Developments in latest data using the BIS derivatives statistics
About
The Triennial Central Bank Survey of foreign exchange and over-the-counter (OTC) derivatives markets aims to obtain comprehensive and consistent information on the size and structure of global foreign exchange and OTC derivatives markets. The results are intended to increase the transparency of OTC markets and to help central banks, other authorities and market participants monitor developments in global financial markets. They also help to inform discussions on reforms to OTC markets. The Triennial Survey is coordinated by the BIS under the auspices of the Markets Committee and the Committee on the Global Financial System. It is supported through the Data Gaps Initiative endorsed by the G20.
Metadata
- Supervising committee
- Committee on the Global Financial System (CGFS)Markets Committee
- Seasonal adjustment
- Non seasonally adjusted
- Frequencies
- Annual
- Contact
- BIS statistics
- Units
- US dollar
- Last release date
Commentary
Methodology
Reporting guidelines
Bank for International Settlements
Reporting guidelines provide definitions and methodology for compiling the requested data. The strict observance of these guidelines is requested in order to ensure the comparability of the reported data across the different jurisdictions.
Reporting Templates
Bank for International Settlements
Reporting templates are Excel workbooks, each with several worksheets that are organised by the type of information collected.
Reporting countries
Dealers from more than 50 jurisdictions participate in the Triennial Survey, and the statistics are reported to the BIS at a country, rather than individual dealer level. The reporting population for the turnover part of the survey consists of large commercial and investment banks as well as securities dealers (collectively referred to as “reporting dealers”). Central banks are not part of the reporting population. In order to maintain methodological consistency with previous Triennial Surveys and facilitate the separate identification of cross-border and local trades, the turnover part of the survey is conducted on a sales desk location basis.
Research and publications
International finance through the lens of BIS statistics: the global reach of currencies
The use of key currencies in international finance far outstrips the issuing jurisdictions' share in global economic activity. The US dollar dominates globally, while the euro, yen and pound sterling have a smaller international footprint.
The post-Libor world: a global view from the BIS derivatives statistics
The transition from Libor to "nearly risk-free" rates (RFRs) has led to structural changes that have reshaped the trading and hedging behaviour of participants in fixed income markets.
The global foreign exchange market in a higher-volatility environment
Turnover in global foreign exchange (FX) averaged more than $7.5 trillion per day in April 2022 amid a volatile market environment.
The internationalisation of EME currency trading
The participation of non-residents in foreign exchange (FX) markets for emerging market economy (EME) currencies has increased to the point where these markets are almost as internationalised as those for advanced economy (AE) currencies.
Dollar debt in FX swaps and forwards: huge, missing and growing
FX swaps, forwards and currency swaps create forward dollar payment obligations that do not appear on balance sheets and are missing in standard debt statistics.
FX settlement risk: an unsettled issue
FX settlement risk, the risk that one party to a currency trade fails to deliver the currency owed, can result in significant losses and undermine financial stability.
Outward portfolio investment and dollar funding in emerging Asia
This special feature analyses the increased use of short-term foreign exchange hedging instruments in several emerging Asian economies in relation to their outward portfolio investment, which exposes institutional investors and asset managers to US dollar funding disruptions.
FX and OTC derivatives markets through the lens of the Triennial Survey
This special issue of the BIS Quarterly Review analyses the results of the latest BIS Triennial Central Bank Survey of Foreign Exchange and Over-the-counter (OTC) Derivatives Markets (Triennial Survey).
Sizing up global foreign exchange markets
The latest BIS Triennial Survey shows that global foreign exchange trading increased to more than $6 trillion per day. Trading bounced back strongly following a dip in 2016, buoyed by increased trading with financial clients such as lower-tier banks, hedge funds and principal trading firms.
FX trade execution: complex and highly fragmented
The 2019 Triennial Survey shows that trade execution has undergone rapid change, with more diverse participants, new technologies and increasing complexity.
Offshore markets drive trading of emerging market currencies
and Dora Xia
FX markets for the currencies of emerging market economies grew more rapidly than those for major currencies between 2016 and 2019, rising from 19% to almost 25% of global turnover.
The evolution of OTC interest rate derivatives markets
The trading of interest rate derivatives in over-the-counter (OTC) markets more than doubled between 2016 and 2019, significantly outpacing the growth of trading on exchanges.
OTC derivatives: euro exposures rise and central clearing advances
The composition of amounts outstanding in over-the-counter derivatives shifted towards the euro and cleared instruments.
