Markedly lower turnover in the Norwegian foreign exchange market
Average daily turnover in the Norwegian foreign exchange market was USD 22 billion in April 2010, a decrease of 31% since April 2007. Average daily turnover in the Norwegian market for OTC interest rate derivatives was USD 12 billion in April 2010, an increase of 77% since April 2007. These are the results of a survey of activity in the Norwegian foreign exchange and OTC interest rate derivatives markets conducted by Norges Bank in April this year. The survey is part of an international survey organised by the Bank for International Settlements (BIS).
Concurrently with the Norges Bank survey, similar surveys were conducted in a total of 53 countries. These surveys have been conducted every three years since 1989. In addition to the turnover survey, a separate survey is being conducted covering contracts outstanding at the end of June this year. The BIS will publish these results in November 2010.
Lower turnover both in the Norwegian spot and forward market
Monthly turnover in the spot market fell by 33.6% in April 2010, while turnover in the forward market decreased by 32.3% compared with April 2007. Turnover in the Norwegian spot market was lower in April 2010 than in the four previous surveys. Turnover of OTC foreign exchange derivatives increased by 38% from April 2007 to April 2010, but these instruments still have a relatively small share of the Norwegian foreign exchange market. From 2010 the BIS has included OTC foreign exchange derivatives in turnover figures for the total foreign exchange market.
According to the BIS, Norwegian banks had a share of 0.4% of turnover in the global foreign exchange market in April 2010, while Norwegian kroner had a share of 1.3%, down from 0.7% and 2.1% respectively in April 2007.
Increased use of OTC interest rate derivatives
While Forward Rate Agreements (FRAs) captured 80.6% of turnover in April 2007, this share fell to 29.9% in April 2010. Turnover of interest rate swaps increased sharply in the same period, representing 70% of turnover in April 2010. This was mainly due to increased trading in interest rate swaps between a reporting dealer and a fully owned special purpose entity. According to the BIS, Norwegian banks’ share of the global OTC interest rate derivatives market increased from 0.3% in April 2007 to 0.4% in April 2010.
Norwegian survey (pdf, 228 kB)