Bank of Lithuania
2016-09-01
  • Fotolia_143146706_Subscription_Monthly_M.jpg
     
1 of 1

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

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