Media Release 2022 Triennial Central Bank Survey Results for Foreign Exchange and Derivative Markets – Australia
Foreign Exchange Market (Tables 1–4)
Turnover in the Australian foreign exchange (FX) market covers all transactions undertaken by reporting dealers in spot, outright forwards, foreign exchange swaps, currency swaps and currency options with exposure to more than one currency. Transactions are recorded as ‘Australian’ if the sales desk involved in the trade is located in Australia, regardless of where the trade is subsequently booked, and on an unconsolidated basis.[1] The Reserve Bank’s survey for April 2022 covers 23 reporting dealers.[2]
- In April 2022, foreign exchange turnover averaged US$150 billion per day, compared with US$119 billion per day in April 2019.[3] This represented a 26 per cent increase in turnover at current exchange rates over the period, which is greater than the 14 per cent increase in global turnover over the same period.[4] This increase in turnover partly reverses the decline that was observed in the Australian FX market over the period from 2013 to 2019.
- The increase was mainly driven by turnover in FX swaps and outright forwards. This may have partly reflected increased demand for hedging products amid heightened FX volatility around the survey period, associated with uncertainty about the path of future interest rates in major advanced economies, rising commodity prices and geopolitical tensions.
- Turnover in the Australian spot market was little changed between 2019 and 2022. This contrasts with an increase in spot market turnover globally. In the Australian market, the share of spot trades declined to 23 per cent of total turnover, while in the global market the share of spot trades declined to 28 per cent of total turnover.
- Activity in outright forwards in the Australian market increased by 66 per cent, compared with a 17 per cent increase in outright forwards globally. The share of outright forwards increased by 4 percentage points to 17 per cent of Australian turnover. Outright forwards account for a similar share in the global market.
- Turnover in foreign exchange swaps increased by 33 per cent in the Australian market, compared with a 19 per cent increase in global FX swap turnover. Foreign exchange swaps continued to account for the majority of FX turnover in Australia, at 57 per cent of total turnover, and almost 80 per cent of transactions had a duration of less than seven days. In the global market, FX swaps account for around 50 per cent of total turnover.
- Turnover in currency swaps decreased by 28 per cent between April 2019 and April 2022, while turnover in currency options increased by 14 per cent. Both of these instruments continued to account for a relatively small share of turnover in the Australian and global market.
- AUD/USD remains the most traded currency pair in the Australian market, accounting for 41 per cent of total FX turnover. The share of turnover in EUR/USD and USD/JPY increased from the previous survey, and these currency pairs are now the second and third most traded in the Australian market, while the share of NZD/USD turnover has declined since 2019. Turnover in USD/CNY in Australia increased further, albeit from a low base, and the pair now accounts for about 3 per cent of turnover in the Australian market. A similar trend was evident in the global results. The USD/CNY now accounts for around 7 per cent of global turnover and is the fourth most traded currency pair in the global FX market.
- Transactions between reporting dealers and local financial institutions rose by 86 per cent between 2019 and 2022. Their share of total turnover increased 10 percentage points and now accounts for 33 per cent of total turnover in the Australian market. Transactions with overseas financial institutions increased by 7 per cent, and accounted for 63 per cent of Australian turnover. Transactions with non-financial institutions rose by 71 per cent over the three-year period, but these transactions only account for 4 per cent of turnover.
OTC Interest Rate Derivatives (Tables 5–7)
Turnover in OTC interest rate derivatives covers contracts related to an interest-bearing financial instrument with cash flows that are determined by referencing interest rates or another interest rate contract. It includes all transactions undertaken by reporting dealers in single currency forward rate agreements, interest rate swaps and interest rate options.[5] The Reserve Bank’s survey covers 23 reporting dealers, with transactions recorded based on the location of the sales desk.
- In April 2022, OTC interest rate derivatives turnover in Australia averaged US$113 billion per day, compared with US$97 billion per day in 2019. This represents an increase of 16 per cent at current exchange rates.
- Turnover in interest rate swaps in Australia increased by 34 per cent over the period, and accounts for almost all turnover in OTC interest rate derivatives. Around half of the average daily turnover of interest rate swaps in the Australian market reflected turnover in overnight indexed swaps (OIS).
