Activity in the Norwegian foreign exchange and derivatives markets in April 2013

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1 1 Activity in the Norwegian foreign exchange and derivatives markets in April 2013 Every three years since 1989, Norges Bank has conducted a survey of activity in the Norwegian foreign exchange market in cooperation with the Bank for International Settlements (BIS). The 2013 survey is the ninth in the series. According to figures from April 2013, average daily turnover in the Norwegian foreign exchange market 1 was approximately unchanged at USD 21bn, against USD 22bn in April In NOK terms, average daily turnover fell from NOK 131bn to NOK 124bn in the same period. Preliminary figures from the BIS indicate that reporting dealers in the Norwegian survey had a 0.3% share of the global foreign exchange market in April 2013, down from 0.4% in April Average daily turnover in the Norwegian OTC interest rate derivatives market was USD 6bn in April 2013, against USD 12bn in April 2010, a decline of 50%. In NOK terms, average daily turnover fell from NOK 71bn to NOK 33bn in the same period. Turnover in 2010 was driven up by increased trading activity between one of the reporting dealers and a wholly owned subsidiary, resulting in a particularly large fall. Adjusted for these trades, daily turnover in interest rate derivatives increased from USD 5bn in April 2010 to USD 6bn in April Preliminary figures from the BIS indicate that reporting dealers in the Norwegian survey had a 0.2% share of the global interest rate derivatives market in April 2013, down from 0.5% in April Background to the survey Participation in the BIS survey is voluntary. In 2013, eight out of the nine invited banks took part, covering more than an estimated 90% of the activity in the Norwegian market. By comparison, seven banks took part in the 2010 survey. According to the survey guidelines, all trades should be reported in the country in which the sales desk is located, regardless of whether deals are booked in the name of the head office outside Norway or in the reporting dealer s own name. Concurrently with the Norges Bank survey, similar surveys were carried out in 52 other countries under the auspices of the Bank for International Settlements (BIS). Turnover figures from the survey will be published simultaneously on the BIS website and by the participating countries. It is estimated that some 1300 financial institutions worldwide took part. The object of the survey is to obtain comprehensive and consistent information on activity in foreign exchange and derivatives markets. The information will enable central banks, authorities and market participants to monitor changing patterns in market activity over time. The first surveys (1989, 1992 and 1995) were confined to turnover in the foreign exchange market. Activity in the over-the-counter (OTC) derivative market was included from Exchange-traded derivatives are not covered. In addition to the turnover survey in April 2013, a separate survey coordinated by the BIS of outstanding contracts took place at the end of The BIS plans to publish a more detailed report on these surveys in December Turnover in the spot market, outright forwards, foreign exchange swaps, currency swaps (basis swaps) and currency options.

2 2 In the survey, reporting dealers were asked about trends in turnover. The perception was that turnover in the foreign exchange and derivatives market was stable in the six months prior to the survey. Turnover in April 2013 was also reported to be normal. In April 2013, the number of trading days was somewhat higher than in previous surveys, since most of the Easter holiday fell in March this year. From 2010, the BIS has included currency options and currency swaps (basis swaps) in the foreign exchange turnover survey. The historical tables in this report have been adjusted accordingly. Turnover in the Norwegian foreign exchange market By instrument Table 1 shows the turnover in foreign exchange contracts in the past five surveys between April 1998 and April Average daily turnover in the Norwegian foreign exchange market declined by 3.2% in April 2013 compared with the same month in Total turnover in the spot and forward markets increased by 32.6% and 5.3%, respectively, between April 2010 and April 2013, while turnover in currency swaps (basis swaps) fell by 55.9% in the same period. 2 As a share of total turnover, spot transactions increased from 10.4% to 12.8%, while the share of forwards transactions declined somewhat from 87.2% to 85.8% in the period April 2010 to April As in previous surveys, currency swaps (basis swaps) and currency options account for only a small share of total turnover. By comparison, preliminary figures from the BIS show that total turnover in the global foreign exchange market increased by approximately 35% between April 2010 and April Average daily turnover increased in this period from USD 4.0tn in April 2010 to USD 5.3tn in April At the same time, the market share of the Norwegian krone increased marginally from 1.3% of global turnover in April 2010 to 1.4% in April Table 1a: Total turnover in the foreign exchange market in April, by instrument. In millions of USD and NOK Spot Forwards Outright forwards Foreign exchange swaps Currency swaps (basis swaps) Currency options Total in millions of USD Banking days in April Daily average in mill. USD Monthly average USD/NOK Total in millions of NOK Since most of the Easter holiday in 2013 fell in March, the number of banking days increased from 19 in the April 2010 survey to 21 in the survey from April For that reason, there may be some discrepancies between the percentage changes in the monthly and daily turnover figures.

