active in each product.
(c) Large banks are those reporting more than 100 trades pcm for a given product.

Source: Survey responses
Table 3: Share of Trade with Overseas-based
Counterparties by Value Per cent, average across the most active sell-side participants in each product
Domestic banks Overseas banks
IR/CCS 35 49
OIS/FRA 48 56
Foreign exchange 31 44
Credit na 74
Equity 17 63
Commodities 31 55

Note: Data in the table cover only the most active sell-side participants in each product; ie, those with more than 100 trades per month in the relevant product. Data are presented as simple averages across these participants, computed over a smaller sample where the relevant question was not answered.

Source: Survey responses
Table 4: Share of Post-trade Processing
Undertaken Overseas Per cent, average across the most active sell-side participants in each product
Domestic banks Overseas banks
IR/CCS 7 68
OIS/FRA 0 60
Foreign exchange 4 43
Credit na 77
Equity 0 13
Commodities 3 50

Note: Data in the table cover only the most active sell-side participants in each product; ie, those with more than 100 trades per month in the relevant product. Data are presented as simple averages across these participants, computed over a smaller sample where the relevant question was not answered.

Source: Survey responses