- Turnover in forward rate agreements in Australia decreased significantly, following a sharp increase in 2019. This was consistent with the global results.
- Transactions between Australian reporting dealers and local financial institutions increased by 29 per cent to US$24 billion per day. Transactions with overseas financial institutions increased by 13 per cent over the period and their share of OTC interest rate derivatives turnover decreased by 2 percentage points to 78 per cent. By contrast, transactions with non-financial institutions increased, but only accounted for a small share of OTC interest rate derivatives turnover.
- Turnover of Australian dollar-denominated instruments, which represent the bulk of the Australian OTC interest rate derivatives market, increased by 42 per cent. Turnover also increased sharply in instruments denominated in British pounds and the euro.
| By type of transaction | April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 |
|---|---|---|---|---|---|---|---|---|
| Spot | 13.2 | 35.7 | 44.5 | 60.2 | 47.8 | 26.8 | 33.3 | 34.3 |
| against AUD | 6.5 | 15.3 | 16.6 | 20.6 | 17.6 | 10.6 | 15.7 | 13.2 |
| against other currencies | 6.7 | 20.4 | 27.9 | 39.6 | 30.2 | 16.1 | 17.6 | 21.2 |
| Outright Forwards | 3.5 | 5.5 | 12.3 | 8.0 | 11.6 | 9.6 | 15.1 | 24.9 |
| against AUD | 2.3 | 3.4 | 5.5 | 4.9 | 6.9 | 5.6 | 5.5 | 14.9 |
| against other currencies | 1.2 | 2.1 | 6.8 | 3.1 | 4.7 | 4.0 | 9.6 | 10.1 |
| FX Swaps | 35.3 | 60.9 | 107.0 | 117.5 | 115.2 | 80.7 | 65.1 | 86.3 |
| against AUD | 18.1 | 30.0 | 58.3 | 55.8 | 61.3 | 36.5 | 34.1 | 39.4 |
| against other currencies | 17.2 | 30.9 | 48.7 | 61.8 | 53.9 | 44.2 | 31.0 | 47.0 |
| Currency Swaps | 0.5 | 1.2 | 2.4 | 4.4 | 4.5 | 3.2 | 4.1 | 3.0 |
| against AUD | 0.3 | 0.9 | 2.1 | 3.2 | 3.7 | 2.7 | 2.7 | 2.0 |
| against other currencies | 0.2 | 0.3 | 0.3 | 1.2 | 0.7 | 0.5 | 1.4 | 1.0 |
| Currency Options | 1.6 | 3.8 | 4.7 | 1.9 | 2.6 | 1.0 | 1.6 | 1.8 |
| against AUD | 1.3 | 2.4 | 3.0 | 1.3 | 1.9 | 0.7 | 0.8 | 0.8 |
| against other currencies | 0.3 | 1.4 | 1.7 | 0.6 | 0.7 | 0.3 | 0.8 | 1.0 |
| Total | 54.0 | 107.1 | 170.9 | 192.1 | 181.7 | 121.3 | 119.1 | 150.4 |
| against AUD | 28.5 | 52.0 | 85.5 | 85.8 | 91.3 | 56.1 | 58.8 | 70.2 |
| against other currencies | 25.5 | 55.1 | 85.4 | 106.3 | 90.4 | 65.2 | 60.3 | 80.2 |
|
(a) Adjusted for local inter-dealer double counting (i.e. ‘net-gross’ basis) (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 |
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| Currency Pair | April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 |
|---|---|---|---|---|---|---|---|---|
| AUD/USD | 50.1 | 44.0 | 45.3 | 39.3 | 44.3 | 40.7 | 44.3 | 41.1 |
| NZD/USD | 9.0 | 6.0 | 9.2 | 6.5 | 9.3 | 9.6 | 12.0 | 8.3 |
| EUR/USD | 11.2 | 16.1 | 13.9 | 19.8 | 11.3 | 14.6 | 10.0 | 14.2 |
| USD/JPY | 13.7 | 12.5 | 7.9 | 9.8 | 11.5 | 12.2 | 8.7 | 9.8 |