3 3 Daily average in mill. NOK Table 1b: Total turnover in the foreign exchange market in April, by instrument. Percent Spot 33.6 % 26.4 % 18.9 % 10.8 % 10.4 % 12.8% Forwards 65.8 % 72.8 % 80.7 % 88.7 % 87.2 % 85.8% - Outright forwards 1.8 % 3.2 % 3.2 % 7.5 % 8.2 % 2.6% - Foreign exchange swaps 64.0 % 69.6 % 77.5 % 81.2 % 79.0 % 83.2% Currency swaps (basis swaps) % 0.1 % 0.2 % 1.8 % 0.8% Currency options 0.6 % 0.7 % 0.3 % 0.3 % 0.6 % 0.6% Total % % % % % 100.0% Table 1c: Average daily turnover in the foreign exchange market in April, by instrument. In millions of USD Spot Forwards Outright forwards Foreign exchange swaps Currency swaps (basis swaps) Currency options Total Source: Norges Bank. Transactions between local reporting dealers are counted only once. Turnover figures for the foreign exchange market cover spot, outright forwards, foreign exchange swaps, currency swaps (basis swaps) and currency options. The figures for the forward market prior to 2001 include currency swaps. Turnover in the spot market rose between April 2010 and April 2013, after falling during the previous survey period. Average daily turnover increased to USD 2.8bn in April 2013, from USD 2.3bn in April Despite a 20% increase, daily averages were still lower than in April Preliminary figures from the BIS show that turnover in the global spot market also showed an increase, with average daily global turnover increasing by 38% to USD 2.0tn in April Average daily turnover in the Norwegian forward market was USD 18.4bn in April 2013, down from USD 19.3bn in April As a percentage of total turnover, the forward market represents by far the largest share. The decline in turnover in 2013 reflects a decline in outright forwards, while turnover in foreign exchange swaps showed little change. Foreign exchange swaps continue to represent by far the largest share of total forward transactions. Turnover in currency options and currency swaps (basis swaps) is still relatively modest compared with turnover in the overall foreign exchange market. However, trading activity in currency swaps (basis swaps) picked up markedly between April 2007 and April This increase must be viewed in the light of the introduction of covered bonds in Norway, issued by special mortgage companies. Despite a decline from USD 7.8bn in April 2010 to USD 3.4bn in April 2013, turnover remains substantially higher than in the surveys conducted prior

4 4 to Trading in currency options was approximately unchanged at USD 2.7bn in April Currency distribution in the Norwegian foreign exchange market The US dollar share of turnover in the Norwegian foreign exchange market fell from 40.5% in April 2010 to 38.3% in April This is the first time in the course of the past six surveys that the US dollar share has fallen below 40%. The Norwegian krone was involved in 25.8% of transactions in April 2013, down from 30.3% in April At the same time, the share of other currencies increased from 15.9% in April 2010 to 21.5% in April The most important currencies in this category were the Swedish krona and the Danish krone, with a share of total turnover of 4.7% and 1.5%, respectively. The euro share increased slightly from 13.3% in April 2010 to 14.4% in April Table 2a: Total turnover in the foreign exchange market in April, by currency. In millions of USD NOK USD EUR Other currencies Total Table 2b: Total turnover in the foreign exchange market in April, by currency. Percent NOK 30.2 % 32.0 % 37.0 % 30.7 % 30.3 % 25.8% USD 41.5 % 43.8 % 40.8 % 42.6 % 40.5 % 38.3% EUR % 16.7 % 13.9 % 12.7 % 13.3 % 14.4% Other currencies 11.1 % 7.5 % 8.3 % 14.0 % 15.9 % 21.5% Total % % % % % 100.0% 1) DEM pre-1999 Source: Norges Bank. Transactions between local reporting dealers are counted only once, but total turnover is doubled because each foreign exchange transaction involves two currencies, which are both included. Currency distribution in the spot market In the spot market, the Norwegian krone share declined from 28.1% in April 2010 to 22.6% in April 2013, while the share for the US dollar rose from 21.5% to 25.1% in the same period. The euro share has declined in the past five surveys and fell from 34.2% in April 2010 to 31.5% in April The share for other currencies rose from 16.2% in April 2010 to 20.7% in April Table 3a: Turnover in the foreign exchange spot market in April. In millions of USD NOK USD EUR Other currencies Total

