2011年-ECB欧洲央行_BIS_triennial_survey_2010_-_euro_area_data_6页_232kb

BIS Triennial Survey 2010 - Euro Area Data Summary

Core Content

The BIS Triennial Survey 2010 provides a comprehensive assessment of foreign exchange (FX) and over-the-counter (OTC) interest rate derivatives market activity in the euro area, as well as globally. The survey was conducted in April 2010 and coordinated by the Bank for International Settlements (BIS), with data published in December 2010. It is the fourth major survey since the introduction of the euro in 1999.

Main Findings in Foreign Exchange Markets

Global FX Market Activity

• The global average daily turnover in traditional FX instruments increased from USD 3,324 billion in April 2007 to USD 3,981 billion in April 2010, a 20% rise.
• The euro area's share of the global FX market was 11% in net terms, up from 37% for the UK, 18% for the US, and 6% for Japan.
• The euro was the second most traded currency globally in April 2010, with a 39% share, behind the US dollar at 85%.

Euro Area FX Market Activity

• The total FX turnover in the euro area in April 2010 was USD 430 billion, 7% higher than in April 2007.
• Foreign exchange swaps accounted for 62% of the euro area's total FX turnover.
• Inter-dealer trading made up 64% of the euro area's FX turnover, significantly higher than the 39% global average.
• The euro/dollar currency pair was the most actively traded, accounting for 44% of euro area turnover and 28% of global turnover.
• The US dollar was the most traded currency in the euro area, involved in 80% of transactions.

Currency Distribution

• The euro was involved in 62% of transactions by euro area counterparties.
• The US dollar had the largest share of turnover in the euro area, with 80% of transactions.
• The Japanese yen had a 11% share, while the pound sterling had 14%.

Key Insights on OTC Interest Rate Derivatives Markets

Global OTC Interest Rate Derivatives Turnover

• The global average daily turnover for OTC interest rate derivatives rose from USD 1,686 billion in April 2007 to USD 2,057 billion in April 2010.
• The euro area's share of global OTC interest rate derivatives turnover was 18%, up from 6% in 2007.

Euro Area OTC Interest Rate Derivatives Activity

• The euro area's daily turnover for OTC interest rate derivatives was USD 365 billion in April 2010, 6% higher than in April 2007.
• Interest rate swaps were the most traded instrument, representing 72% of euro area turnover, compared to 62% globally.
• Forward rate agreements (FRAs) accounted for 19% of euro area turnover, compared to 29% globally.
• Inter-dealer trading was the dominant activity in the euro area, representing 56% of OTC interest rate derivatives turnover, down from 75% in 2007.
• Trading with other financial institutions increased significantly to 38% of euro area turnover.

Currency Breakdown

• The euro accounted for 41% of global OTC interest rate derivatives turnover, up from 39% in the previous survey.
• Interest rate swaps denominated in euro represented 53% of the euro area's OTC interest rate derivatives turnover in April 2010.
• USD-denominated swaps accounted for 46% of euro area OTC interest rate derivatives turnover, while EUR-denominated swaps made up 193 billion USD, the largest single currency component.

Summary of Key Trends

• FX and OTC interest rate derivatives markets showed moderate growth between 2007 and 2010, with lower growth rates compared to earlier periods.
• The US dollar remained the dominant currency in both FX and OTC interest rate derivatives trading.
• The euro continued to be a major currency, with increased market share in OTC interest rate derivatives and stable share in FX markets.
• Inter-dealer trading dominated both markets in the euro area, with 64% of FX turnover and 56% of OTC interest rate derivatives turnover.
• Non-financial customers accounted for a smaller share of FX and OTC interest rate derivatives trading, indicating a highly institutionalized market.

Conclusion

The 2010 BIS Triennial Survey highlights the continued dominance of the US dollar in global FX and interest rate derivatives markets, while the euro remains a key player, especially in the euro area. The euro area's market share in FX was 11%, and in OTC interest rate derivatives was 18%. The euro/dollar pair remained the most active in both markets, and interest rate swaps were the most traded instrument in the euro area. The growth in market activity slowed down compared to previous years, but the market remained highly concentrated among financial institutions.