| GBP/USD | 6.2 | 7.7 | 5.8 | 7.3 | 4.9 | 4.7 | 4.5 | 5.4 |
| USD/HKD | - | - | - | 1.4 | 1.2 | 1.4 | 2.9 | 1.8 |
| USD/SGD | - | - | - | - | 1.6 | 1.7 | 2.9 | 2.0 |
| USD/CNY | - | - | - | 0.1 | 0.3 | 1.7 | 1.8 | 2.7 |
| USD/CAD | 2.6 | 2.6 | 2.0 | 2.3 | 2.2 | 3.1 | 1.7 | 2.7 |
| AUD/EUR | 0.7 | 1.2 | 1.4 | 1.6 | 1.4 | 1.5 | 1.3 | 2.1 |
| AUD/JPY | 0.9 | 1.2 | 1.0 | 1.4 | 1.6 | 1.6 | 1.2 | 0.9 |
| Other | 5.6 | 8.7 | 13.5 | 10.5 | 10.4 | 7.2 | 8.7 | 9.1 |
|
(a) Adjusted for local inter-dealer double counting (i.e.’net-gross’ basis) (b) Shares may not sum to 100 due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 |
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| By type of transaction | April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 |
|---|---|---|---|---|---|---|---|---|
| Spot | 13.2 | 35.7 | 44.5 | 60.2 | 47.8 | 26.8 | 33.3 | 34.3 |
| Financial institutions - local | 3.2 | 12.0 | 6.6 | 8.0 | 7.3 | 3.4 | 5.3 | 7.1 |
| Financial institutions - overseas | 8.0 | 20.0 | 32.0 | 43.3 | 37.6 | 22.1 | 26.6 | 24.8 |
| Non-financial institutions | 2.0 | 3.7 | 5.9 | 8.9 | 2.9 | 1.3 | 1.4 | 2.4 |
| Outright Forwards | 3.5 | 5.5 | 12.3 | 8.0 | 11.6 | 9.6 | 15.1 | 24.9 |
| Financial institutions - local | 0.7 | 0.9 | 2.4 | 2.9 | 3.8 | 2.9 | 4.1 | 7.2 |
| Financial institutions - overseas | 1.6 | 2.8 | 7.9 | 3.7 | 5.1 | 4.9 | 9.6 | 15.5 |
| Non-financial institutions | 1.1 | 1.8 | 1.9 | 1.5 | 2.7 | 1.8 | 1.4 | 2.2 |
| FX Swaps | 35.3 | 60.9 | 107.0 | 117.5 | 115.2 | 80.7 | 65.1 | 86.3 |
| Financial institutions - local | 8.7 | 17.4 | 38.2 | 24.7 | 21.1 | 15.7 | 16.0 | 33.6 |
| Financial institutions - overseas | 24.1 | 40.1 | 63.4 | 90.3 | 89.2 | 63.4 | 48.3 | 51.1 |
| Non-financial institutions | 2.4 | 3.3 | 5.4 | 2.6 | 5.0 | 1.6 | 0.8 | 1.6 |
| Currency Swaps | 0.5 | 1.2 | 2.4 | 4.4 | 4.5 | 3.2 | 4.1 | 3.0 |
| Financial institutions - local | 0.2 | 0.4 | 0.7 | 0.7 | 1.0 | 1.2 | 0.7 | 0.8 |
| Financial institutions - overseas | 0.3 | 0.8 | 1.5 | 3.7 | 3.4 | 2.0 | 3.3 | 2.0 |
| Non-financial institutions | 0.1 | 0.1 | 0.2 | 0.0 | 0.1 | 0.1 | 0.1 | 0.1 |
| Currency Options | 1.6 | 3.8 | 4.7 | 1.9 | 2.6 | 1.0 | 1.6 | 1.8 |
| Financial institutions - local | 0.3 | 0.4 | 0.6 | 0.3 | 0.2 | 0.0 | 0.1 | 0.2 |
| Financial institutions - overseas | 1.0 | 2.5 | 3.5 | 1.4 | 2.1 | 0.9 | 1.3 | 1.3 |
| Non-financial institutions | 0.4 | 0.8 | 0.6 | 0.2 | 0.4 | 0.1 | 0.1 | 0.2 |
| Total | 54.0 | 107.1 | 170.9 | 192.1 | 181.7 | 121.3 | 119.1 | 150.4 |
| Financial institutions - reporting dealers | 48.0 | 97.0 | 101.5 | 117.8 | 127.5 | 97.6 | 94.4 | 107.2 |
| Financial institutions - other | 0.1 | 0.4 | 55.4 | 61.1 | 43.2 | 18.8 | 21.0 | 36.6 |
| Non-reporting banks | - | - | - | - | 19.1 | 7.9 | 6.2 | 14.2 |
| Institutional investors | - | - | - | - | 10.3 | 7.0 | 10.7 | 18.9 |
| Hedge funds and proprietary trading firms | - | - | - | - | 1.7 | 1.2 | 0.4 | 1.4 |