5 5 Table 3b: Turnover in the foreign exchange spot market. Percent NOK 13.6 % 12.0 % 20.8 % 23.5 % 28.1 % 22.6 % USD 29.9 % 34.4 % 26.4 % 22.3 % 21.5 % 25.1 % EUR % 44.7 % 41.2 % 41.1 % 34.2 % 31.5 % Other currencies 15.3 % 9.0 % 11.6 % 13.1 % 16.2 % 20.7 % Total % % % % % % 1) DEM pre-1999 Source: Norges Bank. Transactions between local reporting dealers are counted only once, but total turnover is doubled because each foreign exchange transaction involves two currencies, which are both included. Currency distribution in the forward market In the forward market, which includes foreign exchange swaps and outright forwards, the US dollar was involved in 40.3% of trades in April 2013, against 42.8% in April The US dollar has had a high market share of between 40% and 50% in all the surveys since 1998, not unexpectedly given that pricing in the forward market is largely based on US dollar money market rates. The share of market transactions involving the US dollar has nonetheless shown a falling trend in the past two surveys. Transactions involving the euro continued to edge up from 10.8% in April 2010 to 11.8% in April 2013, while the market share of the Norwegian krone fell from 30.5% to 26.3% in the same period. As in the spot market, the share of turnover of «other currencies» increased, rising from 15.9% to 21.6%. Table 4a: Currency distribution in forward market turnover in April, including outright forwards and foreign exchange swaps. In millions of USD NOK USD EUR Other currencies Total Table 4b: Currency distribution in forward market turnover in April, including outright forwards and foreign exchange swaps. Percent NOK 38.8 % 39.2 % 40.7 % 31.6 % 30.5 % 26.3% USD 47.5 % 47.4 % 44.3 % 45.1 % 42.8 % 40.3% EUR % 6.4 % 7.4 % 9.2 % 10.8 % 11.8% Other currencies 8.9 % 7.0 % 7.6 % 14.1 % 15.9 % 21.6% Total % % % % % 100.0% 1) DEM pre-1999 Source: Norges Bank. Transactions between local reporting dealers are counted only once, but total turnover is doubled because each foreign exchange transaction involves two currencies, which are both included. Pre-2004 figures include currency swaps.

6 6 Counterparties in the foreign exchange market (spot, outright forwards and foreign exchange swaps) Cross-border trading accounted for 70.9% of the turnover in the Norwegian foreign exchange market in April 2013, against 78.1% in April 2010 and has shown a falling trend in the past five surveys. Trading between local reporting dealers accounted for only 0.6% of turnover in April 2013, against 1.2% in Trading with other financial institutions rose from a share of 23.8% in April 2010 to 26.0% in April 2013 and has shown a marked increase in the past three surveys. Table 5a: Foreign exchange turnover in April by counterparty. In millions of USD Counterparty \ Year Reporting dealers Local Cross-border Other financial institutions Local Cross-border Non-financial customers Local Cross-border Total Local Cross-border Table 5b: Foreign exchange turnover in April, by counterparty. Percent Counterparty \ Year Reporting dealers 83.6 % 86.3 % 76.3 % 67.1 % 60.7 % 56.4 % - Local 7.7 % 8.3 % 2.3 % 0.5 % 1.2 % 0.6 % - Cross-border 75.9 % 78.0 % 74.0 % 66.6 % 59.5 % 55.8 % Other financial institutions 4.1 % 6.0 % 8.3 % 18.7 % 23.8 % 26.0 % - Local % 5.5 % 7.5 % 7.1 % 14.4 % - Cross-border % 2.8 % 11.2 % 16.7 % 11.6 % Non-financial customers 12.3 % 7.7 % 15.4 % 14.2 % 15.5 % 17.6 % - Local % 12.8 % 12.8 % 13.6 % 14.1 % - Cross-border % 2.6 % 1.4 % 1.9 % 3.6 % Total % % % % % 100.0% - Local 21.9 % 19.7 % 20.6 % 20.8 % 21.9 % 29.1 % - Cross-border 78.1 % 80.3 % 79.4 % 79.2 % 78.1 % 70.9 % Source: Norges Bank. Transactions between local reporting dealers are counted only once. Pre-2004 figures include currency swaps. Reporting dealers were asked for the first time in April 2013 to specify the category «Other financial institutions» in more detail. An intertemporal comparison of these sub-categories is therefore not available. The table shows that of other financial institutions, non-reporting dealers accounted for by far the largest share, at 17.7%, followed by institutional investors at