Geographic spread of currency trading: the renminbi and other EM currencies
This paper studies the ongoing diffusion of renminbi trading across the globe, the first such research of an international currency. It analyses the distribution in offshore renminbi trading in 2013 and 2016, using comprehensive data from the Triennial Central Bank Survey of Foreign Exchange and Over-the-Counter Derivatives Market Activity. In 2013, Asian centres favoured by ...
The credit default swap market: what a difference a decade makes
Over the last decade, the size and structure of the global credit default swap (CDS) market have changed markedly. With the help of the BIS derivatives statistics, we document how outstanding amounts have fallen, central clearing has risen and the composition of underlying credit risk exposures has evolved. Netting of CDS contracts has increased, due to the combination of a higher share of standardised index products and the clearing of such contracts via central counterparties. In turn, this has led to a further reduction in counterparty risk. Underlying credit risks have shifted towards sovereigns and portfolios of reference securities with better credit ratings. The distribution of credit risks across counterparty categories has remained broadly unchanged.
Highlights of the BIS international statistics
International banking activity weakened in Q4 2016. Cross-border claims dropped by $281 billion in the quarter, but were nevertheless up 1.9% in the year to end-December 2016. The decline was driven primarily by reduced lending to non-banks and unrelated banks, while intragroup positions picked up. Trends diverged between advanced economies and emerging market economies (EMEs). The weakness in Q4 2016 mainly reflected a fall in crossborder lending to advanced economies, while aggregated claims on EMEs remained relatively stable.
Statistical implications of the new financial landscape
Proceedings of the Eighth IFC Conference, Basel, 8-9 September 2016.
The bond benchmark continues to tip to swaps
By the 1990s, basis risk had caused bond markets, like money markets before them, to start shifting from the use of government rates as benchmarks to the use of private ones.
Credit risk transfer statistics
Abstract of 'Credit risk transfer statistics', September 2009
Proposals for improving global derivatives market statistics
Proposals for improving global derivatives market statistics (CGFS Publications No. 6)
Glossary
Up to seven days.
Trades where the liabilities, obligations and rights of the second deal are exactly the same as those of the original deal. They are normally conducted between affiliates, but can also involve other unrelated entities.
Subset of other financial used in CDS reporting.
Non-investment grade (BB or below).
Central counterparties are entities that interpose between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer.
Contracts that have a return, or a portion of their return, linked to the price of, or to a price index of, a commodity such as a precious metal (other than gold), petroleum, lumber or agricultural products.
Compression is a process of replacing multiple offsetting derivatives contracts with fewer deals of the same net risk to reduce the notional value of the portfolio.
Contracts in which the payout is linked primarily to some measure of the creditworthiness of a particular reference credit.
Contracts in which the protection buyer (risk shedder) pays a fixed periodic fee in return for a contingent payment by the protection seller (risk taker), triggered by a credit event on a reference entity. This is total value of all components.
Contracts to exchange streams of interest payments in different currencies for an agreed period of time and potenital exchange of principal amounts in different currencies at a pre agreed exchange rate at maturity.
Trades executed between the reporting dealer and either a customer or a non-reporting dealer that are not intermediated by a third party.
Forwards with physical delivery of the two underlying currencies at maturity.
Other direct electronic trading systems. For example, the client receives a dedicated price stream directly from the reporting dealer (Bloomberg Chat, Refinitiv Conversational Dealing, direct API price streams).
Electronic trading system owned and operated by a bank for both in-house use and other banks and non-bank clients on a “white label”/prime brokerage basis (Autobahn, BARX, Velocity, UBS Neo).
Subset of electronic - indirect - disclosed.
Multi-bank dealing systems that facilitate trading on a disclosed basis or that allow for price discrimination.
Electronic trading platforms that have historically been geared towards the non-disclosed inter-dealer market; plus any other central limit order book (CLOB) venues that do not allow partitioning of liquidity via the use of customised tags (Refinitiv Matching, EBS Market, EBS Hedge Ai, BGC mid, FXall MidBook).
Undistributed electronic - indirect.
Subset of electronic - indirect - disclosed.
Trades executed via automated order matching system for foreign exchange dealers.
Contracts that have a return, or a portion of their return, linked to the price of a particular equity or to an index of equity prices.
Contracts that have a return, or a portion of their return, linked to the price of an index of equities.
Contracts to exchange two currencies (principal amount only) on a specific date at a rate agreed at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the short leg) agreed at the time of the contract (the long leg).
CDS underlying issued by financial institutions.
Contracts to exchange currencies in the forward market.
Contracts to exchange currencies or gold in the forward market.
Contracts where the rate to be paid or received on a specific obligation for a set period of time, beginning at some time in the future, is determined at contract initiation.
