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Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in Canada during April 2016

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During the month of April, the Bank of Canada and 51 other central banks and monetary authorities conducted the latest survey of turnover activity in the foreign exchange and over-the-counter (OTC) derivatives markets in their respective countries. This worldwide effort was coordinated by the Bank for International Settlements (BIS) and is undertaken every three years.

The purpose of the survey is to obtain global, comprehensive, and consistent information on the size and structure of the foreign exchange and OTC derivatives markets. The data are collected to increase market transparency and to help central banks, market participants, and others better understand and monitor patterns of activity in global financial markets.

The Bank of Canada is releasing the summary results of its survey today, as are many other participating central banks. As well, the BIS is issuing a press release that summarizes highlights of the aggregated global turnover.1 Canada has participated in this survey since 1983, and summary results of earlier surveys are shown in Tables 1 through 4 and 7.

Almost all dealers in Canada that are active in the wholesale foreign exchange and derivatives markets were surveyed. These 14 financial institutions are estimated to be involved in approximately 98 per cent of the transactions executed in Canada.2 With respect to foreign exchange, the survey covered spot transactions, outright forwards, foreign exchange swaps, currency swaps,3 and OTC options. The interest rate products covered were forward-rate agreements, interest rate swaps, and OTC options. Participants were also asked to identify transactions by currency and type of counterparty, and, in the case of foreign exchange, they were asked to identify the execution method for each transaction.

The turnover part of the triennial survey is conducted on the basis of residence or location. In particular, the basis for reporting is the country in which the sales desk of a trade is located.4 Where no sales desk is involved in a deal, the trading desk is used to determine the location. Although there was some variation in their individual qualitative assessments, on average, reporting dealers in Canada indicated that turnover activity during the month of April was normal and that activity was steady to increasing compared to the previous six months.

