Turnover - April 2019

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In April 2019 the Bank of Italy conducted its regular triennial survey of the volume of transactions carried out by the major resident banks in the foreign exchange and in the currency and interest rate OTC derivatives markets. The survey was performed by 53 central banks and monetary authorities and was coordinated by the Bank for International Settlements (BIS). The Bank of Italy today releases the national results, at the same time as the other participating institutions publish their own in their respective countries. The BIS will simultaneously release its own preliminary global findings after adjusting for cross-border double-counting (https://www.bis.org/publ/rpfx19.htm).

The Italian survey was conducted on a sample of 16 banks (of which 14 were Italian banks and 2 were branches of foreign banks). According to the information contained in the supervisory reports transmitted to the Bank of Italy, these banks account for about 96 per cent of the value of the transactions made in the foreign exchange and derivatives markets, a share similar to that reported in 2016. The survey looks at the value, in terms of nominal and notional amounts, of the new contracts signed in April.

Applying the data obtained from the sample survey to the entire banking system, the total volume of foreign exchange and currency derivatives transactions carried out in April 2019 amounted to $390 billion (Table 1), of which $361 billion were foreign exchange transactions. Transactions in interest rate derivatives were equal to $242 billion in volume terms.

According to the data reported by the respondent banks, swaps are the most widespread instrument among those included in the survey, accounting for a share of 78 per cent in the currency market (Table 2) and 86 per cent in the interest rate market (Table 3). Trading in overnight indexed swaps (OIS) accounted for about 40 per cent of the turnover in interest rate swaps. Options and forward contracts account for a limited share in volume terms for both markets.

The share of dollar-denominated contracts in the foreign exchange market was higher than that of euro-denominated contracts (81 per cent versus 77 per cent; Table 2). Euro/dollar transactions accounted for 76 per cent of total transactions against the euro. In the interest rate derivatives market, euro-denominated contracts accounted for 87 per cent of all contracts, and dollar-denominated contracts for 12 per cent, while the contribution of other currencies was very modest (Table 3).

In the foreign exchange market and in the interest rate derivatives market, transactions with non-resident banks continue to account for the highest share (61 per cent; Table 4).

Annexes