Total FRA and IR swaps.
Total forwards, FX swaps and currency swaps.
Contracts to buy or sell a specific asset at a set future date for a set price.
Not adjusted for inter-dealer double-counting.
Corresponds to the market value after taking account of legally enforceable bilateral netting agreements (for contracts that have a negative market value).
Gross negative market value is the sum of the values of all contracts that have a negative value on the reporting date (ie those that are in a current loss position and therefore, if they were settled immediately, would represent liabilities of the dealer to its counterparties).
Corresponds to the market value after taking account of legally enforceable bilateral netting agreements (for contracts that have a positive market value).
Gross positive market value of a dealer's outstanding contracts is the sum of the replacement values of all contracts that are in a current gain position to the reporter at current market prices (and therefore, if they were settled immediately, would represent claims on counterparties).
Subset of other financial used in CDS reporting.
Investment funds and various types of money managers, including commodity trading advisers. Proprietary trading firms (PTFs) that invest, hedge or speculate for their own account. Also include PTFs that employ their technology for the purpose of electronic market-making and specialised “high frequency trading” (HFT) firms.
Measure of market concentration, defined as the sum of the squared market shares of each individual entity. The index ranges from 0 to 10,000. If only one entity dominates the market, the measure will have the (maximum) value of 10,000.
Multi-name credit default swap contracts with constituent reference credits and a fixed coupon that are determined by an administrator such Markit (which administers the CDX indexes and the iTraxx indexes).
Institutional investors such as mutual funds, pension funds, insurance and reinsurance companies and endowments
Subset of other financial used in CDS reporting.
Trades executed between two dealers where both dealers participate in the triennial survey and are not intermediated by a third party.
Contracts related to an interest-bearing financial instrument whose cash flows are determined by referencing interest rates or another interest rate contract.
Contracts to exchange periodic payments related to interest rates on a single currency (fixed for floating or floating for floating based on different indices).
Investement grade (AAA to BBB).
Having a maturity greater than one year.
Trades executed via a single-bank proprietary platform or a multi-bank dealing system.
CDS referencing more than one name as in portfolio or basket credit default swaps or credit default swap indices
CDS underlying is a portfolio of instruments by multiple sectors.
Adjusted for local inter-dealer double-counting.
Adjusted for local and cross-border inter-dealer double-counting.
Turnover to be settled results from April and previous months turnovoer after netting in April.
Other than payment versus payment settlements (non-PVP).
Group of trades in disclosed market making by principal trading firms.
Non-deliverable forwards are settled in cash (very often in US dollars, or any other pre-agreed currency), without physical delivery of the two underlying currencies at maturity.
Mainly non-financial counterparties, such as corporations and non-financial government entities.
CDS underlying issued by non-financial institutions.
Not rated or no data about rating.
Entities that to not participate in the survey.
Smaller or regional commercial banks, publicly owned banks, securities firms or investment banks that are not directly participating as reporting dealers.
CDS underlying not issued by governments.
Notional amounts which the reporting bank has the right to purchase under OTC option contracts.
Notional amounts which the reporting bank has the right to sell under OTC option contracts.
Number of reporting dealers providing the data.
OTC derivatives and FX spot - turnover
Central banks, sovereign wealth funds, international financial institutions of the public sector (BIS, IMF etc), development banks and agencies.
One day. Market conventions: O/N (overnight), T/N (tomorrow next), S/N (spot next).
In FX derivatives segment, contracts that confer the right to buy or sell a currency with another currency at a specified exchange rate during a specified period. In interest rate derivatives segment, option contracts that confer the right to pay or receive a specific interest rate on a predetermined principal for a set period of time
The right to sell under OTC option contracts.
The right to purchase under OTC option contracts.
CDS underlying is any other structured product that is not ABS or MBS.
Group of trades prime brokered for anonymous PTF trading.
Contract that do not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk.
Financial institutions that are not classified as “reporting dealers” in the survey.
Derivative products where decomposition into individual plain vanilla instruments such as forwards, swaps or options is impractical or impossible.
Contracts to exchange periodic payments related to interest rates on a single currency, fixed for floating or floating for floating based on different indices. Exclude overnight indexed swap.
Any precious metal other than gold.
All remaining financial institutions.
Contracts to exchange two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) at some time in the future (more than two business days later).
Total forwards and FX swaps.
Gross market value minus amounts netted with the same counterparty across all risk categories under legally enforceable bilateral netting agreements. Gross credit exposure provides a measure of exposure to counterparty credit risk (before collateral).