Highlights of the 2016 survey

  • During the month of April, total turnover of foreign exchange transactions rose from US$1.4 trillion in 2013 to almost US$1.8 trillion in 2016, an increase of 25.9 per cent. However, with one less business day in April 2016 than in 2013, average daily turnover increased by 31.9 per cent from US$64.8 billion in 2013 to US$85.5 billion in 2016 (Table 1).
  • All the product categories experienced turnover growth compared with three years ago. On an average daily basis, from April 2013 to April 2016 spot transactions were up 13 per cent to US$16.9 billion, outright forwards 28 per cent to US$12.9 billion, foreign exchange swaps 35 per cent to US$48.1 billion, options 57 per cent to US$4.8 billion and currency swaps more than doubled (from a small base) to US$2.9 billion.
  • Single-currency interest rate derivatives turnover in April 2016 totaled US$688.6 billion, down 7.9 per cent from the US$747.4 billion recorded in 2013 (Table 2). Average daily turnover fell by 3.5 per cent from US$34.0 billion to US$32.8 billion. On an average daily basis, interest rate swaps increased by 16.5 per cent to US$29.3 billion. In contrast, forward rate agreements fell by 62 per cent to US$2.6 billion and interest rate options fell by 58 per cent to US$0.85 billion.
  • The composition of foreign exchange business by type of instrument or product over the past 12 surveys is shown in Table 3. The proportion of spot transactions fell to 20 per cent from 23 per cent and outright forwards fell slightly to 15 per cent. In contrast, the proportion of foreign exchange swaps, currency swaps, and options rose marginally to 56 per cent, 3 per cent and 6 per cent respectively.
  • Table 3 also provides data on the composition of foreign exchange business by type of counterparty. This table shows that the proportion of business going through reporting dealers is 64 per cent. The proportion of financial customer5 business is 25 per cent (see the next bullet for more detail), and non-financial customers, which are mainly non-financial end-users such as corporations and non-financial government entities, account for 11 per cent of the total.
  • This is the second survey in which reporting dealers were asked to provide a detailed breakdown of the other financial institutions counterparty category. The sub-category breakdown is provided in Table 3a and as can be seen, most of the volumes are attributed firstly to institutional investors (60 per cent) and secondly to non-reporting banks (24 per cent), with lesser amounts to hedge funds and proprietary trading firms (8 per cent), official sector financial institutions (2 per cent) and others (6 per cent).
  • Table 4 shows the breakdown by currency of foreign exchange market activity in Canada. Of the transactions, 94.3 per cent had the U.S. dollar on one side and 60.1 per cent had the Canadian dollar on one side. The other most significant currencies in foreign exchange transactions in Canada in 2016 were the euro (14.4 per cent), the U.K. pound sterling (12.6 per cent), the Japanese yen (6.0 per cent), the Australian dollar (2.9 per cent), the Mexican peso (2.5 per cent) and the Swedish krona (2.3 per cent).
  • Tables 5 and 6 provide more detailed information on the turnover in foreign exchange and interest rate derivatives respectively in Canada. In Table 5, it can be seen that total foreign exchange turnover in the Canadian-dollar against the U.S.-dollar increased by 26.6 per cent and other currency business against the U.S. dollar increased by 30.5 per cent. Transactions in the Canadian dollar against currencies other than the U.S. dollar, and all other currency pairs, represent a relatively small percentage of total transactions (6.3 per cent). Non-deliverable forwards (NDFs) totaled US$22.3 billion during the month of April. By volume, approximately 36 per cent of all foreign exchange transactions are undertaken with local (located inside Canada) counterparties and 64 per cent with cross border (located outside Canada) counterparties.
  • Two-thirds of interest rate derivatives in Canada (Table 6) are denominated in Canadian dollars, 28 per cent in U.S. dollars and 5 per cent in other currencies. Canadian-dollar interest rate derivatives increased in volume by 29.2 percent compared with three years ago whereas U.S.-dollar derivatives declined by 31.8 per cent. By volume, approximately one-fifth of all interest rate derivatives are with local counterparties and four-fifths are with cross border counterparties.
  • Retail-driven transactions, which were broken out in the 2016 survey, are defined to include reporting dealers’ transactions with both “wholesale” financial counterparties6 that cater to retail investors and direct transactions with “non-wholesale” investors (private individuals)7. Reporting dealers reported only US$2.5 billion in retail-driven transactions in April, 60 per cent of which were spot transactions with the remaining 40 per cent being outright forwards and foreign exchange swaps. The estimated share of retail-driven transactions with wholesale counterparties was 53 percent. Non-wholesale investors were the remaining 47 per cent of transactions with the majority (45 per cent) executed by phone and only 2 per cent executed online.
  • Table 7 provides a maturity breakdown for outright forwards and foreign exchange swaps. Almost 99 per cent of these transactions are less than one year in duration, with 57 per cent being for one week or less.
  • The survey includes an execution methods table for foreign exchange contracts (Table 8). Thirty-eight percent of all foreign exchange transactions were undertaken by way of voice direct8 (over the telephone). Eleven per cent of transactions were intermediated through voice brokers (voice indirect). Fifty-one per cent of all foreign exchange transactions were executed electronically, mostly through single-bank proprietary trading systems (16 per cent), Reuters Matching/EBS (14 per cent), other electronic communication networks or multi-bank dealing systems (11 per cent), and “other” direct electronic trading systems (9 per cent).


Additional tables on the results of the Canadian survey, including detailed tables on amounts outstanding, will be made available on the FX Volumes and Rates of the Canadian Foreign Exchange Committee’s (CFEC’s) website (<>) later this year. These will be published after the release of the final comprehensive global report of the BIS on the 2016 survey. CFEC’s website will contain a direct link to that report once it is available.

  1. 1. The BIS will publish the global results of the survey on the web page:[]
  2. 2. Globally, almost 1,300 reporting dealers, mainly large commercial and investment banks, participated in the April 2016 triennial turnover survey.[]
  3. 3. Currency swaps involve the exchange of streams of interest payments and principal amounts, whereas foreign exchange swaps involve the exchange of principal amounts only.[]
  4. 4. In April 2015, the reporting basis in the Canadian Foreign Exchange Committee (CFEC) survey of foreign exchange volumes was changed from the location of the trading desk in Canada to the location of the sales desk in Canada, the same basis as in the triennial survey. As with the triennial survey in Canada, the CFEC survey is coordinated by the Bank of Canada.[]
  5. 5. Financial customers comprise financial institutions such as mutual funds, pension funds, hedge funds, currency funds, money market funds, leasing companies, insurance companies, financial subsidiaries of corporate firms, and central banks. Financial customers also include smaller commercial and investment banks that do not participate as reporting dealers in the triennial survey.[]
  6. 6. This includes electronic trading platforms and retail margin brokerage firms.[]
  7. 7. Non-wholesale or retail investors refer to private individuals executing on their own behalf (not for any institution) speculative, leveraged, and cash-settled foreign exchange transactions.[]
  8. 8. Most internal or related party trades are classified as having been executed by “voice direct” in the survey.[]