7 7 7.8%. 3 Hedge funds and proprietary trading firms and official sector financial institutions accounted for a very small share of turnover. Table 5c: Foreign exchange turnover in April specification of «Other financial institutions». In millions of USD and percent Counterparty \ 2013 Millions of USD Percent Other financial institutions % - Non-reporting dealers % - Institutional investors % - Hedge funds and proprietary trading firms % - Official sector financial institutions % - Other % - Undistributed % Source: Norges Bank Maturities The bulk of the forward contracts had a maturity of seven days or less. In April 2013, the share was 64.5%, against 60.5% in April Contracts with a maturity between seven days and one year had a share of 34.8% in 2013, down from 38.9% in The share of contracts with a maturity of over one year was 0.7% in April 2013, approximately unchanged from April Table 6: Forward market turnover in April, by maturity. In millions of USD and percent Maturity 2007 Share 2010 Share 2013 Share 7 days or less % % % Over 7 days % % % Over 1 year % % % Total % % % Source: Norges Bank. Not adjusted for local double-counting. Pre-2007 figures include currency swaps. Currency distribution in the market for currency options and currency swaps (basis swaps) The Norwegian krone was involved in 34.4% of the turnover in currency options in April 2013, against 39.0% of the turnover in April The US dollar share was approximately unchanged at 16.0%, while the euro share fell to 34.4%. «Other currencies» showed a marked increase from 5.9% in April 2010 to 15.1% in April In the currency swap market, the Norwegian krone had a share of 35.2% in April 2013, while the US dollar share rose to 37.3%. The euro share fell markedly from 37.4% in April 2010 to 18.2% in April 2013, while «other currencies» rose considerably from 1.9% to 9.3% in the same period. 3 The percentage share is calculated as a share of total turnover.

8 8 Table 7a: Turnover in currency options and currency swaps (basis swaps). In millions of USD Options NOK USD EUR Other currencies Total Currency swaps NOK USD EUR Other currencies Total Table 7b: Turnover in currency options and currency swaps (basis swaps). Percent Options NOK 12.7 % 35.7 % 45.2 % 30.9 % 39.0 % 34.4% USD 29.6 % 31.1 % 8.2 % 17.6 % 16.2 % 16.0% EUR % 29.4 % 39.9 % 34.0 % 38.9 % 34.4% Other currencies 19.4 % 3.8 % 6.7 % 17.5 % 5.9 % 15.1% Total % % % % % 100.0% Currency swaps NOK % 18.9 % 50.0 % 31.1 % 35.2 % USD % 35.7 % 27.9 % 29.6 % 37.3 % EUR % 27.3 % 14.5 % 37.4 % 18.2 % Other currencies % 18.1 % 7.6 % 1.9 % 9.3 % Total % % % % % 1) DEM pre-1999 Source: Norges Bank. Transactions between local reporting dealers are counted only once, but total turnover is doubled because each foreign exchange transaction involves two currencies, which are both included. Execution methods in the foreign exchange market The categorisation of execution methods was revised to some extent in the April 2013 survey to include the sub-categories «voice and electronic» and «direct and indirect». Owing to the new categorisation, a direct comparison cannot be made with figures from the April 2010 survey. In April 2013, the bulk of reported transactions in the spot market were conducted directly by phone (33.9%), followed by transactions conducted indirectly on electronic trading systems (26.1%). The picture was largely the same for foreign exchange swaps, although indirect transactions by phone also accounted for a large share (34.2%). Forward transactions, currency swaps (basis swaps) and currency options were also primarily conducted directly by phone, representing 55.6%, 95.7% and 64.4% respectively of total transactions in these instruments.

9 9 Table 8a: Foreign exchange market transactions in Norway by execution method in In millions of USD Voice 1 Electronic 2 Undistributed Direct Indirect Direct Indirect Direct Indirect Single-bank proprietary trading system 3 Other Reuters Matching/ EBS Other comm. networks Spot Outright forwards Foreign exchange swaps Currency swaps (basis swaps) Currency options Total Other 1) 2) 3) Voice includes transactions executed over the phone. Indirect voice transactions refer to transactions executed over the phone, intermediated by a third party (eg. via a voice broker, while direct voice transactions are not intermediated by a third party. Indirect electronic transactions are executed over an electronic medium, intermediated by a third party electronic platform, while direct electronic transactions are not intermediated by a third party. Single-bank proprietary trading system refers to an electronic trading system owned and operated by a bank. Source: Norges Bank Table 8b: Foreign exchange market turnover in Norway by execution method in Percent Voice 1 Electronic 2 Undistributed Direct Indirect Direct Indirect Direct Indirect Single-bank proprietary trading system 3 Other Reuters Matching/ EBS Spot 33.9 % 10.2 % 7.3 % 2.1 % 26.1 % 7.2 % 1.0 % 12.2 % Outright forwards 55.6 % 1.2 % 9.1 % 4.2 % 0.0 % 18.8 % 3.4 % 7.7 % Foreign exchange swaps 31.1 % 34.2 % 4.0 % 1.0 % 22.1 % 2.7 % 1.7 % 3.3 % Currency swaps (basis swaps) 95.7 % 0.0 % 1.0 % 0.1 % 0.0 % 0.0 % 0.0 % 3.3 % Currency options 64.4 % 3.4 % 2.6 % 0.7 % 1.4 % 0.0 % 0.0 % 27.5 % Total 32.8 % 29.8 % 4.5 % 1.2 % 21.8 % 3.6 % 1.6 % 4.7 % Source: Norges Bank Other comm. system Other

