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Survey of Foreign Exchange and Derivatives Market Activity in Lithuania in 2013

September 5, 2013

The Bank of Lithuania for the fourth time participated in the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, which revealed the development of Lithuania's financial derivatives market. The Bank for International Settlements (BIS) coordinated the survey, conducted by central banks and monetary authorities from 53 countries. In today's release, the Bank of Lithuania is publishing a review which has been prepared on the basis of the triennial survey.

The objective of the survey is to obtain reasonably comprehensive and internationally consistent information on the size and structure of foreign exchange and over-the-counter (OTC) derivatives markets. This year's survey of foreign exchange and derivatives markets differs from the previous surveys in that a more detailed level of identification is required (other financial institutions are divided into several subsectors, more currency pairs are involved); it was also aimed to single out those transactions where a bank acts as a prime-broker between a customer and a third party (bank).

The global survey conducted in 2013 covers the data of traditional foreign exchange market transactions (spots, forwards and swaps) and OTC derivatives transactions collected from approximately 1300 major global market participants. In Lithuania, six banks and subsidiaries of foreign banks participated in the survey, which hold up to 95 per cent of the country's foreign exchange and financial derivatives market. The data covers transactions conducted in April.

Lithuania's foreign exchange market has more than halved over the last three years. In April 2013, Lithuania's foreign exchange market turnover made USD 11.1 billion (average daily business of USD 0.5 billion). Foreign exchange swap transactions accounted for 68 per cent and spot transactions for 32 per cent of monthly turnover (see Table 1).

Lithuania's foreign exchange market participants revealed that the largest number of transactions was carried out with the reporting banks (72%), of which mainly with non-resident banks (73%). Meanwhile, transactions with other financial and non-financial institutions accounted for 3 and 25 per cent respectively.

Although euro denominated transactions prevail in Lithuania's foreign exchange market, the transactions made using financial derivatives with litas among other currencies accounted for 80 per cent (see Table 2). The dominant pair of euro and dollar, non-Lithuania currencies, was used in 12 per cent of transactions.

No other financial derivative transactions (currency swaps, single-currency interest rate derivatives) were conducted in April 2013.

Preliminary data of the survey of global foreign exchange and derivatives market are available on the website of the BIS, which also includes data collected by the Bank of Lithuania.

Table 1. Lithuania’s foreign exchange and derivatives market turnover by instrument, counterparty and maturity1 (Nominal or notional principal amounts in April; in millions of US dollars)

Instrument / Counterparty 2007 2010 2013
  Amount Share; % Amount Share; % Amount Share; %
Spot 11,946.7 69 5,462.7 23 3,517.1 32
   With reporting dealers 3,320.8 28 1,716.0 31 659.6 19
   With other financial institutions 4,681.2 39 1,568.8 29 222.1 6
   With non-financial customers 3,944.7 33 2,177.9 40 2,635.4 75
             
Outright forwards 220.6 1 363.4 0 49.1 0
   With reporting dealers 99.6 45 336.3 93 6.5 13
   With other financial institutions 92.8 42 8.6 2 16.2 33
   With non-financial customers 28.1 13 18.5 5 26.4 54
             
Foreign exchange swaps 5,171.3 30 17,995.9 74 7,507.3 68
   With reporting dealers 4,225.9 82 17,308.9 96 7,283.6 97
   With other financial institutions 471.0 9 273.6 2 93.2 1
   With non-financial customers 474.4 9 413.4 2 130.5 2
             
Currency swaps - - 400.0 2 - -
   With reporting dealers - - 200.0 50 - -
   With other financial institutions - - - - - -
   With non-financial customers - - 200.0 50 - -
             
Currency options 0.9 0 15.7 0 15.1 0
   With reporting dealers 0.3 32 2.4 15 1.9 12
   With other financial institutions - - - - -
   With non-financial customers 0.6 68 13.3 85 13.3 88
             
Total 17,339.5 100 24,237.8 100 11,088.6 100
   With reporting dealers 7,646.6 44 19,563.7 81 7,951.5 72
   With other financial institutions 5,245.0 30 1,851.0 8 331.5 3
   With non-financial customers 4,447.8 26 2,823.1 12 2,805.6 25
             
   Local 7,507.5 43 4,450.2 18 2,955.9 27
   Cross-border 9,831.7 57 19,386.5 80 8,132.9 73
             
Outright forwards 220.6 100 363.5 100 49.1 0
   Up to 7 days 31.2 14 0.6 0 1.6 3
   Over 7 days and up to 1 year 189.4 86 362.1 100 44.5 91
   Over 1 year - - 0.8 0 3.1 6
             
Foreign exchange swaps 5,171.3 100 17,995.9 100 7,507.0 100
   Up to 7 days 2,984.8 58 17,245.0 96 6,985.2 93
   Over 7 days and up to 1 year 2,184.7 42 755.0 4 520.3 7
   Over 1 year - - 0.1 0 1.5 0

1 Turnover in tables is adjusted for local double-counting

Table 2. Lithuania’s foreign exchange and derivatives market turnover by currency pairs (Nominal or notional principal amounts in April; in millions of US dollars)

Currency pairs 2007 2010 2013
   Amount  Share; %  Amount  Share; % Amount Share; %
LTL/USD  628.5 4 237.6 1 239.9 2
LTL/EUR 9,692.0 56 19,669.1 81 8,496.1 77
USD/EUR 4,403.6  25 2,049.3 8 1,374.4 12
USD/GBP 39.2 0 29.1 0 2.8
USD/Other 0.0 0 594.3 2 71.4 1
EUR/Other 1,903.8 11 771.1 3 651.7 6
Other pairs 672.3 4 887.4 4 252.3 2
All currency pairs 17,339.5 100 24,237.8 100 11,088.6 100 

 

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