Trading of OTC interest rate derivatives increases to $2.7 trillion per day in April 2016

Press release  | 
01 September 2016

The 2016 Triennial Central Bank Survey of foreign exchange and over-the-counter (OTC) derivatives market activity shows that US dollar-denominated instruments overtook euro-denominated instruments as the most actively traded OTC interest rate derivatives. 

Trading in OTC single currency interest rate derivatives averaged $2.7 trillion per day in April 2016. This is up from $2.3 trillion in April 2013. Interest rate swaps were the most actively traded instruments in 2016, at $1.9 trillion per day, followed by forward rate agreements at $0.7 trillion. 

The turnover of euro-denominated derivatives, which have historically been the most actively traded OTC interest rate instruments, declined to $0.6 trillion per day in April 2016. In contrast, the turnover of US dollar instruments rose to $1.4 trillion. Trading also increased in many instruments denominated in emerging market currencies, although the depreciation of many of these currencies against the US dollar between 2013 and 2016 reduced the growth in turnover when measured in US dollars. Among emerging market currencies, OTC interest rate derivatives denominated in Mexican pesos were the most actively traded, with turnover more than doubling between 2013 and 2016 to $26 billion per day. 

Financial institutions other than reporting dealers continued to dominate activity in OTC interest rate derivative markets. Their share of turnover rose from 59% in April 2013 to 66% in April 2016. Trading between reporting dealers fell to a historical low of 26% of global activity. 

The geographical distribution of OTC interest rate derivatives trading saw the United States become the largest trading centre, surpassing the United Kingdom. The United States' share of global activity rose from 23% to 41% between April 2013 and April 2016, driven mainly by the increased trading of US dollar instruments. Over the same period, the United Kingdom's share fell from 50% to 39%, owing in part to the weakness of euro activity, for which the United Kingdom continued to be the largest trading centre. 

Publications presenting the global results of the 2016 Triennial Central Bank Survey are available on the BIS website, separately for turnover in foreign exchange markets and turnover in OTC interest rate derivatives markets. National survey results, from which the global results are compiled, are available on the websites of participating authorities.

Queries regarding the BIS Triennial Central Bank Survey may be directed to statistics$ (where "$" denotes "@").

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  1. The BIS Triennial Central Bank Survey is the most comprehensive source of information on the size and structure of global foreign exchange and OTC derivatives markets. It aims to increase the transparency of OTC markets and to help central banks, other authorities and market participants monitor developments in global financial markets.
  2. The interest rate derivatives part of the Triennial Survey is overseen by the Committee on the Global Financial System at the BIS. Central banks and other authorities in 52 jurisdictions participated in the 2016 survey. They collected data from close to 1,300 banks and other dealers in their jurisdictions and reported national aggregates to the BIS, which then calculated global aggregates.
  3. The coverage, methodology and definitions pertaining to the Triennial Survey are summarised in the publications presenting the global results.
  4. Data are subject to change. Revised data will be released concurrently with the BIS Quarterly Review on 11 December 2016. The December 2016 BIS Quarterly Review will include several special feature articles that analyse the results of the 2016 Triennial Survey.
  5. Data for Triennial Surveys from 1995 to 2016 can be explored and downloaded through the BIS Statistics Explorer or the BIS Statistical Warehouse.