Foreign Exchange Turnover Report – April 2012

List of tables

Table 1: Foreign Exchange Turnover by Instrument

Table 2: Foreign Exchange Turnover by Instrument and Counterparty

Table 3: Foreign Exchange Turnover by Currency

Table 4: Foreign Exchange Turnover by Currency Pair

Table 5: Maturities by Instrument and Currency

Table 6a: AUD Turnover by Instrument, Counterparty and Currency

Table 6b: USD Turnover by Instrument, Counterparty and Currency

Table 6c: EUR Turnover by Instrument, Counterparty and Currency

Table 1: Foreign Exchange Turnover by Instrumenta,b Daily average (US$m)
  Apr 2012 Oct 2011 Change over six months
  US$m US$m US$m %
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days (October 2011 calculated on 20 trading days).

b Totals and sub-totals may not sum due to rounding.

Outright Spot 42,450 47,796 −5,346 −11
Outright Forwards 9,316 9,513 −197 −2
FX Swaps 118,477 102,953 15,524 15
TRADITIONAL FOREIGN EXCHANGE TURNOVERb 170,243 160,261 9,982 6
Currency Swaps 3,360 3,825 −465 −12
OTC Options 2,128 2,934 −806 −27
TOTAL TURNOVER 175,732 167,020 8,712 5

Table 2: Foreign Exchange Turnover by Instrument and Counterpartya,b Daily average (US$m)
  Apr 2012 Oct 2011 Change over six months
  US$m US$m US$m %
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days (October 2011 calculated on 20 trading days).

b Sub-totals may not sum due to rounding.

Outright Spot 42,450 47,796 −5,346 −11
Financial Institutions - Local 6,746 7,395 −649 −9
Financial Institutions - Overseas 30,291 34,219 -3,928 −11
Non-financial Institutions - Local 4,596 4,981 −385 −8
Non-financial Institutions - Overseas 818 1,201 −383 −32
Outright Forwards 9,316 9,512 -196 −2
Financial Institutions - Local 2,824 3,260 −436 −13
Financial Institutions - Overseas 4,314 4,272 42 1
Non-financial Institutions - Local 1,920 1,535 385 25
Non-financial Institutions - Overseas 258 446 −188 −42
FX Swaps 118,477 102,953 15,524 15
Financial Institutions - Local 20,884 22,816 −1,932 −8
Financial Institutions - Overseas 90,515 77,083 13,432 17
Non-financial Institutions - Local 3,887 1,235 2,652 215
Non-financial Institutions - Overseas 3,191 1,819 1,372 75
Currency Swaps 3,360 3,825 −465 −12
Financial Institutions - Local 819 664 155 23
Financial Institutions - Overseas 2,019 3,009 −990 −33
Non-financial Institutions - Local 321 23 298 1,296
Non-financial Institutions - Overseas 202 129 73 57
OTC Options 2,128 2,934 −806 −27
Financial Institutions - Local 171 323 −152 −47
Financial Institutions - Overseas 1,277 2,162 −885 −41
Non-financial Institutions - Local 484 343 141 41
Non-financial Institutions - Overseas 196 105 91 87

Table 3: Foreign Exchange Turnover by Currencya Daily average (US$m)
  Apr 2012 Proportion of Totalb Oct 2011 Proportion of Totalb
  US$m % US$m %
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days (October 2011 calculated on 20 trading days).

b Proportions sum to 200% as there are two currencies involved in each transaction.

AUD 91,314 52 88,241 53
USD 160,057 91 152,020 91
EUR 29,214 17 23,364 14
OTHER CURRENCIES 70,879 40 70,414 42
TOTAL 175,732   167,020  

Table 4: Foreign Exchange Turnover by Currency Paira Daily average (US$m)
  Apr 2012 Proportion of Total Oct 2011 Proportion of Total
  US$m % US$m %
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days (October 2011 calculated on 20 trading days).

b Totals may not sum due to rounding.

AUD/USD 81,319 46 78,622 47
AUD/EUR 2,305 1 2,051 1
AUD/JPY 3,057 2 2,485 1
AUD/GBP 1,607 1 1,861 1
AUD/CHF 129 0 111 0
AUD/CAD 685 0 629 0
AUD/NZD 1,241 1 1,521 1
AUD/SEK 44 0 64 0
AUD/OTHER ASIAN 740 0 685 0
AUD/OTHER EUROPEAN 58 0 48 0
AUD/OTHER 128 0 163 0
EUR/USD 23,390 13 17,986 11
USD/JPY 17,878 10 20,283 12
USD/GBP 8,962 5 7,901 5
USD/CHF 1,739 1 1,167 1
USD/CAD 5,362 3 3,821 2
USD/NZD 13,405 8 14,190 8
USD/SEK 406 0 542 0
USD/OTHER ASIAN 5,248 3 5,687 3
USD/OTHER EUROPEAN 572 0 689 0
USD/OTHER 1,778 1 1,133 1
EUR/JPY 1,354 1 819 0
EUR/GBP 900 1 1,204 1
EUR/CHF 296 0 420 0
EUR/CAD 195 0 147 0
EUR/NZD 209 0 205 0
EUR/SEK 45 0 53 0
EUR/OTHER ASIAN 131 0 180 0
EUR/OTHER EUROPEAN 140 0 56 0
EUR/OTHER 247 0 243 0
RESIDUAL CURRENCIES 2,161 1 2,053 1
TOTALb 175,732 100 167,020 100

