Foreign exchange turnover ($m daily averages) - B4

Released
14 August 2017 03:00 p.m.
Next release
14 September 2017 03:00 p.m.
Source
Reserve Bank of New Zealand
Periodicity
Monthly
Previous years: Monthly:
Jul 2015 Jul 2016 Mar 2017 Apr 2017 May 2017 Jun 2017 Jul 2017
NZD by instrument
Spot 1,218 918 918 923 899 889 919
Outright forwards 715 646 832 937 784 787 736
Foreign exchange swaps 7,784 6,925 5,830 5,799 5,683 6,303 5,365
Currency swaps 120 150 166 147 127 222 325
Over-the-counter options 26 34 46 34 39 19 37
Total 9,862 8,674 7,792 7,840 7,532 8,219 7,381
NZD by region
Local 3,082 3,156 3,101 3,248 2,744 3,204 3,087
Cross-border 6,780 5,517 4,691 4,592 4,788 5,015 4,294
USD by instrument
Spot 614 470 522 500 489 413 338
Outright forwards 49 33 25 48 49 32 27
Foreign exchange swaps 4,645 3,971 3,929 3,507 4,258 5,544 5,628
Currency swaps 18 17 7 10 24 23 10
Over-the-counter options 1 13 7 9 4 4 11
Total 5,328 4,503 4,490 4,074 4,824 6,015 6,014
USD by region
Local 1,151 1,032 842 876 847 996 911
Cross-border 4,177 3,471 3,648 3,198 3,976 5,019 5,104

The Data: Coverage, Periodicity, and Timeliness

Coverage characteristics

The purpose of the Reserve Bank of New Zealand Foreign Exchange (FX) turnover survey is to provide information on the New Zealand dollar flows and turnover. Participants in the survey are inter-bank New Zealand dollar price-makers.

Data are quoted in millions of New Zealand dollars; selected survey results are presented by instrument and by counterparty, and published as a monthly series, based on a daily average.

Aggregates for NZD,USD and EUR are published, based on the following cross rates:

(a) NZD against the following currencies – USD, EUR, JPY, GBP, CHF, CAD, AUD, "Other";

(b) USD against the following currencies - EUR, JPY, GBP, CHF, CAD, AUD, "Other";

(c) EUR against the following currencies - JPY, GBP, CHF, CAD, AUD, "Other".

The following types of instruments are published:

(a) Spot

(b) Outright forwards

(c) Foreign exchange swaps

(d) Currency swaps

(e) Over-the-counter options

The current series begins in January 2008.

Periodicity

Monthly.

Timeliness

The survey summary is updated monthly on or around the 10th business day of the month.

Access by the public

Statistics release calendar

The Statistics Release Calendar provides a long-term plan of scheduled releases. It is updated and released on the first working day of the month.

Integrity

Dissemination of terms and conditions under which official statistics are produced, including confidentiality of individual Responses

The Reserve Bank of New Zealand publishes only aggregated data. Individual institutional data remain confidential subject to the Bank's legal obligations.

The RBNZ collects, monitors and analyses the data in undertaking its market operations functions. These operations involve liaising with and monitoring financial markets, in order to ensure effective implementation of monetary policy and the maintenance of the RBNZ's capacity to intervene in financial markets if required.

Provision of information about revisions and advance notice of major changes in methodology

Provisional data are italicised. Data are deemed provisional when a series is under review. New data are in bold font in the latest release.
This applies to the summary table only and not excel files.  Revisions are generally published when tables are updated and released, and are also in bold font.

Quality

Dissemination of documentation on methodology and sources used in preparing statistics

All data are indicative foreign exchange turnover collected daily. Participants in the survey are inter-bank New Zealand dollar price-makers.

Respondents complete a daily survey.

Dissemination that support statistical cross-check and provide assurance of reasonableness

A reasonableness check is undertaken prior to the data release.

Series Breaks

Series breaks occur when data is affected by changes such as a reclassification that interrupts ‘like for like' time series. There is a series break in Spot, Outright Forward and FX Swaps data for November 2014.

Survey respondents

ANZ Bank New Zealand Limited
ASB Bank Limited
Bank of New Zealand
Westpac Banking Corporation

Foreign exchange monthly turnover

Foreign exchange turnover

Turnover data provide a measure of market activity, and can also provide a rough proxy for market liquidity.