Sum of the absolute values of all outstanding derivatives contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date. The term "gross" indicates that contracts with positive and negative replacement values with the same counterparty are not netted. Gross market values supply information about the potential scale of market risk in derivatives transactions and of the associated financial risk transfer taking place. Furthermore, gross market value provides a measure of economic significance that is readily comparable across markets and products.
Nominal or notional amounts outstanding are the gross nominal or notional value of all deals concluded and not yet settled at the reporting date.
Number of contracts outstanding at period end.
Over one day and up to seven days. Market conventions: S/W (spot week), 1W (one week).
Over one month and up to three months. Market conventions: 3M (three months).
Long-term.
Between one and five years.
Claims with a remaining maturity over one year and up to and including two years.
Claims with a remaining maturity over two years.
Over three months and up to six months. Market conventions: 6M (six months).
More than five years.
Over six months. Market conventions: 9M (nine months), 1Y (one year).
Over seven days and up to one month. Market conventions: 2W (two weeks), 1M (one month).
Between seven days and one year.
Contracts to exchange periodic payments related to interest rates on a single currency, fixed for floating where the periodic floating payment is based on a designated overnight rate or overnight index rate.
Entity owned or otherwise controlled by a banking group, including head office, branch office or subsidiary.
Payment versus payment (PVP) settlements.
CDS underlying is a portfolio or a collection of structured products.
Sum of all precious metals.
Prime brokers are defined as institutions (usually large and highly rated banks) facilitating trades for their clients (often institutional funds, hedge funds and other proprietary trading firms). They enable those clients to conduct trades, subject to credit limits, with a group of predetermined third-party banks in the prime broker’s name.
Trades of reporting dealers with their subsidiaries and affiliated firms.
Financial institutions that participate as reporters in the Triennial Survey.
BIS only. Technical residual.
Trades initiated by retail investors, where “retail investors” refers to private individuals executing, on their own behalf (ie not for any institution), speculative, leveraged and cash-settled foreign exchange transactions.
Subset of other financial used in CDS reporting.
CDS underlying is a structured product.
Having a maturity up to and including one year or on demand.
Trading system owned and operated by a bank.
Contracts that have a return, or a portion of their return, linked to the price of a particular equity.
CDS where the reference entity is a single named entity, eg a corporation.
CDS underlying issued by governments.
The exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) within two business days.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
BIS only. Technical residual.
Sum of all counterparties.
Sum of all instrument in relevant risk category.
Sum of all maturities.
Sum of all executions methods.
Sum of all ratings.
Sum of all risk categories.
Sum of CDS underlying.
Sum of April turnover for settlements.
Total amount of derivatives contracts traded in a period.
Total amount of derivatives contracts traded in a day, calculated as the amount traded over a specified time period divided by the number of business days within this period.
Turnover expressed in number of contracts during a period.
Turnover expressed in daily average number of contracts during the reporting period.
Part of April turnover that should be settled with a single payment.
Part of April turnover that should be settled with four payments.
Part of April turnover that should be settled with two payments.
Sum of April turnover that should be settled with two or four payments.
Contract that was not allocated to any risk category.
Claims for which the remaining maturity is unknown, or claims that cannot be classified by maturity (eg equities and participations).
Up to seven days.
Counterparties not classified in any other financials subgroup. Not allocated to any execution method.
Short-term.
Same clearer (or on-us) with exposure to settlement risk (non-PVP).
Same clearer (or on-us) without exposure to settlement risk (PVP).
Settled via CLS (PVP).
Settled via other PVP methods.
Trades originated in person, by phone, by telefax or through general messaging systems, regardless of how trades are subsequently matched. Not intermediated by a third party.
Trade agreed by a voice method and intermediated by a third party (eg a voice broker).
Trade agreed by a voice.
FAQs
The Survey takes place every three years in April. It tracks the average daily turnover in spot FX and OTC FX and interest rate derivatives during that month. The preliminary results of the Survey are typically published by November, and final results in the December of Survey years.
Turnover of OTC foreign exchange instruments by currency can be found in Table D11.3.
BIS statistics are subject to the terms for permitted use described at https://data.bis.org/help/legal.
Turnover data are collected on an unconsolidated basis from sales desks located in more than 50 participating jurisdictions.
No. The BIS Triennial Survey captures turnover in foreign exchange spot markets, as well as foreign exchange and interest rate OTC derivatives markets. Other risk categories are not covered by this survey.
Tutorial videos
Dollar debt in FX swaps and forwards: huge, missing and growing
|Banking for International Settlements
Patrick McGuire, head of International banking and financial statistics, explains how FX swaps, forwards and currency swaps create forward dollar payment obligations that do not appear on banks' balance sheets.