Table 5: Maturities by Instrument and Currencya,b Daily average (US$m)
  Seven days or less Seven days to 1 year Over 1 year
  US$m US$m US$m
a Not adjusted for reporter dealer double counting. Daily average for April 2012 calculated on 18 trading days.

b Totals may not sum due to rounding.

c ‘Against USD’ excludes AUD/USD turnover; ‘Against EUR’ excludes AUD/EUR and EUR/USD turnover.

Outright Forwards 3,317 6,034 261
Against AUD 1,842 4,062 124
Against USDc 1,374 1,846 136
Against EURc 72 57 1
OTHER CURRENCIES 30 69 0
FX Swaps 105,945 25,635 694
Against AUD 55,534 15,082 348
Against USDc 49,193 10,193 347
Against EURc 746 295 0
OTHER CURRENCIES 472 65 0
Currency Swaps 182 839 2,715
Against AUD 171 794 2,637
Against USDc 11 45 76
Against EURc 0 0 2
OTHER CURRENCIES 0 0 0
OTC Options 497 1,658 105
Against AUD 429 1,263 57
Against USDc 65 366 48
Against EURc 3 23 0
OTHER CURRENCIES 0 7 0

Table 6a: AUD Turnover by Instrument, Counterparty and Currencya,b Daily average (US$m)
  AUD Against
  USD EUR JPY GBP CHF CAD NZD SEK Other
ASIAN
Other
EUROPEAN
OTHER  TOTAL
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days.

b Totals and sub-totals may not sum due to rounding.

Outright Spot 14,332 1,211 1,008 866 67 450 839 18 477 28 76 19,371
Financial Institutions - Local 2,126 135 126 157 5 59 185 2 100 5 5 2,905
Financial Institutions - Overseas 8,893 499 764 504 32 305 475 3 163 2 8 11,648
Non-financial Institutions - Local 3,067 561 107 180 29 80 162 13 212 20 63 4,495
Non-financial Institutions - Overseas 247 16 11 24 0 6 18 0 2 0 0 323
Outright Forwards 4,038 509 378 425 41 125 162 22 156 20 27 5,904
Financial Institutions - Local 1,248 220 214 157 14 65 49 14 97 8 10 2,095
Financial Institutions - Overseas 1,434 96 92 129 5 33 87 3 20 5 3 1,907
Non-financial Institutions - Local 1,259 191 71 130 22 24 22 4 37 7 14 1,783
Non-financial Institutions - Overseas 97 2 1 10 0 3 4 0 2 0 0 119
FX Swaps 58,290 534 1,654 303 21 98 144 5 96 11 23 61,178
Financial Institutions - Local 13,724 88 136 66 8 21 39 2 45 0 6 14,136
Financial Institutions - Overseas 41,006 311 1,315 193 6 56 49 1 29 8 14 42,988
Non-financial Institutions - Local 2,806 132 47 42 6 18 46 2 21 2 3 3,125
Non-financial Institutions - Overseas 754 3 157 2 0 3 10 0 1 0 0 929
Currency Swaps 3,211 20 0 2 0 1 0 0 0 0 0 3,234
Financial Institutions - Local 774 0 0 0 0 0 0 0 0 0 0 774
Financial Institutions - Overseas 1,924 12 0 1 0 0 0 0 0 0 0 1,937
Non-financial Institutions - Local 312 7 0 1 0 0 0 0 0 0 0 321
Non-financial Institutions - Overseas 201 0 0 0 0 1 0 0 0 0 0 201
OTC Options 1,447 32 16 11 0 11 96 0 12 0 1 1,626
Financial Institutions - Local 130 0 2 0 0 0 26 0 1 0 0 159
Financial Institutions - Overseas 767 21 13 7 0 6 41 0 10 0 0 866
Non-financial Institutions - Local 440 3 0 2 0 0 18 0 1 0 0 463
Non-financial Institutions - Overseas 110 8 1 2 0 5 12 0 1 0 0 138
Total AUD Turnover 81,319 2,305 3,057 1,607 129 685 1,241 44 740 58 128 91,314

Table 6b: USD Turnover by Instrument, Counterparty and Currencya,b,c Daily average (US$m)
  USD Against
  EUR JPY GBP CHF CAD NZD SEK Other
ASIAN
Other
EUROPEAN
OTHER  TOTAL
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days.

b Totals and sub-totals may not sum due to rounding.

c USD turnover excludes AUD/USD turnover.

