Survey of Foreign Exchange and Derivatives Market Activity in Lithuania in 2010

The Bank of Lithuania for the third time participated in the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, which revealed the development of the Lithuania's financial derivatives market. The Bank for International Settlements (BIS) coordinated the survey conducted by central banks and monetary authorities from 53 countries. With this release, the Bank of Lithuania is publishing the review that has been prepared on the ground 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. The survey is exceptional and unique, dare I say it, all-inclusive and reliable; since 1996 furnishing the financial market with the most important guideposts. All the other surveys are only partial and local attempts compared to this signpost survey by the Bank for International Settlements”, said Director of the Statistics Department of the Bank of Lithuania Rimantas Vaicenavicius.

The global survey conducted in April 2010 covers data of traditional foreign exchange market transactions (spots, forwards and swaps) and over-the-counter (OTC) derivatives transactions collected from approximately 1300 major global market participants. In Lithuania, seven commercial banks participated in the survey, which hold up to 97 per cent of the country's foreign exchange and financial derivatives market.

Despite economic turmoil Lithuania's foreign exchange market increased by 40 per cent over the last three years. In April 2010, Lithuania's foreign exchange market turnover made up USD 24.2 billion (average daily business of USD 1.1 billion). Foreign exchange swap transactions accounted for 74 per cent and spot transactions accounted for 23 per cent of monthly turnover (see Table 1).

Lithuania's derivatives market becomes increasingly more concentrated in the major banks of the country. Participants of the Lithuanian foreign exchange market revealed the biggest number of transactions was carried with the reporting banks (80 per cent). Meanwhile, transactions with other financial and non-financial institutions made up 8 and 11 per cent respectively.

Although euro transactions prevail in Lithuania's foreign exchange market, the transactions made using financial derivatives with litas among other currencies accounted for 83 per cent (see Table 2). The dominant pair of euro and dollar, non-Lithuania currencies, was used in 8.5 per cent of transactions.

Lithuania's over-the-counter (OTC) market offoreign exchange and interest rates is very modest; moreover, it contracted by 54 per cent over the year (see Table 3). In April 2010, the trading volumes made up USD 429 million.

Preliminary data of the survey of global foreign exchange and derivatives market are available on the website of BIS, which also includes data collected by the Bank of Lithuania in 2004, 2007, and 2010.

Table 1 Lithuania's foreign exchange and derivatives market turnover by instrument, counterparty and maturity¹
(Nominal or notional principal amounts in April; USD millions)

¹ Here and in Tables 2 and 3 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)

Table 3. Lithuania's OTC derivatives turnover by instrument and counterparty
(Nominal or notional principal amounts in April; in millions of US dollars)