| Official sector financial institutions | - | - | - | - | 1.3 | 1.3 | 1.1 | 1.0 |
| Other | - | - | - | - | 7.9 | 1.0 | 0.7 | 1.2 |
| Undistributed | - | - | - | - | 2.8 | 0.4 | 1.9 | 0.0 |
| Non-financial institutions | 5.9 | 9.8 | 13.9 | 13.3 | 11.1 | 4.9 | 3.8 | 6.6 |
(a) Adjusted for local inter-dealer double counting (i.e.’net-gross’ basis) (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 |
| Instrument | April 2013 | April 2016 | April 2019 | April 2022 | ||||
|---|---|---|---|---|---|---|---|---|
| Amount | Share | Amount | Share | Amount | Share | Amount | Share | |
| Outright Forwards | ||||||||
| Up to 7 days | 4.8 | 40.3 | 2.3 | 23.6 | 7.0 | 30.0 | 10.4 | 40.5 |
| One day | −- | −- | −- | −- | −- | −- | 3.8 | 14.8 |
| Over 1 day up to 7 days | −- | −- | −- | −- | −- | −- | 6.6 | 25.7 |
| Over 7 days and up to 1 year | 7.0 | 58.8 | 7.3 | 74.4 | - | - | - | - |
| Over 7 days and up to 1 month | −- | −- | −- | −- | 5.2 | 22.0 | 4.5 | 17.5 |
| Over 1 month and up to 3 months | −- | −- | −- | −- | 7.1 | 30.1 | 7.1 | 27.5 |
| Over 3 months and up to 6 months | −- | −- | −- | −- | 3.0 | 12.6 | 2.5 | 9.6 |
| Over 1 year | 0.1 | 0.9 | 0.2 | 2.0 | - | - | - | - |
| Over 6 months | −- | −- | −- | −- | 1.3 | 5.3 | 1.2 | 4.8 |
| FX Swaps | ||||||||
| Up to 7 days | 103.5 | 80.0 | 78.1 | 83.8 | 59.0 | 62.6 | 84.8 | 78.9 |
| One day | −- | −- | −- | −- | −- | −- | 35.8 | 33.4 |
| Over 1 day up to 7 days | −- | −- | −- | −- | −- | −- | 48.9 | 45.6 |
| Over 7 days and up to 1 year | 25.3 | 19.6 | 12.9 | 13.9 | - | - | - | - |
| Over 7 days and up to 1 month | - | - | - | - | 10.1 | 10.8 | 7.2 | 6.7 |
| Over 1 month and up to 3 months | - | - | - | - | 16.3 | 17.4 | 8.8 | 8.2 |
| Over 3 months and up to 6 months | - | - | - | - | 6.1 | 6.5 | 4.1 | 3.8 |
| Over 1 year | 0.5 | 0.4 | 2.1 | 2.3 | - | - | - | - |
| Over 6 months | −- | −- | −- | −- | 2.6 | 2.7 | 2.5 | 2.4 |
| Currency Swaps | ||||||||
| Up to 7 days | 0.3 | 6.3 | 0.0 | 0.4 | 0.7 | 8.6 | 0.0 | 1.1 |
| One day | −- | −- | −- | −- | −- | −- | 0.0 | 0.0 |
| Over 1 day up to 7 days | −- | −- | −- | −- | −- | −- | 0.0 | 1.1 |
| Over 7 days and up to 1 year | 1.8 | 35.2 | 0.9 | 23.2 | - | - | - | - |
| Over 7 days and up to 1 month | −- | −- | −- | −- | 0.0 | 0.0 | 0.3 | 8.0 |
| Over 1 month and up to 3 months | −- | −- | −- | −- | 1.0 | 12.8 | 0.9 | 24.4 |
| Over 3 months and up to 6 months | −- | −- | −- | −- | 1.0 | 12.9 | 0.3 | 9.0 |
| Over 1 year | 3.0 | 58.5 | 3.1 | 76.4 | - | - | - | - |
| Over 6 months | −- | −- | −- | −- | 5.2 | 65.7 | 2.2 | 57.6 |
| Currency Options | ||||||||
| Up to 7 days | 1.0 | 36.2 | 0.2 | 23.3 | 0.3 | 10.3 | 0.2 | 12.5 |
| One day | −- | −- | −- | −- | −- | −- | 0.0 | 1.0 |
| Over 1 day up to 7 days | −- | −- | −- | −- | −- | −- | 0.2 | 11.5 |
| Over 7 days and up to 1 year | 1.7 | 60.8 | 0.7 | 70.0 | - | - | - | - |
