Read The Canadian Foreign Exchange Committee/Le comité canadien du marché des changes text version

THE CANADIAN FOREIGN EXCHANGE COMMITTEE LE COMITÉ CANADIEN DU MARCHÉ DES CHANGES

150 King Street West Suite 2000 Toronto, Ontario M5H 1J9 Contact: Rhonda Staskow Telephone: (613) 782-8684 Email: [email protected]

CFEC Releases Results of April 2010 Foreign Exchange Volume Survey July 26, 2010 - The Canadian Foreign Exchange Committee (CFEC) released today the results of its April 2010 semi-annual survey of foreign exchange volumes in Canada. This release also includes revisions to the October 2009 and April 2009 surveys.1 The purpose of the survey is to provide information on the size and structure of the foreign exchange and foreign exchange derivatives market in Canada. Volumes are broken down by product, currency, counterparty, maturity and execution method. The eight banks with the largest foreign exchange activity in Canada participate. The survey is similar in nature to the Bank for International Settlements' (BIS) Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity. However, the two surveys may not be directly comparable because of some differences in reporting methodology. Most importantly, in the CFEC survey the basis for reporting is the location of the trading desk in Canada, i.e., it includes all transactions that are priced and executed by traders in Canada. In contrast, in the global BIS survey the basis for reporting is the location of the sales desk of any trade.2 The summary highlights of the April 2010 survey include the following: · The monthly turnover in April of traditional foreign exchange products (defined as spot transactions, outright forwards and foreign exchange swaps) totaled US$ 1.2 trillion. On an average daily basis, total turnover increased by 9.4% from US$ 52.1 billion in October 2009 to US$ 57.0 billion in April. On an average daily basis in April, spot and outright forward volumes increased by 33% and 20% respectively compared with the month of October 2009. In contrast, foreign exchange swap turnover declined slightly by almost 1% from October to April. Compared with the survey one year ago, on an annual basis the average daily turnover of traditional foreign exchange products increased by 14.5%. Nevertheless, traditional foreign exchange turnover remains lower than over the October 2007 to October 2008 period. The average daily turnover of foreign exchange derivatives (currency swaps and options) totaled US$ 3.1 billion, up over 40% on an average daily basis from the survey six months ago. Foreign exchange derivatives turnover has returned to the level of activity that was seen in October 2007.

· · ·

The October 2009 and April 2009 releases on the CFEC website have been revised. Where no sales desk is involved in a transaction, for example in an interbank deal, volumes are based on the trading desk.

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The detailed results of the survey are presented in the summary tables attached. The CFEC is an industry group composed of senior representatives from financial institutions actively involved in the foreign exchange market in Canada and the U.S. dollar/Canadian dollar market globally. Formed in 1989, its objective is to provide a forum for the regular discussion of issues and developments pertinent to the foreign exchange market. This includes the review of market practices and procedures, and the promotion of professionalism and integrity in the industry. The Bank of Canada chairs the CFEC and provides secretariat services to the Committee. The Bank of Canada also co-ordinates the CFEC survey on behalf of the market participants. The eight banks that participate in the survey are: · · · · · · · · Bank of Nova Scotia BMO Capital Markets CIBC World Markets HSBC Bank Canada National Bank of Canada RBC Capital Markets State Street (Canada) TD Securities

Globally, a number of other foreign exchange committees conduct similar surveys and they are also releasing their results today on their websites. These include the (London) Foreign Exchange Joint Standing Committee, the (New York) Foreign Exchange Committee, the Tokyo Foreign Exchange Market Committee, the Singapore Foreign Exchange Market Committee and the Australian Foreign Exchange Committee. Links to the websites of the other foreign exchange committees can be found on the CFEC website (www.cfec.ca). Alternatively, the direct links to their survey results are provided below: http://www.bankofengland.co.uk/markets/forex/fxjsc/index.htm http://www.newyorkfed.org/fxc/volumesurvey/ http://www.fxcomtky.com/index_e.html http://www.sfemc.org/statistics.asp http://www.rba.gov.au/AFXC/Statistics/FXTurnoverReports/2010Apr_2010/index.html

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The Canadian Foreign Exchange Committee

