BIS

Triennial Central Bank Survey

OTC interest rate derivatives
turnover in April 2022
Monetary and Economic Department
27 October 2022
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BIS Triennial Central Bank Survey 2022

Monetary and Economic Department
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OTC interest rate derivatives turnover in April 2022

Contents

Notations .............................................................................................................................................................................................. 2

Abbreviations ...................................................................................................................................................................................... 2

1. BIS Triennial Central Bank Survey ............................................................................................................................. 3

Highlights .................................................................................................................................................................................... 3

2. Turnover in OTC interest rate derivatives markets ............................................................................................ 4

Turnover by instrument ......................................................................................................................................................... 5
Market-facing vs non-market-facing trades ................................................................................................................. 5
Turnover by currency .............................................................................................................................................................. 6
Turnover by counterparty ..................................................................................................................................................... 7
Geographic distribution of turnover ................................................................................................................................ 7

Annexes

A Tables ................................................................................................................................................................................. 10

B Explanatory notes ......................................................................................................................................................... 15

Participating authorities ...................................................................................................................................................... 15
Coverage.................................................................................................................................................................................... 16
Turnover data .......................................................................................................................................................................... 16
Instruments ............................................................................................................................................................................... 17
Counterparties ......................................................................................................................................................................... 18
Trading relationships ............................................................................................................................................................ 18
Currencies.................................................................................................................................................................................. 19
Elimination of double-counting ....................................................................................................................................... 19

This publication presents the global results of the 2022 BIS Triennial Central Bank Survey of turnover in
over-the-counter (OTC) interest rate derivatives markets. A separate publication presents the results of
turnover in foreign exchange markets (www.bis.org/statistics/rpfx22.htm). Many participating authorities
also publish their national results, links to which are available on the BIS website
(www.bis.org/statistics/triennialrep/national.htm). The global results for a companion survey on amounts
outstanding in OTC derivatives markets will be published in November 2022.
Data are subject to change. Revised data will be released concurrently with the BIS Quarterly Review in
December 2022. The December 2022 BIS Quarterly Review will include several special feature articles that
analyse the results of the 2022 Triennial Survey.

BIS Triennial Central Bank Survey 2022 1

Notations

billion thousand million

trillion thousand billion
e estimated
lhs left-hand scale
rhs right-hand scale
$ US dollar unless specified otherwise
… not available
. not applicable
– nil or negligible
Differences in totals are due to rounding.
The term “country” as used in this publication also covers territorial entities that are not states as
understood by international law and practice but for which data are separately and independently
maintained.

Abbreviations

AED United Arab Emirates dirham LTL Lithuanian litas

ARS Argentine peso LVL Latvian lats
AUD Australian dollar MXN Mexican peso
BGN Bulgarian lev MYR Malaysian ringgit
BHD Bahraini dinar NOK Norwegian krone
BRL Brazilian real NZD New Zealand dollar
CAD Canadian dollar OTH All other currencies
CHF Swiss franc PEN Peruvian sol
CLP Chilean peso PHP Philippine peso
CNY Chinese yuan (renminbi) PLN Polish zloty
COP Colombian peso RMB renminbi; see CNY
CZK Czech koruna RON Romanian leu
DKK Danish krone RUB Russian rouble
EUR euro SAR Saudi riyal
GBP pound (sterling) SEK Swedish krona
HKD Hong Kong dollar SGD Singapore dollar
HUF Hungarian forint THB Thai baht
IDR Indonesian rupiah TRY Turkish lira
ILS Israeli new shekel TWD New Taiwan dollar
INR Indian rupee USD US dollar
JPY Japanese yen ZAR South African rand
KRW Korean won

