Foreign exchange and derivatives turnover survey

New Zealand's foreign exchange market handled an average of US$4.2 billion (NZ$7.5 billion) per day in April 2001, according to a Reserve Bank survey released today.

Commenting on the survey, Michael Reddell, Head of Financial Markets said,

"These results are part of a triennial survey of 48 countries co-ordinated by the Bank for International Settlements (BIS), and capture the activity of five major banks participating in the local wholesale financial markets.

"Since 1998 foreign exchange turnover in New Zealand has dropped by 46 per cent. International data show an 18 per cent fall in global foreign exchange turnover. An increasing share of the foreign exchange business once conducted here is now being done in Australia, and this accounts for much of the difference between the fall in New Zealand's turnover and that seen internationally.

"Of the US$4.2 billion of foreign exchange turnover in New Zealand each day, two-thirds involves the NZ dollar against the US dollar. Just over a quarter of the turnover did not involve the NZ dollar at all - for example, around US$500 million of the Australian dollar against the US dollar was traded in New Zealand each day," concluded Mr Reddell.

The survey also covers interest rate derivative products such as forward rate agreements (FRAs) and interest rate swaps. Average daily New Zealand turnover in these products was around NZ$1 billion - up 22 per cent since 1998.

More detailed survey results are contained in the attached information note.

The BIS preliminary global report can be found at http://www.bis.org/publ/rpfx01.htm.

For further information please contact:

Lisa Ryan

Communications Officer

Reserve Bank of New Zealand (04 471 3767)

NB: This news release is embargoed until 4.00am 10 October 2001 NZT, so as to coincide with similar releases from other central banks at 1500 GMT 9 October 2001.

For formatted charts see... http://www.rbnz.govt.nz/news/2001/0109840.html

FOREIGN EXCHANGE MARKET SURVEY

Highlights of survey results

Total gross turnover

- Gross turnover in the New Zealand foreign exchange market reported by survey participants totalled US$76,044 million.

- Average daily turnover was US$4,224 million.

- Market analysis of total turnover:

Market Average daily turnover US$m Per cent of total

1,011 24

Forward 206 5

Swap 2,854 67

Derivatives 153 4

Total 4,224 100

- Currency analysis of total turnover:

Market Average daily turnover US$m Per cent of total

NZD/USD 2,831 67

USD/AUD 503 12

USD/EUR 229 5

USD/JPY 190 5

USD/GBP 137 3

Other 334 8

Total 4,224 100

Spot transactions

- Gross spot turnover totalled US$18,203 million or 24 per cent of total turnover.

- Average daily turnover was US$1,011 million.

- Currency analysis of spot turnover:

Market Average daily turnover US$m Per cent of total

NZD/USD 541 53

USD/AUD 211 21

NZD/AUD 76 8

USD/JPY 64 6

USD/EUR 30 3

USD/GBP 18 2

Other 71 7

Total 1,011 100

- Analysis of spot turnover by counterparty:

Counterparty Per cent of total

With other dealers

Local 9

Cross-border 55

Other financial institutions

Local 5

Cross-border 9

Non-financial customers

Local 22

Cross-border 0

100

Forward transactions

- Gross forward turnover reported by survey participants totalled US$3,713 million or 5 per cent of total turnover.

- Average daily forward turnover was US$206 million.

- Analysis of forward turnover by currency:

Market Average daily turnover US$m Per cent of total

NZD/USD 106 51

NZD/AUD 24 12

USD/AUD 20 10

USD/JPY 15 7

USD/EUR 5 2

USD/GBP 2 1

Other 34 17

Total 206 100

- Analysis of forward turnover by counterparty:

Counterparty Per cent of total

With other dealers

Local 5

Cross-border 23

Other financial institutions

Local 17

Cross-border 9

Non-financial customers

Local 46

Cross-border 0

Total 100

Swap transactions

- Gross swap turnover reported by survey participants totalled US$51,373 million or 67 per cent of total turnover.

- Average daily swap turnover was US$2,854 million.

- Analysis of forward turnover by currency:

Market Average daily turnover US$m Per cent of total

NZD/USD 2,048 72

USD/AUD 269 9

USD/EUR 194 7

USD/GBP 117 4

USD/JPY 111 4

NZD/AUD 29 1

Other 86 3

Total 2,854 100

- Analysis of forward turnover by counterparty:

Counterparty Per cent of total

With other dealers

Local 9

Cross-border 63

Other financial institutions

Local 5

Cross-border 14

Non-financial customers

Local 6

Cross-border 3

Total 100

Maturity analysis of forward and swap transactions

- Maturity analysis of forward and swap transactions by currency:

Currency pair Per cent of swap and forward turnover

Up to 7 days Between 7 days and 1 year Over 1 year

NZD/USD 85 14 1

USD/EUR 89 11 0

USD/AUD 89 11 0

USD/JPY 81 19 0

USD/GBP 94 6 0

Total 84 15 1

Synthetic transactions - foreign exchange

- Gross turnover in foreign currency derivatives totalled US$2,755 million.

- Average daily turnover was US$153 million.

- Analysis of foreign exchange turnover by type:

Foreign exchange derivatives by type Average daily turnover US$m Per cent of total

Currency swaps 126 82

OTC options 27 18

Total 153 100

- Analysis of foreign exchange derivatives turnover by currency:

Market Average daily turnover US$m Per cent of total

NZD/USD 136 89

NZD/AUD 12 8

USD/AUD 3 2

Other 2 1

Total 153 100

Synthetic transactions - single currency interest rate

- Gross turnover in single currency interest rate derivatives totalled US$7,978 million.

- Average daily turnover was US$443 million.

- Analysis of single currency interest rate derivatives turnover by type:

Single interest rate derivatives by type Average daily turnover US$m Per cent of total

Forward rate agreement 308 69

Currency swaps 132 30

OTC options 3 1

Total 443 100

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