Semi-annual Foreign Exchange Volume Survey

April, 2010

Summary Tables

July 26, 2010

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Table of Contents

Summary turnover data for April, 2010 Table 1 Traditional foreign exchange turnover in Canada - Summary of surveys Over-the-counter (OTC) derivatives market turnover in Canada - Summary of surveys Total reported foreign exchange turnover in Canada Reported traditional foreign exchange turnover in Canada by instrument and by counterparty - Summary of surveys Currency distribution of traditional foreign exchange market turnover in Canada - Summary of surveys Reported foreign exchange market turnover in Canada by maturity Execution methods

Table 2

Table 3 Table 4

Table 5

Table 6

Table 7

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Table 1: Traditional foreign exchange turnover in Canada

Summary of surveys

Billions of U.S. dollars

Traditional foreign exchange turnover Spot

Oct. 2005 Apr. 2006 Oct. 2006 Apr. 2007 Oct. 2007 Apr. 2008 Oct. 2008 Apr. 2009 Oct. 2009 Apr. 2010 223.8 235.4 238.9 236.5 326.5 375.0 401.9 248.4 269.9 358.3

Outright forwards

60.9 61.1 63.3 73.8 88.0 110.3 185.3 107.2 99.6 119.5

FX swaps

685.5 703.6 732.0 756.0 1023.9 913.0 873.3 690.6 724.1 719.9

Total

970.2 1000.1 1034.1 1066.2 1438.4 1398.3 1460.4 1046.1 1093.5 1197.7

Number Average Per cent of total change business daily days turnover

20 19 21 20 22 22 22 21 21 21 48.5 52.6 49.2 53.3 65.4 63.6 66.4 49.8 52.1 57.0 8.5 -6.4 8.3 22.7 -2.8 4.4 -25.0 4.6 9.4

Table 2: Over-the-counter (OTC) derivatives market turnover in Canada

Summary of surveys

Billions of U.S. dollars

Foreign exchange derivatives Currency swaps

Oct. 2005 Apr. 2006 Oct. 2006 Apr. 2007 Oct. 2007 Apr. 2008 Oct. 2008 Apr. 2009 Oct. 2009 Apr. 2010 24.6 27.6 18.5 22.6 24.0 23.3 21.1 21.8 17.6 24.3 55.2 28.0 25.5 36.4 44.2 35.6 39.0 25.3 28.0 41.7 79.8 55.6 44.0 59.1 68.1 58.9 60.1 47.1 45.6 66.0

Options

Total

Number Average Per cent of change total business daily days turnover

20 19 21 20 22 22 22 21 21 21 4.0 2.9 2.1 3.0 3.1 2.7 2.7 2.2 2.2 3.1 -27.5 -27.6 42.9 3.3 -12.9 0.0 -18.5 0.0 41.0

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Table 3: Total reported foreign exchange turnover in Canada

Millions of U.S. dollars

Instrument and counterparty

Spot Reporting dealers Other dealers Other financial Non-financial Outright forwards Reporting dealers Other dealers Other financial Non-financial FX swaps Reporting dealers Other dealers Other financial Non-financial Total dealers Reporting Other Total customers Financial Non-financial Total turnover Currency swaps OTC options

Canadian dollar against U.S. U.S. dollar against currencies Canadian dollar against dollar other than the Canadian dollar currencies other than the U.S. dollar Per cent Per cent Oct-09 Apr-10 Per cent Oct-09 Apr-10 Oct-09 Apr-10 growth growth growth

150,112 8800 93,787 21,505 26,020 51,155 404 7,532 27,251 15,968 545,192 90,931 374,867 47,032 32,362 576,321 100,135 476,186 170,138 95,788 74,350 746,459 13,993 16,703 184,603 12549 121,220 19,270 31,564 50,150 890 7,002 24,626 17,632 537,517 83,206 378,440 46,799 29,072 603,307 96,645 506,662 168,963 90,695 78,268 772,270 15,163 21,960 23 43 29 -10 21 -2 120 -7 -10 10 -1 -8 1 0 -10 5 -3 6 -1 -5 5 3 8 31 95,881 2,348 84,357 5,287 3,889 33,636 936 22,738 7,695 2,267 161,835 6,787 135,984 14,112 4,952 253,150 10,071 243,079 38,202 27,094 11,108 291,352 3,033 12,695 140,816 2,346 105,764 10,510 22,196 50,291 954 34,067 9,348 5,922 163,230 7,044 122,143 15,289 18,754 272,317 10,343 261,974 82,019 35,147 46,872 354,336 6,833 16,498 47 0 25 99 471 50 2 50 21 161 1 4 -10 8 279 8 3 8 115 30 322 22 125 30 13,187 60 7,236 3,665 2,226 12,692 136 2,262 9,212 1,082 15,167 7 3,528 9,035 2,597 13,229 203 13,026 27,817 21,912 5,905 41,046 318 3,150 19,285 52 12,259 4,738 2,236 15,995 23 2,462 11,291 2,219 17,526 370 4,590 10,298 2,268 19,756 445 19,311 33,050 26,327 6,723 52,806 129 1,831 46 -13 69 29 0 26 -83 9 23 105 16 5186 30 14 -13 49 119 48 19 20 14 29 -59 -42

