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.
Tables 1 to 4 below provide various summaries of the average daily data for October 2011, with comparisons to April 2011. A more detailed set of results tables for October 2011can be found at http://www.bankofengland.co.uk/markets/forex/fxjsc/fxturndata120206.xls. A market share table showing market share information by currency pair, product and counterparty type, can be found at http://www.bankofengland.co.uk/markets/forex/fxjsc/fxturndata120206-marketshare.xls. Revised data for October 2010 and April 2011 2 have recently been received and updated results tables can be found at http://www.bankofengland.co.uk/markets/forex/fxjsc/index.htm. 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: http://www.newyorkfed.org/fxc/volumesurvey/, http://www.sfemc.org/statistics.asp, http://www.cfec.ca/fx_volume.html, http://www.rba.gov.au/afxc/statistics/fxturnoverreports/2011/oct_2011/index.html respectively. 2 Due to improvements in some participants reporting procedures, revisions have been made to previous data.
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. 4 4. Global and UK results for the April 2010 BIS triennial survey can be found at: http://www.bankofengland.co.uk/statistics/bis-survey/previous.htm. 5. The results of this survey are also available on the website of the FXJSC: http://www.bankofengland.co.uk/markets/forex/fxjsc/index.htm 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.
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 786 802 Outright forwards 150 156 Non-deliverable forwards 42 38 Foreign exchange swaps 902 820 Currency swaps 21 26 Foreign exchange options 140 130 Total foreign exchange turnover 2042 1972 1 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.
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 786 802 with reporting dealers 326 324 of which resident 129 118 of which non-resident 197 207 with other banks 215 208 of which resident 67 56 of which non-resident 148 151 with other financial institutions 222 248 of which resident 57 109 of which non-resident 164 139 with non financial institutions 23 22 of which resident 5 5 of which non-resident 18 17 Outright forwards 150 156 with reporting dealers 61 64 of which resident 14 15 of which non-resident 47 49 with other banks 16 20 of which resident 4 7 of which non-resident 12 13 with other financial institutions 61 62 of which resident 24 25 of which non-resident 37 37 with non financial institutions 13 11 of which resident 5 5 of which non-resident 8 6
Non-deliverable forwards 42 38 with reporting dealers 18 15 of which resident 6 5 of which non-resident 12 10 with other banks 9 8 of which resident 2 2 of which non-resident 6 6 with other financial institutions 14 13 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 902 820 with reporting dealers 389 350 of which resident 133 117 of which non-resident 256 234 with other banks 341 299 of which resident 72 66 of which non-resident 269 233 with other financial institutions 135 137 of which resident 32 45 of which non-resident 103 92 with non financial institutions 36 33 of which resident 10 9 of which non-resident 26 25 Currency swaps 21 26 with reporting dealers 11 11 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
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 140 130 with reporting dealers 55 55 of which resident 23 25 of which non-resident 32 30 with other banks 29 26 of which resident 10 9 of which non-resident 18 17 with other financial institutions 36 38 of which resident 16 20 of which non-resident 20 19 with non financial institutions 21 11 of which resident 7 3 of which non-resident 14 7 1 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.
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 85.8 87.4 Euro 44.1 45.2 Pound sterling 17.8 16.6 Japanese yen 15.5 13.8 Swiss franc 7.1 6.1 Canadian dollar 3.8 3.9 Australian dollar 6.9 9.5 Swedish krona 2.4 1.6 Norwegian krone 1.4 1.2 New Zealand dollar 1.6 1.5 Brazilian real 0.6 0.5 Chinese yuan 0.5 0.6 Indian rupee 0.3 0.3 South Korean won 0.6 0.5 Mexican peso 1.0 0.9 Polish zloty 1.1 0.9 Russian ruble 0.7 0.9 Singapore dollar 1.1 1.2 Turkish lira 1.6 1.7 South African rand 0.9 1.0 Other currencies 5.1 4.5 All currencies 200 200 1 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.
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 677.7 33.2 692.1 35.1 USD/GBP 263.1 12.9 242.4 12.3 USD/JPY 236.9 11.6 210.5 10.7 USD/CHF 84.0 4.1 71.6 3.6 USD/AUD 115.4 5.7 156.1 7.9 USD/CAD 65.1 3.2 66.0 3.3 USD/NOK 20.1 1.0 15.1 0.8 USD/SEK 32.4 1.6 21.0 1.1 USD/NZD 25.3 1.2 22.8 1.2 USD/ZAR 16.2 0.8 17.7 0.9 USD/MXN 15.2 0.7 16.5 0.8 USD/PLN 14.0 0.7 10.8 0.5 USD/SGD 21.6 1.1 21.7 1.1 USD/RUB 13.9 0.7 17.5 0.9 USD/TRY 27.3 1.3 30.9 1.6 USD/BRL 11.1 0.5 9.2 0.5 USD/KRW 11.7 0.6 9.6 0.5 EUR/GBP 70.1 3.4 64.4 3.3 EUR/JPY 49.1 2.4 38.4 1.9 EUR/CHF 42.3 2.1 40.9 2.1 GBP/JPY 10.8 0.5 7.7 0.4 Other currency pairs 218.1 10.7 188.7 9.6 All currency pairs 2042 100 1972 100 1 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.