| Over 7 days and up to 1 month | −- | −- | −- | −- | 0.6 | 20.8 | 0.4 | 21.7 |
| Over 1 month and up to 3 months | −- | −- | −- | −- | 1.0 | 37.1 | 0.6 | 30.1 |
| Over 3 months and up to 6 months | −- | −- | −- | −- | 0.3 | 9.1 | 0.3 | 17.1 |
| Over 1 year | 0.1 | 2.9 | 0.1 | 6.6 | - | - | - | - |
| Over 6 months | - | - | - | - | 0.6 | 22.7 | 0.4 | 18.5 |
|
Data for maturity breakdown cannot be adjusted for local reporting dealers, so maturity values will
not be equal to product totals (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 (d) 2022 survey distinguished for the first time between one day and over one day and up to seven day maturities |
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| April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 | |
|---|---|---|---|---|---|---|---|---|
| Forward rate agreements | 5.5 | 5.6 | 3.6 | 6.7 | 18.2 | 4.1 | 11.5 | 0.2 |
| Swaps(d) | 4.0 | 6.7 | 17.8 | 33.6 | 46.7 | 51.4 | 83.7 | 112.2 |
| Overnight Index Swaps | - | - | - | - | - | - | 47.6 | 51.3 |
| Other Swaps | - | - | - | - | - | - | 36.1 | 60.9 |
| Options | 0.3 | 0.5 | 1.3 | 0.3 | 1.3 | 0.9 | 1.9 | 0.3 |
| Total | 9.8 | 12.8 | 22.7 | 40.6 | 66.2 | 56.4 | 97.1 | 112.7 |
|
(a) Adjusted for local inter-dealer double counting (i.e.’net-gross’ basis) (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 (d) 2019 survey distinguished for the first time between overnight index swaps (OIS) and other interest rate swaps |
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| By type of transaction | April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 |
|---|---|---|---|---|---|---|---|---|
| Forward Rate Agreements | 5.5 | 5.6 | 3.6 | 6.7 | 18.2 | 4.1 | 11.5 | 0.2 |
| Financial institutions - local | 2.9 | 2.4 | 1.4 | 1.8 | 4.0 | 0.6 | * | * |
| Financial institutions - overseas | 1.8 | 3.1 | 1.9 | 3.5 | 14.1 | 3.5 | 11.4 | 0.2 |
| Non-financial institutions | 0.8 | 0.2 | 0.4 | 1.4 | 0.1 | * | 0.1 | * |
| Swaps(d) | 4.0 | 6.7 | 17.8 | 33.6 | 46.7 | 51.4 | 83.7 | 112.2 |
| Financial institutions - local | 1.5 | 1.8 | 2.9 | 8.2 | 13.5 | 12.3 | 18.2 | 23.5 |
| Financial institutions - overseas | 2.2 | 4.2 | 13.6 | 22.9 | 29.9 | 37.8 | 65.0 | 87.6 |
| Non-financial institutions | 0.3 | 0.8 | 1.3 | 2.5 | 3.3 | 1.3 | 0.6 | 1.1 |
| Overnight Index Swaps | - | - | - | - | - | - | 47.6 | 51.3 |
| Financial institutions - local | - | - | - | - | - | - | 10.8 | 9.5 |
| Financial institutions - overseas | - | - | - | - | - | - | 36.8 | 41.7 |
| Non-financial institutions | - | - | - | - | - | - | * | 0.1 |
| Other Swaps | - | - | - | - | - | - | 36.1 | 60.9 |
| Financial institutions - local | - | - | - | - | - | - | 7.4 | 14.1 |
| Financial institutions - overseas | - | - | - | - | - | - | 28.1 | 45.9 |
| Non-financial institutions | - | - | - | - | - | - | 0.5 | 1.0 |
| Options | 0.3 | 0.5 | 1.3 | 0.3 | 1.3 | 0.9 | 1.9 | 0.3 |