All other currency pairs Oct-09

10,725 134 9,635 647 309 2,085 74 991 795 225 1,881 77 182 951 671 11,092 284 10,808 3,598 2,393 1,205 14,690 378 516

All currencies Oct-09

269,905 11,342 195,015 31,104 32,444 99,568 1,550 33,523 44,953 19,542 724,075 97,802 514,561 71,130 40,582 853,792 110,693 743,099 239,755 147,187 92,568

Apr-10

13,580 643 11,277 800 860 3,030 1 827 1,840 362 1,652 0 25 706 921 12,773 644 12,129 5,489 3,346 2,143 18,262 2,386 7,184

Per cent growth

27 382 17 24 178 45 -99 -17 131 61 -12 -100 -86 -26 37 15 127 12 53 40 78 24 531 1292

Apr-10

358,284 15,590 250,520 35,318 56,856 119,465 1,867 44,358 47,105 26,135 719,925 90,620 505,198 73,092 51,015 908,152 108,076 800,076 289,521 155,515 134,006

Per cent growth

33 37 28 14 75 20 20 32 5 34 -1 -7 -2 3 26 6 -2 8 21 6 45 10 38 49

1,093,547 1,197,673 17,607 24,309 27,970 41,693

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Table 4: Reported traditional foreign exchange turnover in Canada by instrument and by counterparty

Summary of surveys

Billions of U.S. dollars (and percent shares)

Instrument Dealers Spot

Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 224 235 239 236 326 375 402 248 270 358 (23.1) (23.5) (23.1) (22.2) (22.7) (26.8) (27.5) (23.7) (24.7) (29.9)

Counterparty Customers Other

658 705 710 698 1024 940 889 631 743 800 (67.8) (70.5) (68.7) (65.5) (71.2) (67.2) (60.9) (60.3) (68.0) (66.8)

Outright forwards

61 61 63 74 88 110 185 107 100 119 (6.3) (6.1) (6.1) (6.9) (6.1) (7.9) (12.7) (10.2) (9.1) (10.0)

Foreign exchange swaps

685 704 732 756 1024 913 873 691 724 720 (70.7) (70.4) (70.8) (70.9) (71.2) (65.3) (59.8) (66.0) (66.2) (60.1)

Reporting

96 102 100 94 92 154 155 169 111 108 (9.9) (10.2) (9.6) (8.8) (6.4) (11.0) (10.6) (16.1) (10.1) (9.0)

Financial

118 115 138 166 181 192 266 155 147 156 (12.1) (11.5) (13.3) (15.5) (12.6) (13.8) (18.2) (14.8) (13.5) (13.0)

Non-financial

99 77 87 109 141 112 151 91 93 134 (10.2) (7.7) (8.4) (10.2) (9.8) (8.0) (10.3) (8.7) (8.5) (11.2)

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Table 5: Currency distribution of traditional foreign exchange market turnover in Canada

Summary of surveys

Percent shares

Currency

U.S. dollar Canadian dollar Euro U.K. pound Japanese yen Australian dollar Swiss franc Other currencies All currencies[1]

