THE FOREIGN EXCHANGE JOINT STANDING COMMITTEE Threadneedle Street London EC2R 8AH

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1 THE FOREIGN EXCHANGE JOINT STANDING COMMITTEE Threadneedle Street London EC2R 8AH In October 2011, 30 financial institutions active in the UK foreign exchange market participated in the fifteenth published semi-annual turnover survey for the Foreign Exchange Joint Standing Committee (JSC). The survey results are summarised below; more detailed tables, including a market share report, for the October 2011 reporting period are available separately. The results of subsequent surveys will continue to be published at six-monthly intervals. The main findings of the survey are: Average daily reported UK foreign exchange turnover 1 was $1,972 billion in October 2011, 3% lower than in April 2011, and 17% higher than a year earlier. The decrease in turnover was driven by a 9% fall in FX swaps activity. Spot turnover rose 2% to a record survey high. Currency swaps saw a large relative increase (+27%), with turnover rising to a record survey high. 1 Spot, outright forwards, non-deliverable forwards, FX swaps, FX options and currency swaps.

2 Tables 1 to 4 below provide various summaries of the average daily data for October 2011, with comparisons to April A more detailed set of results tables for October 2011can be found at A market share table showing market share information by currency pair, product and counterparty type, can be found at Revised data for October 2010 and April have recently been received and updated results tables can be found at Similar semi-annual surveys were also conducted in October 2011 for the North American market by the New York Foreign Exchange Committee; for the Singapore market by the Singapore Foreign Exchange Market Committee; for the Canadian market by the Canadian Foreign Exchange Committee; and for the Australian market by the Australian Foreign Exchange Committee. The results of these surveys can be found at: respectively. 2 Due to improvements in some participants reporting procedures, revisions have been made to previous data.

3 Notes for editors 1. The JSC is a market liaison group, established in 1973 by the banks and brokers of the London FX market, as a forum to discuss topical issues and matters of common interest. The Bank of England chairs the Committee, which comprises senior staff from many of the major banks operating in the London foreign exchange market and representatives from brokers, corporate users of the foreign exchange market and the FSA. 2. Whilst the data presented here is of a similar nature to that collected by the BIS triennial survey, it is more frequent and there is one difference in the reporting methodology: the basis of reporting for the FXJSC survey is the location of the price-setting dealer 3, whereas the basis of reporting in the BIS triennial survey is the location of the sales desk. 3. Figures from the April 2010 FXJSC survey when compared to the April 2010 BIS triennial survey indicate that despite differences in definition and institutional coverage, the two surveys are broadly comparable Global and UK results for the April 2010 BIS triennial survey can be found at: 5. The results of this survey are also available on the website of the FXJSC: Participating financial institutions ANZ Bank of America Merrill Lynch Bank of New York Mellon Bank of Tokyo-Mitsubishi UFJ Barclays BNP Paribas Citigroup Commonwealth Bank of Australia Crédit Agricole CIB Credit Suisse Deutsche Bank Goldman Sachs HSBC ING Bank JP Morgan Chase Lloyds Banking Group Morgan Stanley National Australia Bank Nomura Rabobank Royal Bank of Canada Royal Bank of Scotland Skandinaviska Enskilda Banken Société Générale Standard Chartered State Street Toronto Dominion UBS Unicredit Westpac Banking Corporation 3 The results for the FXJSC survey continue to include those for the SEB and UBS trading desks, which have relocated out of London. 4 See Broderick, T and Cox, C (2010), The foreign exchange and over-the-counter interest rate derivatives markets in the United Kingdom, Bank of England Quarterly Bulletin, 2010 Q4, page 360.

4 Table 1 Reported UK foreign exchange market turnover by instrument 1 Daily averages in billions of US dollars Instrument April 2011 October 2011 Spot transactions Outright forwards Non-deliverable forwards Foreign exchange swaps Currency swaps Foreign exchange options Total foreign exchange turnover Adjusted for double counting of deals between survey contributors. Totals may not sum due to rounding. Daily averages are calculated assuming 18 working days in April 2011 and 21 working days in October 2011.

5 Table 2 Reported UK foreign exchange market turnover by instrument and counterparty 1 Daily averages in billions of US dollars Instrument/counterparty April 2011 October 2011 Spot transactions with reporting dealers of which resident of which non-resident with other banks of which resident of which non-resident with other financial institutions of which resident of which non-resident with non financial institutions of which resident 5 5 of which non-resident Outright forwards with reporting dealers of which resident of which non-resident with other banks of which resident 4 7 of which non-resident with other financial institutions of which resident of which non-resident with non financial institutions of which resident 5 5 of which non-resident 8 6

6 Non-deliverable forwards with reporting dealers of which resident 6 5 of which non-resident with other banks 9 8 of which resident 2 2 of which non-resident 6 6 with other financial institutions of which resident 4 4 of which non-resident 10 9 with non financial institutions 1 1 of which resident 0 0 of which non-resident 1 1 Foreign exchange swaps with reporting dealers of which resident of which non-resident with other banks of which resident of which non-resident with other financial institutions of which resident of which non-resident with non financial institutions of which resident 10 9 of which non-resident Currency swaps with reporting dealers of which resident 3 4 of which non-resident 8 7 with other banks 7 9 of which resident 3 3 of which non-resident 4 6

7 with other financial institutions 3 5 of which resident 1 3 of which non-resident 2 2 with non financial institutions 1 1 of which resident 0 1 of which non-resident 1 1 Foreign exchange options with reporting dealers of which resident of which non-resident with other banks of which resident 10 9 of which non-resident with other financial institutions of which resident of which non-resident with non financial institutions of which resident 7 3 of which non-resident Adjusted for double counting of deals between survey contributors. Totals may not sum due to rounding. Daily averages are calculated assuming 18 working days in April 2011 and 21 working days in October 2011.

8 Table 3 Currency distribution of reported UK foreign exchange market turnover 1 Percentage shares of average daily turnover Currency April 2011 October 2011 US dollar Euro Pound sterling Japanese yen Swiss franc Canadian dollar Australian dollar Swedish krona Norwegian krone New Zealand dollar Brazilian real Chinese yuan Indian rupee South Korean won Mexican peso Polish zloty Russian ruble Singapore dollar Turkish lira South African rand Other currencies All currencies As two currencies are involved in each transaction, the sum of the percentage shares of individual currencies total 200 per cent instead of 100 per cent. Adjusted for double counting of deals between survey contributors. Totals may not sum due to rounding.

9 Table 4 Reported UK foreign exchange market turnover by currency pair 1 Daily averages in billions of US dollars and percentage shares Currency pair April 2011 October 2011 Amount Proportion of total (%) Amount Proportion of total (%) USD/EUR USD/GBP USD/JPY USD/CHF USD/AUD USD/CAD USD/NOK USD/SEK USD/NZD USD/ZAR USD/MXN USD/PLN USD/SGD USD/RUB USD/TRY USD/BRL USD/KRW EUR/GBP EUR/JPY EUR/CHF GBP/JPY Other currency pairs All currency pairs Adjusted for double counting of deals between survey contributors. Totals may not sum due to rounding. Daily averages are calculated assuming 18 working days in April 2011 and 21 working days in October 2011.

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