10 10 Turnover in the Norwegian OTC interest rate derivatives market Total turnover in the Norwegian OTC interest rate derivatives market in April 2013 was USD 119bn, against USD 227bn in April 2010, a decrease of 47.7%. Growth in turnover in 2010 was driven by increased trading in interest rate swaps between one of the reporting dealers and a wholly owned subsidiary, resulting in a particularly sharp fall. Adjusted for these trades, total turnover in interest rate derivatives grew from USD 90.7bn in April 2010 to USD 119bn in April 2013, a rise of 31.2%. Average daily turnover was USD 5.6bn, up from USD 4.8bn in 2010 (measured using adjusted figures). As a share of total turnover, turnover in interest rate swaps has fallen markedly from 70.0% in April 2010 to 36.0% in April 2013, while the share of forward rate agreements (FRAs) increased from 29.9% to 63.9% in the same period. These substantial changes are primarily due to the high figures reported for interest rate swaps in April FRA trades account for by far the largest share of total turnover. As in previous surveys, turnover in interest rate options was low, representing a very small share of total turnover. Table 10a: Turnover in interest rate derivatives in April, by type of transaction. In millions of USD and NOK Instrument / Year Forward rate agreements (FRAs) Interest rate swaps Interest rate options Total in millions of USD Average per banking day In millions of USD Total in millions of NOK Average per banking day In millions of NOK Table 10b: Turnover in interest rate derivatives in April, by type of transaction. Percent Instrument / Year Forward rate agreements (FRAs) 94.3 % 89.1 % 77.5 % 80.6 % 29.9 % 63.9 % Interest rate swaps 5.5 % 10.4 % 18.0 % 18.3 % 70.0 % 36.0 % Interest rate options 0.2 % 0.5 % 4.5 % 1.1 % 0.1 % 0.0 % Total % % % % % % Source: Norges Bank. Transactions between local reporting dealers are counted only once.

11 11 Currency distribution The Norwegian krone was involved in 80.3% of the turnover in interest rate derivatives in April 2013, against 94.8% in April While the share of turnover involving the Norwegian krone has fallen, the share for the US dollar, euro and other currencies has risen. Table 11: Turnover in interest rate derivatives in April by currency and transaction type. In millions of USD and percent Forward rate agreements (FRAs) 2007 Share 2010 Share 2013 Share NOK % % % USD % % - 0 % EUR % % Other currencies % % Total % % % Interest rate swaps NOK % % % USD % % % EUR % % % Other currencies % % % Total % % % Options NOK % % % USD EUR % Other currencies % Total % % % Total interest rate derivatives 2007 Share 2010 Share 2013 Share NOK % % % USD % % % EUR % % % Other currencies % % % Total % % % Source: Norges Bank. Transactions between local reporting dealers are counted only once. Turnover by counterparty Norwegian counterparties reduced their share of turnover in the interest rate derivatives market from 70.6% in April 2010 to 44.1% in April As mentioned above, the substantial fall is the result of increased trading in interest rate swaps between one of the reporting dealers and a wholly owned subsidiary in The share of cross-border trades rose from 29.4% in April 2010 to 55.9% in April Trading between Norwegian reporting dealers increased from 2% to 10% of turnover in April Trading with non-financial customers accounted for 1.4% of the total transaction volume for interest rate derivatives in April 2013, against 2.7% in April 2010.

12 12 Table 12: Turnover in interest rate derivatives in April, by counterparty. In millions of USD Counterparty \ Year 2007 Share 2010 Share 2013 Share Reporting dealers % % % - Local % % % - Cross-border % % % Other financial institutions % % % - Local % % % - Cross-border % % % Non-financial customers % % % - Local % % % - Cross-border % % % Total % % % - Local % % % - Cross-border % % % Source: Norges Bank. Transactions between local reporting dealers are counted only once.

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