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Foreign Exchange

FX news: BIS publishes OTC derivatives market surveys

This week the Bank for International Settlements (BIS) published the second part of its triennial survey and the regular semi-annual survey of positions in the OTC derivatives markets. They’re not wildly exciting, and can probably be summarised with the words: growth in forward FX volumes is healthy, if undramatic, and currency options volumes are holding up.


Read on if you need more detail...


The surveys both cover “the notional amounts outstanding and gross market values of foreign exchange, interest rate, equity, commodity and credit derivatives traded in OTC markets, and both refer to the worldwide consolidated positions of reporting dealers.”

However, the surveys differ in their coverage: the triennial has more than 400 participants in 47 jurisdictions, whereas the semi-annual survey canvassed 59 large dealers in the G10 countries and Switzerland. Both reports show notional amounts outstanding and gross market value (“the cost of replacing all open contracts at the prevailing market prices”).


In FX, the figures include FX swaps and outrights and currency swaps as well as currency options, but we’ll give some focus on the currency options numbers where we can.


In the Triennial survey, OTC FX derivative notional amounts increased 9% to $63 trillion.





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