September 1, 2010
Financial Markets Department
Bank of Japan
I. Outline of Survey
In April 2010, the Bank of Japan conducted the triennial turnover survey for foreign exchange and OTC derivatives market activity. This survey is a part of the triennial central bank survey, coordinated by the Bank for International Settlements (BIS).1
The Bank of Japan obtained data from 45 financial institutions; consisting of 20 Japanese banks, 17 foreign banks, 3 Japanese securities houses, and 5 foreign securities houses.2
In this survey, foreign exchange activities are classified into 3 instrument types, and derivatives activities are classified into 5 types.3 They are further broken down by currency or currency pairs, category of counterparties, and location of counterparties (local or cross-border).
The preliminary global results, aggregated from data collected from participating central banks and monetary authorities, are released by the BIS4. The preliminary global results are available at the BIS website (http://www.bis.org/statistics/index.htm).
- The BIS started global surveys in 1989 for foreign exchange activity, and in 1995 for derivatives activity.
- The survey in April 2010 was conducted by central banks and monetary authorities of 53 countries and regions with data from approximately 1,300 reporting institutions in total. Participating countries and regions are listed in Annex 2.
- Classification of market activities in this article are as follows. Foreign exchange market activities include spot transactions, outright forwards, and foreign exchange swaps. OTC derivatives market activities include currency swaps and currency options as foreign exchange-related derivatives, and FRAs, interest rate swaps, and interest rate options as single-currency interest rate-related derivatives.
- In the April 2010 Triennial Central Bank Survey published by the BIS, currency swaps and currency options are included in foreign exchange market activities.
II. Survey Results5
A. Foreign Exchange Market Activity: Total of spot, outright forwards, and foreign exchange swaps
- (1) Average daily turnover of the foreign exchange market in Japan during April 2010 6 was US$301.3 billion and increased by 26.4 percent
from the previous survey (Annex 1, Table 1).
- (2) By type of counterparty, customer transactions marked increase of 86.8 percent (Table 1). By type of instrument, foreign exchange swaps transactions increased by 50.4 percent in total (Table 2).
- (3) Transactions by foreign financial institutions accelerated from the previous survey, and the pace of increase exceeded that of Japanese financial institutions. The share of total turnover in the foreign exchange market held by foreign financial institutions rose to 69.8 percent from 67.1 percent in the previous survey (Table 3).
- (4) The share of currency pairs of US dollar/Yen and Euro/Yen rose by 4.0 percentage points and 2.7 percentage points, respectively, from the previous survey, although the share of currency pairs of Euro/US dollar and Others dropped by 1.3 percentage points and 5.4 percentage points, respectively (Table 4).
- (5) In terms of turnover, the aggregated share of both top 10 and top 20 institutions rose (Table 5).
B. OTC Derivatives Market Activity: Total of currency swaps, currency options, FRAs, interest rate swaps, and interest rate options
- (1) Average daily turnover of derivatives contracts in Japan7 during April 2010 was US$100.9 billion, an increase of 14.5 percent from the previous survey (Table 6), supported by an increase of single-currency interest rate transactions.
- (2) Interest rate swaps continued to increase by 67.7 percent from the previous survey, although FRAs and interest rate options decreased by 42.7 percent and 76.3 percent, respectively. Currency swaps increased by 115.7 percent from the previous survey (Table 6).
- (3) The share of yen-linked interest rate-related derivative transactions rose by 6.5 percentage points from previous survey (Table 7). Also, the share of yen-linked foreign exchange-related derivative transaction rose by 7.5 percentage points (Table 8).
- (4) Turnover of transactions by Japanese financial institutions increased by 125.7 percent from the previous survey, mainly due to the increase of single-currency interest rate transactions. On the other hand, turnover of transactions by foreign financial institutions decreased by 36.6 percent (Table 9).
- (5) By type of counterparty, the share of inter-dealer transactions increased by 42.4 percent from the previous survey. However, customer transactions decreased by 37.8 percent from the previous survey (Table 10).
- (6) The aggregated share of both top 10 and top 20 institutions in terms of amount of derivatives transactions continued to rise from the previous survey (Table 11).
- 5It should be noted that intertemporal comparisons are complicated by changes in coverage and definition and the movement of exchange rates over the three-year periods.
- 6Japan's share of foreign exchange market activity, including currency swaps and currency options, in the global market was 6.2 percent (Annex 3).
- 7Japan's share of OTC derivatives market activity, excluding currency swaps and currency options, in the global market was 3.3 percent (Annex 3).
A. Tables on Foreign Exchange Market Activities: Total of spot, outright forwards and foreign exchange swaps
B. Tables on OTC Derivatives Market Activity: Total of FRAs, Interest Rate swaps, Interest Rate options, currency swaps, and currency options