Survey of Foreign Exchange and Derivatives Market Activity in Lithuania in 2016

2016-09-01

In 2016, the Bank of Lithuania participated for the fifth time in the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, prepared by the Bank for International Settlements (BIS) jointly with the central banks and monetary authorities of 52 countries. The Bank of Lithuania has been participating in the preparation of this survey since 2004: for the purposes of the survey, banks and foreign bank branches actively operating in domestic and international foreign exchange and derivatives markets are selected.

The objective of the BIS’ 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 global survey conducted in 2016 covers the data of traditional foreign exchange market transactions (spots, forwards and swaps) and OTC derivatives transactions conducted in April and collected from more than 1,200 major global market participants. In Lithuania, six banks and foreign bank branches, with a 97 per cent share of the domestic foreign exchange and derivatives market, participated in the survey.

Compared to the results of the previous survey, Lithuania’s foreign exchange and derivatives market has shrunk by more than half over the last three years. However, it should be noted that this year Lithuania participated in the survey as a member of the euro area. In April 2016, Lithuania’s foreign exchange market turnover amounted to USD 4.9 billion (the average turnover of daily concluded transactions amounted to USD 0.2 billion). Foreign exchange swap transactions accounted for 57 per cent, spot transactions — 41 per cent of monthly turnover (see Table 1).

Foreign exchange market participants in Lithuania concluded most transactions with other surveyed banks (63%), of which — mainly with non-residents (67%). Transactions with other financial institutions accounted for 4 per cent, with non-financial customers — 33 per cent.

The euro and USD currencies dominate Lithuania’s foreign exchange market. The dominant EUR/USD pair accounted for 40 per cent of transactions (see Table 2).

The OTC interest rate derivatives market in Lithuania remains conservative. In April 2016, the turnover of its transactions totalled USD 389.5 million (see Table 3)

Preliminary data of the survey of global foreign exchange and derivatives markets are available on the website of the BIS, which also presents the data for Lithuania.

Table 1.Lithuania’s foreign exchange market turnover by instrument, counterparty, and maturity (nominal or notional principal amounts in April; USD millions)

Instrument and counterparty	2010		2013		2016
	Amount	Share, %	Amount	Share, %	Amount	Share, %
Spot	5,462.7	23	3,517.1	32	2,016.8	41

With reporting dealers	1,716.0	31	659.6	19	463.0	23
With other financial institutions	1,568.8	29	222.1	6	155.3	8
With non-financial customers	2,177.9	40	2,635.4	75	1,398.5	69

Outright forwards	363.4	0	49.1	0	70.4	1

With reporting dealers	336.3	93	6.5	13	16.6	24
With other financial institutions	8.6	2	16.2	33	11.1	16
With non-financial customers	18.5	5	26.4	54	42.7	61

Foreign exchange swaps	17,995.9	74	7,507.3	68	2,810	57

With reporting dealers	17,308.9	96	7,283.6	97	2,601.6	93
With other financial institutions	273.6	2	93.2	1	21.0	1
With non-financial customers	413.4	2	130.5	2	187.4	7

Currency swaps	400.0	2	–	–	–	–

With reporting dealers	200.0	50	–	–	–	–
With other financial institutions	–	–	–	–	–	–
With non-financial customers	200.0	50	–	–	–	–

FX options	15.7	0	15.1	0	0.4	0

With reporting dealers	2.4	15	1.9	12	0.2	50
With other financial institutions	–	–	–	–	–	–
With non-financial customers	13.3	85	13.3	88	0.2	50

Total	24,237.8	100	11,088.6	100	4,898	100

With reporting dealers	19,563.7	81	7,951.5	72	3,081.4	63
With other financial institutions	1,851.0	8	331.5	3	187.5	4
With non-financial customers	2,823.1	12	2,805.6	25	1,628.8	33

Local	4,450.2	18	2,955.9	27	1,622.1	33
Cross-border	19,386.5	80	8,132.9	73	3,275.6	67

Outright forwards	363.5	100	49.1	0	70.4	100

Up to 7 days	0.6	0	1.6	3	3.9	6
Over 7 days and up to 1 year	362.1	100	44.5	91	66.5	94
Over 1 year	0.8	0	3.1	6	–	–

Foreign exchange swaps	17,995.9	100	7,507.0	100	2,810.0	100

Up to 7 days	17,245.0	96	6,985.2	93	2,526.1	90
Over 7 days and up to 1 year	755.0	4	520.3	7	283.9	10
Over 1 year	0.1	0	1.5	0	–	–

Table 2. Lithuania’s foreign exchange market turnover by currency pair (nominal or notional principal amounts in April; USD millions)

Currency pairs	2010		2013		2016
	Amount	Share, %	Amount	Share, %	Amount	Share, %
LTL/USD	237.6	1	239.9	2	–	–
LTL/EUR	19,669.1	81	8,496.1	77	–	–
USD/EUR	2,049.3	8	1,374.4	12	3,797.4	78
USD/GBP	29.1	0	2.8	0	74.1	2
USD/Other	594.3	2	71.4	1	7.7	0
EUR/Other	771.1	3	651.7	6	120.0	2
Other pairs	887.4	4	252.3	2	898.5	18
All currency pairs	24,237.8	100	11,088.6	100	4,898	100

Table 3. OTC derivatives market turnover in Lithuania by instrument and counterparty, April 2016 (nominal or notional principal amounts, USD millions)
Instrument/Counterparty	2010		2013		2016
	Amount	Share, %	Amount	Share, %	Amount	Share, %

Forward rate agreements	_	_	_	_	_	_
With reporting agents	–	–	–	–	–	–
With other financial institutions	–	–	–	–	–	–
With non-financial customers	–	–	–	–	–	–

Interest rate swaps	420.0	98	_	_	161.9	42
Reporting agents	211.3	50	–	–	97.1	60
With other financial institutions	–	–	–	–	–	–
With non-financial customers	208.6	50	–	–	64.9	40

Interest rate options	9.4	2	_	_	227.6	58
With reporting agents	8.1	86	–	–	113.8	50
With other financial institutions	–	–	–	–	–	–
With non-financial customers	1.3	14	–	–	113.8	50

Total	429.4	100	_	_	389.5	100
With reporting agents	219.4	51	–	–	210.8	54
With other financial institutions	–	–	–	–	–	–
With non-financial customers	210.0	49	–	–	178.6	46

Local	210.0	49	–	–	62.0	16
Cross-border	219.4	51	–	–	328	84

Monetary policy, Statistics, Banks