In the published data turnover is defined as the gross value of all new deals entered into during a given period (the day), and is measured in terms of the nominal or notional amount of the contracts. No distinction is made between sales and purchases (i.e. a purchase of $5 million against sterling and a sale of $7 million against NZD would amount to a gross turnover of $12 million).

The turnover between reporting dealers is halved to provide an equivalent "single-sided" or "net" turnover between dealers. The overall turnover data are published on a single-sided basis.

Spot

Spot transactions are single outright transactions involving the exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) within two business days.

The spot leg of swaps are not included among spot transactions but are reported as a swap transaction even when they are due for settlement within two days (i.e. spot transactions are exclusive of "tomorrow/next day" transactions).

Outright forwards

Transactions involving the exchange of two currencies at a rate agreed on the date of the contract for value of delivery (cash settlement) at some time in the future (more than two business days later).

This category also includes forward foreign exchange agreement transaction (FXA), non-deliverable forwards and other forward contracts for differences. This does not include "tomorrow/next day" transactions. The most likely user would be a local "non-financial" market participant i.e. major trading organisation or multinational corporate.

Foreign exchange swaps

Transactions involving the actual exchange of two currencies (principal amount only) on a specific date at a rate agreed at the time of the conclusion of the contract (the short leg), and a reverse exchanges of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the short leg) agreed at the time of the contract (the long leg).

Both spot/forward and forward/forward swaps are included. Short-term swaps carried out as "tomorrow/next day" transactions are also included in this category.

For turnover, only the forward leg should be reported as such. The spot leg should not be reported at all.

Currency swaps

Transactions involving the actual exchange of different currencies on a specific date at a rate agreed at the time of the conclusion of the contract and an agreement to exchange streams of interest payments (fixed or floating) in the currencies for an agreed period of time, followed by a reverse exchange at a pre-agreed exchange rate at maturity.

Equal principal based on the initial spot rate is typically exchanged at both initiation and maturity. Only the exchange of principal – the initial exchange – is recorded.

Over-the-counter (OTC) options

Contracts that give the right to buy or sell one currency in exchange for another at a specified exchange rate (price) during or up to a specified future date.

This category also includes exotic foreign exchange options such as average rate options and barrier options.

OTC options include:

  • Currency swaption: OTC option to enter into a currency swap contract.
  • Currency warrant: Long-dated (over one year) OTC currency option.

Reporting dealers

For the purposes of the Foreign Exchange turnover survey, "reporting dealers" are interbank NZD price makers in this time zone (see list of reporting dealers at end of B4 Foreign exchange turnover background notes).

Other financial institutions

This category covers the financial institutions that are not reporting dealers. It includes:

  • smaller commercial banks
  • investment banks
  • securities houses
  • mutual funds
  • pension funds
  • hedge funds
  • currency funds
  • money market funds
  • building societies
  • leasing companies
  • insurance companies
  • other financial subsidiaries of corporate firms and central banks

Non-financial customers

This category covers any counterparty other than those described above, i.e. mainly non-financial end-users, such as corporates and non-financial government entities. May also include private individuals who directly transact with reporting dealers for investment purposes, either on the online retail trading platforms operated by the reporting dealers or by other means (e.g. giving trading instructions by phone).

New presentation of Excel data files

The new format for our Excel data files have been rolled out to the Foreign exchange turnover statistics (B4) on 14 August 2017.

The most notable changes in the Excel data files are:

  • Data presented in vertical format with no extra columns, bold numbers, merged cells or any other formatting. This will make it easier for data users to transform the file into other ‘machine friendly’ formats such as .csv.
  • Two extra tabs – ‘Table Description’ and ‘Series Definitions’ that contain supplementary information about the table and the data.
  • The data tab has two extra rows: unit and series ID linked to the Series Definitions.

There has been no change to the presentation of summary data in the html web pages.

If you have any questions, please contact us at stats-info@rbnz.govt.nz.

14 August 2017

Symbols and conventions for summary table

0 Value rounded to zero
- Zero or not applicable
.. Not available
bold Revised/new
italics Provisional
light red background Historical

General notes

  • Individual figures may not sum to the totals due to rounding
  • Percentage changes are calculated on unrounded numbers
  • You are free to copy, distribute and adapt these statistics subject to the conditions listed on our copyright page.