Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2001

In March 2000, the central banks of the Group of Ten (G10) countries agreed to repeat in April and June 2001 the internationally coordinated survey of foreign exchange and derivatives markets which was last carried out in April and June 1998. An increased number of 50 central banks and monetary authorities (up from 43) have been invited to participate in the next survey. The objective of the reporting exercise is to obtain reasonably comprehensive and internationally consistent information on the size and structure of foreign exchange and over-the-counter (OTC) derivatives markets. The purpose of the statistics is to increase market transparency and thereby help central banks, other authorities and participants to better monitor patterns of activity in the global financial system.

The reporting exercise will comprise the collection of market data on turnover in notional amounts of foreign exchange spot and foreign exchange and interest rate OTC derivatives transactions. In addition, it will cover notional amounts and gross market values outstanding of foreign exchange, interest rate, equity, commodity, credit and "other" OTC derivative instruments.

In order to maintain consistency with the previous surveys, the turnover part of the survey will be conducted on a locational basis in April 2001 in a format similar to that of the last survey in April 1998. In order to create benchmarks for regular derivatives market reporting in the G10 countries, which began in mid-1998, and to minimise the reporting burden for regular reporters, the format of the amounts outstanding part of the survey corresponds to the format of regular derivatives market reporting. The data on derivatives outstanding will therefore be collected on a consolidated basis at end-June 2001. In order to limit the reporting burden, only aggregate data are requested on market values and no data will be collected on either turnover or amounts outstanding of exchange-traded derivative instruments, given that timely and comprehensive information on these products is available from the exchanges themselves.

The format of the 2001 survey includes the following changes compared with the 1998 survey:

• The foreign exchange turnover part of the survey has been expanded to cover 21 additional, mainly emerging market currencies. In order to limit the reporting burden, data will only be collected on total turnover for each of the additional currencies rather than broken down by currency pair as for the existing currencies.
• The section on turnover of interest rate derivatives has been expanded to include nine additional currencies.