Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in Canada during April 2022

In April, the Bank of Canada and 51 other central banks and monetary authorities conducted the latest triennial survey of turnover activity in the foreign exchange (FX) and over-the-counter (OTC) derivatives markets in their respective countries. This worldwide effort was coordinated by the Bank for International Settlements (BIS) to obtain global, comprehensive and consistent information on the size and structure of the FX and OTC derivatives markets.

The Bank of Canada today released the summary results of its survey, as did many other participating central banks.1 As well, the BIS issued a press release that summarizes highlights of the aggregated global turnover. All dealers in Canada that are active in the wholesale FX and OTC derivatives markets were surveyed.2

With respect to FX, the survey covered spot transactions, outright forwards, FX swaps, currency swaps and OTC FX options.3 The interest rate products covered were forward-rate agreements, interest rate swaps, overnight index swaps and OTC interest rate options.

Highlights from the 2022 survey

  • Total turnover of FX transactions in Canada rose from US$2.3 trillion in April 2019 to over US$3.4 trillion in April 2022, an increase of 50 percent. Average daily turnover increased from US$109.1 billion in 2019 to US$172 billion in 2022 (Table 1). Canada’s share of global turnover increased to 2.3 percent in 2022 from 1.3 percent in 2019.
  • The increase was driven primarily by FX swaps. The growth in FX swap turnover reflects increased hedging activity by Canadian asset managers as more assets are invested internationally. All other product categories experienced more modest turnover growth.
  • Single-currency interest rate derivatives turnover in April 2022 decreased by 32 percent to US$1.4 trillion from the US$2.2 trillion recorded in 2019 (Table 2). The decrease was driven primarily by forward rate agreements, although there was a decline in interest rate swaps and options turnover as well.
  • The composition of FX business by type of instrument or product and by type of counterparty is shown in Table 3. The proportion of FX swaps rose while the proportion of all other product categories declined or remained the same. The proportion of volumes going through reporting dealers decreased slightly while the share of financial customers increased.4
  • Table 4 shows the breakdown by currency of foreign exchange market activity in Canada. The share of Canadian dollars and US dollars declined slightly, while the share of euros and Pound Sterling increased. The US dollar, the Canadian dollar and the euro were the top three traded currencies. Table 5 provides more detailed information on the turnover in foreign exchange products in Canada.
  • The survey includes an execution methods table for foreign exchange contracts (Table 6). There has been little change with the share of FX transactions undertaken by way of voice direct transactions relative to 2019. However, the share of multi-bank proprietary trading systems increased.
  • Table 7 provides a maturity breakdown for outright forwards and FX swaps. The majority of outright forwards and FX swaps have a maturity of less than seven days.
  1. 1. The reporting basis of the BIS survey is based on the location of the sales desk in Canada.[]
  2. 2. Globally, almost 1,300 reporting dealers, mainly large commercial and investment banks, participated in the April 2022 triennial turnover survey. In Canada, 12 dealers participated.[]
  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. 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.[]