BIS 2016 Triennial Central Bank Survey -- September 2016

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The Bank for International Settlements (BIS) in Basel, Switzerland, is the official “record keeper” for the central banks of the world. Every three years, in September, the BIS issues a report called the Triennial Central Bank Survey, which reports metrics in the foreign exchange market gathered during that year. The most recent Surveys were released in 2004, 2007, 2010, and 2013.

The 2016 Survey has just been released.

Each Survey reports on turnover in the foreign exchange (FX) market during the month of April in the Survey year; and on amounts outstanding in the foreign exchange OTC derivatives markets as of June 30 in the Survey year.

The data of interest to us, as retail forex traders, are the turnover data gathered in April. Turnover is the term used by the BIS to describe transaction volume in specific currencies, in specific currency pairs, among specific counterparties, and in the overall FX market.

Here is a LINK to the 2016 Triennial Central Bank Survey in .pdf format.

And here is a copy-and-paste of the highlights on page 3 of the Survey:

  1. BIS Triennial Central Bank Survey

The BIS Triennial Central Bank Survey is the most comprehensive source of information on the size and
structure of global foreign exchange (FX) and over-the-counter (OTC) derivatives markets. The Triennial
Survey aims to increase the transparency of OTC markets and to help central banks, other authorities and
market participants monitor developments in global financial markets. It also helps to inform discussions
on reforms to OTC markets.

FX market activity has been surveyed every three years since 1986, and OTC interest rate derivatives
market activity since 1995.(1) The Triennial Survey is coordinated by the BIS under the auspices
of the Markets Committee (for the FX part) and the Committee on the Global Financial System (for the
interest rate derivatives part). It is supported through the Data Gaps Initiative endorsed by the G20.

The latest survey of turnover took place in April 2016. Central banks and other authorities in 52
jurisdictions participated in the 2016 survey (see page 15). 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. Turnover data are reported by the sales desks of reporting dealers, regardless of where
a trade is booked, and are reported on an unconsolidated basis, ie including trades between related
entities that are part of the same group.

Highlights

Highlights from the 2016 Triennial Survey of turnover in OTC foreign exchange markets:

• Trading in foreign exchange markets averaged $5.1 trillion per day in April 2016. This is down
from $5.4 trillion in April 2013, a month which had seen heightened activity in Japanese yen
against the background of monetary policy developments at that time.

• For first time since 2001, spot turnover declined. Spot transactions fell to $1.7 trillion per day in
April 2016 from $2.0 trillion in 2013. In contrast, the turnover of FX swaps rose further, reaching
$2.4 trillion per day in April 2016. This rise was driven in large part by increased trading of FX
swaps involving yen.

• The US dollar remained the dominant vehicle currency, being on one side of 88% of all trades in
April 2016. The euro, yen and Australian dollar all lost market share. In contrast, many emerging
market currencies increased their share. The renminbi doubled its share, to 4%, to become the
world’s eighth most actively traded currency and the most actively traded emerging market
currency, overtaking the Mexican peso. The rise in the share of renminbi was primarily due to the
increase in trading against the US dollar. In April 2016, as much as 95% of renminbi trading
volume was against the US dollar.

• The share of trading between reporting dealers grew over the three-year period, accounting for
42% of turnover in April 2016, compared with 39% in April 2013. Banks other than reporting
dealers accounted for a further 22% of turnover. Institutional investors were the third largest
group of counterparties in FX markets, at 16%.

• In April 2016, sales desks in five countries – the United Kingdom, the United States, Singapore,
Hong Kong SAR and Japan – intermediated 77% of foreign exchange trading, up from 75% in
April 2013 and 71% in April 2010.

(1) More frequent regional surveys are conducted by local foreign exchange committees in Australia, Canada, London, New York, Singapore and Tokyo. These semiannual surveys focus on the structure of local FX markets, and there are some methodological differences compared with the Triennial Survey. In particular, the Triennial Survey collects data based on the location of the sales desk, whereas some regional surveys are based on the location of the trading desk.

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Many thanks for the info.

There is also one report released quarterly by BIS that is worth noting, the “Credit-to-GDP gaps”, the measure of credit to GDP growth, increased credit without associated growth can be a alarm bell.

It is worth noting which economy has the highest (worst) score.

This particular number has rang a bell with the BOE, in their statement released last week they drew attention to it:

Item 16 in their report:

Financial Policy Committee statement from its meeting, 20 September 2016 | Bank of England

So it will be interesting to see the results of the stress tests come November.

(Edit: the date is Nov 30 2016 for the FPC statement)

You’re referring to the score of 30.1 for China in Q1 16.

Other countries have [I]spiked[/I] higher than the latest China number —

Spain in 2006, 2007, and 2008

Sweden in 2008, 2009, and 2010, and

Hong Kong in 2011, and then again in 2014 and 2015

— but, [B]the relentless rise in the gap in China[/B] from 2010 right up to the
present time (with only one break in the trend in 2011) puts the China situation in a different category — it’s clearly not a “spike”.

The current BIS Quarterly Review (September 2016) displays these data graphically on page A34.

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