Outright Spot 7,708 3,264 2,639 360 1,613 1,706 57 1,522 85 259 19,213
Financial Institutions - Local 1,131 681 527 35 426 358 3 202 7 34 3,403
Financial Institutions - Overseas 6,406 2,507 2,046 318 1,125 1,296 52 1,286 72 190 15,300
Non-financial Institutions - Local 19 17 12 1 6 7 0 13 2 13 90
Non-financial Institutions - Overseas 152 58 54 6 56 45 1 21 4 23 420
Outright Forwards 858 386 215 65 204 225 40 1,087 12 100 3,194
Financial Institutions - Local 236 56 60 5 25 32 3 226 2 33 678
Financial Institutions - Overseas 551 302 136 60 159 173 34 792 7 54 2,268
Non-financial Institutions - Local 33 14 12 1 14 11 0 28 4 10 127
Non-financial Institutions - Overseas 38 14 7 0 6 8 3 41 0 3 121
FX Swaps 14,560 14,053 6,082 1,313 3,531 11,367 310 2,627 475 1,418 55,736
Financial Institutions - Local 1,842 1,340 661 206 302 1,609 31 435 66 130 6,622
Financial Institutions - Overseas 11,548 12,609 5,343 1,065 3,178 8,804 146 2,160 319 1,111 46,283
Non-financial Institutions - Local 104 54 19 19 31 469 0 1 1 0 700
Non-financial Institutions - Overseas 1,066 49 59 22 20 485 132 32 90 176 2,131
Currency Swaps 58 43 4 0 4 13 0 1 0 0 124
Financial Institutions - Local 24 16 3 0 2 0 0 0 0 0 44
Financial Institutions - Overseas 35 28 1 0 2 13 0 1 0 0 80
Non-financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0
Non-financial Institutions - Overseas 0 0 0 0 0 0 0 0 0 0 0
OTC Options 206 132 22 0 9 93 0 10 0 0 471
Financial Institutions - Local 5 0 0 0 0 3 0 1 0 0 9
Financial Institutions - Overseas 188 130 7 0 6 47 0 8 0 0 388
Non-financial Institutions - Local 6 2 9 0 0 4 0 0 0 0 21
Non-financial Institutions - Overseas 7 0 6 0 2 38 0 1 0 0 54
Total USD Turnoverc 23,390 17,878 8,962 1,739 5,362 13,405 406 5,248 572 1,778 78,739

Table 6c: EUR Turnover by Instrument, Counterparty and Currencya,b,c Daily average (US$m)
  EUR Against  
  JPY GBP CHF CAD NZD SEK Other
ASIAN
Other
EUROPEAN
OTHER  TOTAL RESID-
UALS
GRAND TOTALd
a Adjusted for reporting dealer double counting. Daily average for April 2012 calculated on 18 trading days.

b Totals and sub-totals may not sum due to rounding.

c EUR turnover excludes AUD/EUR and EUR/USD turnover.

d Grand total is the sum of AUD turnover (Table 6a), USD turnover (Table 6b), EUR turnover (Table 6c) and Residuals (Table 6c).

Outright Spot 814 714 238 125 130 43 108 93 68 2,334 1,532 42,450
Financial Institutions - Local 53 128 38 15 31 5 20 13 1 305 133 6,746
Financial Institutions - Overseas 744 576 186 107 97 35 87 77 60 1,970 1,372 30,291
Non-financial Institutions - Local 0 4 1 0 1 0 0 1 0 8 4 4,596
Non-financial Institutions - Overseas 17 5 13 3 0 3 0 2 7 52 23 818
Outright Forwards 24 24 30 2 21 2 12 4 2 122 97 9,316
Financial Institutions - Local 2 7 5 0 4 1 5 2 0 27 24 2,824
Financial Institutions - Overseas 21 14 23 1 14 1 7 2 2 84 56 4,314
Non-financial Institutions - Local 0 3 0 2 1 0 0 0 0 6 4 1,920
Non-financial Institutions - Overseas 1 0 2 0 1 0 0 0 0 5 13 258
FX Swaps 511 152 20 67 57 0 11 43 175 1,037 526 118,477
Financial Institutions - Local 72 2 9 0 4 0 0 2 0 87 39 20,884
Financial Institutions - Overseas 375 144 11 58 28 0 11 41 133 802 442 90,515
Non-financial Institutions - Local 56 0 0 1 0 0 0 0 0 58 5 3,887
Non-financial Institutions - Overseas 8 7 0 8 26 0 0 0 42 90 41 3,191
Currency Swaps 0 1 0 0 1 0 0 0 0 2 0 3,360
Financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 819
Financial Institutions - Overseas 0 1 0 0 0 0 0 0 0 2 0 2,019
Non-financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 321
Non-financial Institutions - Overseas 0 0 0 0 1 0 0 0 0 1 0 202
OTC Options 5 8 7 0 1 0 0 0 2 24 7 2,128
Financial Institutions - Local 0 0 3 0 0 0 0 0 0 3 0 171
Financial Institutions - Overseas 5 5 4 0 1 0 0 0 2 18 6 1,277
Non-financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 484
Non-financial Institutions - Overseas 0 3 0 0 0 0 0 0 0 3 1 196
Total EUR Turnoverc 1,354 900 296 195 209 45 131 140 247 3,518 2,161 175,732