| Financial institutions - local | 0.1 | 0.1 | 0.1 | * | * | 0.3 | 0.2 | 0.2 |
| Financial institutions - overseas | 0.1 | 0.4 | 0.1 | 0.3 | 1.1 | 0.5 | 1.7 | 0.1 |
| Non-financial institutions | * | * | 1.2 | * | 0.1 | * | * | 0.1 |
| Total | 9.8 | 12.8 | 22.7 | 40.6 | 66.2 | 56.4 | 97.1 | 112.7 |
| Financial institutions - local | 4.5 | 4.3 | 4.3 | 10.1 | 17.5 | 13.2 | 18.4 | 23.7 |
| Financial institutions - overseas | 4.1 | 7.7 | 15.6 | 26.7 | 45.2 | 41.8 | 78.0 | 87.9 |
| Non-financial institutions | 1.1 | 1.0 | 2.8 | 3.9 | 3.5 | 1.3 | 0.7 | 1.2 |
|
*Indicates less than US$50 million (a) Adjusted for local inter-dealer double counting (i.e.’net-gross’ basis) (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 (d) 2019 survey distinguished for the first time between overnight index swaps (OIS) and other interest rate swaps |
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| – | April 2001 | April 2004 | April 2007 | April 2010 | April 2013 | April 2016 | April 2019 | April 2022 |
|---|---|---|---|---|---|---|---|---|
| AUD | 7.7 | 10.7 | 15.3 | 33.6 | 54.7 | 46.0 | 66.1 | 93.7 |
| USD | 1.2 | 1.1 | 0.8 | 3.3 | 8.7 | 6.5 | 15.3 | 5.2 |
| NZD | - | - | - | - | 2.1 | 3.1 | 14.2 | 9.7 |
| EUR | 0.3 | * | 0.1 | 0.2 | 0.4 | 0.1 | 0.4 | 1.6 |
| GBP | 0.1 | * | * | 0.1 | 0.1 | * | 0.1 | 0.8 |
| JPY | 0.3 | 0.2 | 0.5 | 0.6 | * | 0.1 | * | 0.6 |
| Other | 0.3 | 0.7 | 6.1 | 2.8 | 0.2 | 0.6 | 1.1 | 1.2 |
| Total | 9.8 | 12.8 | 22.7 | 40.6 | 66.2 | 56.4 | 97.1 | 112.7 |
|
*Indicates less than US$50 million (a) Adjusted for local inter-dealer double counting (i.e.’net-gross’ basis) (b) Totals may not sum due to rounding (c) Australian data for the turnover portion of the BIS Triennial Survey contain a series break in April 2016 |
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Endnotes
In cases where no sales desk is involved, the location of the transaction is determined based on the location of the trading desk. This includes trades between related entities that are part of the same group. [1]
Globally, around 1,200 reporting dealers participated in the April 2022 triennial turnover survey, mainly commercial and investment banks. [2]
An adjustment is made for the fact that trades between participants in the Australian survey will have been reported by both parties to the transaction. [3]
The BIS have adjusted global data for both local and cross-border inter-dealer double counting, and it is reported on a “net-net” basis. Aggregating published national results would overstate global turnover due to cross-border double counting. The Australian data are reported on a “net-gross” basis, correcting for local inter-dealer double counting only. [4]
This category is restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus, it excludes cross-currency swaps and other contracts whose predominate risk characteristic is foreign exchange risk. [5]