October 2005

96.1 59.5 14.0 5.8 7.8 3.6 5.8 7.4 200.0

April 2006

95.6 59.9 11.9 5.9 6.8 5.3 2.8 11.9 200.0

October 2006

95.7 63.9 11.6 6.3 5.3 5.7 1.7 9.9 200.0

April 2007

94.8 63.4 12.2 7.2 5.8 3.6 2.9 10.1 200.0

October 2007

95.4 72.0 9.8 6.1 4.3 2.6 1.5 8.4 200.0

April 2008

95.4 71.2 10.8 5.0 4.3 2.8 1.6 9.0 200.0

October 2008

93.7 67.0 11.8 5.0 5.4 2.0 1.1 14.0 200.0

April 2009

94.2 71.1 12.6 4.8 3.7 1.8 0.7 11.1 200.0

October 2009

95.0 72.1 11.2 5.6 2.8 2.2 0.9 10.2 200.0

April 2010

94.1 68.9 10.8 3.6 3.7 2.3 1.0 15.7 200.0

(1) Since every foreign exchange transaction involves two currencies, the reporting of all currencies necessarily sums to 200 per cent.

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Table 6: Reported foreign exchange market turnover in Canada by maturity

Millions of U.S. dollars

a

Instrument Outright forwards Up to 1 month 1 month to 1 year More than 1 year Total Foreign exchange swaps Up to 1 month 1 month to 1 year More than 1 year Total OTC options Up to 1 month 1 month to 6 months Over 6 months Total

April-07 Amount % share

39,657 36,874 1,684 78,215 50.7 47.1 2.2 100.0

October-07 Amount % share

44,800 41,595 3,785 90,179 49.7 46.1 4.2 100.0

April-08 Amount % share

45,817 61,957 4,991 112,764 40.6 54.9 4.4 100.0

October-08 Amount % share

80,421 104,077 6,852 191,349 42.0 54.4 3.6 100.0

April-09 Amount % share

54,787 52,315 6,074 113,176 48.4 46.2 5.4 100.0

October-09 Amount % share

46,928 47,267 6,935 101,130 46.4 46.7 6.9 100.0

April-10 Amount % share

59,688 56,995 4,639 121,322 49.2 47.0 3.8 100.0

670,283 143,605 6,017 819,906

81.8 17.5 0.7 100.0

872,910 214,868 7,562 1,095,341

79.7 19.6 0.7 100.0

789,189 192,035 9,125 990,350

79.7 19.4 0.9 100.0

736,124 229,050 8,926 974,100

75.6 23.5 0.9 100.0

638,648 177,437 7,427 823,512

77.3 21.5 0.9 99.7

669,255 139,858 12,764 821,877

81.4 17.0 1.6 100.0

641,643 156,915 12,097 810,655

79.2 19.4 1.5 100.0

20,336 19,960 3,507 43,803

46.4 45.6 8.0 100.0

29,176 18,586 6,011 53,773

54.3 34.6 11.2 100.0

18,561 17,692 8,664 44,917

41.3 39.4 19.3 100.0

13,524 21,230 12,741 47,495

28.5 44.7 26.8 100.0

15,603 11,764 4,936 32,303

48.3 36.4 15.3 100.0

16,895 10,887 11,720 39,502

42.8 27.6 29.7 100.0

17,488 32,550 9,277 59,315

29.5 54.9 15.6 100.0

a. Not adjusted for local double counting.

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Table 7: Execution methods

Percent shares

April 2010

Classification

By Currency Pair: Canadian Dollar against USD Other U.S. Dollar against EUR JPY GBP Total Currency Pairs By Instrument: Spot Outright forwards Foreign exchange swaps Cross currency swaps Options Total Instruments By Counterparty: With reporting dealers With other dealers With other financial institutions With non-financial customers Total Counterparties

Execution Methods Primarily for Dealers Execution Methods Primarily for Customers Single-bank Multi-bank Dealer Electronic Customer Proprietary Dealing Direct Broking Direct Platforms TOTAL Voice Broking Systems

38 32 28 21 23 36

23 4 35 39 48 24

20 1 18 17 10 18

15 49 13 18 11 17

2 3 2 2 3 2

3 11 3 3 4 3

100 100 100 100 100 100

31 27 38 47 56 36

30 5 24 16 24 24

13 7 22 10 6 18

20 44 13 25 5 17

3 4 1 0 6 2

2 13 2 1 3 3

100 100 100 100 100 100

65 40 0 0 36

21 33 1 5 24

14 25 0 1 18

0 0 73 85 17

0 1 6 5 2

0 1 20 4 3

100 100 100 100 100

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