2 BIS Triennial Central Bank Survey 2022

1. BIS Triennial Central Bank Survey

The BIS Triennial Central Bank Survey is the most comprehensive source of information on the size and
structure of global over-the-counter (OTC) markets in foreign exchange (FX) and interest rate derivatives.
The Survey aims to increase the transparency of OTC markets, helping central banks and market
participants monitor global financial markets, and to inform discussions on reforms to OTC markets.
Activity in FX markets has been surveyed every three years since 1986, and in OTC interest rate
derivatives markets since 1995. The Triennial Survey is coordinated by the BIS under the auspices of the
Markets Committee (for the FX part) and the Committee on the Global Financial System (for the interest
rate derivatives part). It has been supported through the Data Gaps Initiative endorsed by the G20.
This statistical release covers the interest rate derivatives part of the Triennial Survey of turnover
that took place in April 2022. Central banks and other authorities in 52 jurisdictions participated in the
Survey (see page 15). 1 They collected data from more than 1,200 banks and other dealers and reported
national aggregates to the BIS for inclusion in global aggregates. Turnover data are reported by the sales
desks of reporting dealers, regardless of where a trade is executed, and on an unconsolidated basis,
ie including trades between related entities that are part of the same group.
The data are subject to revision. The final turnover data, as well as several special features that
analyse them, will be released with the BIS Quarterly Review in December 2022. A separate survey on
outstanding amounts as of June 2022 will be published in November 2022. 2

Highlights

• Turnover of OTC interest rate derivatives averaged $5.2 trillion per day (“net-net basis” 3) in April
2022, less than in April 2019 ($6.4 trillion). The decline reflected mainly the reduced turnover of
forward rate agreements (FRAs) following the transition from the use of Libor as a reference rate at
end-2021. FRA turnover fell by 74% between Surveys, from $1.9 trillion (30% of the global total) to
$0.5 trillion (10%). The turnover of interest rate swaps grew by 10% to $4.5 trillion.
• Turnover of US dollar contracts amounted to $2.3 trillion in April 2022, or 44% of global turnover.
This share is down noticeably from 2019 and 2016, when dollar contracts accounted for roughly half
of global turnover, and reflected the disproportionate impact of the Libor reform on USD FRAs
(turnover fell by 98%). The dollar’s share in turnover of instruments other than FRAs (ie swaps,
options and other products) rose between 2019 and 2022.
• Turnover of euro contracts reached $1.8 trillion in April 2022, or 34% of global turnover (from 25%
in 2019). Turnover in EUR swaps was $1.3 trillion, up 38% since 2019. Similarly, turnover of EUR
FRAs, which reference Euribor rates (not discontinued), reached $421 billion, up 9% since 2019.
• Sales desks in the United Kingdom recorded the highest turnover, at $2.6 trillion (“net-gross” basis),
or 46% of global turnover (down from 51% in 2019). Turnover in USD swaps has partially shifted
from the United Kingdom to the United States and Asian financial centres. Similarly, turnover in EUR
swaps has shifted from the United Kingdom to the euro area.

1
One jurisdiction has submitted partial data; final data will be published in the December BIS Quarterly Review.
2
The BIS semiannual OTC derivatives statistics, which capture outstanding amounts, are compiled with data from 12
jurisdictions and cover more than 90% of global outstanding positions. Every three years, additional data from all jurisdictions
participating in the Triennial Survey are included.
3
Figures on a “net-net” basis are corrected for local and cross-border inter-dealer double-counting. Figures on a “net-gross”
basis are corrected for local inter-dealer double-counting only.

BIS Triennial Central Bank Survey 2022 3

2. Turnover in OTC interest rate derivatives markets

Turnover in single currency OTC interest rate derivatives averaged $5.2 trillion per day in April 2022
(Graph 1 and Table 1). This was 19% lower than in the April 2019 Survey ($6.4 trillion per day), although
the present survey took place during a period of changing expectations about the path of future interest
rates in major currencies, lingering Covid-19 related disruptions, and rising geopolitical tensions
following the Russian invasion of Ukraine. 4
The most significant factor contributing to the decline in turnover is the continuing shift away
from Libor for major currencies. From January 2022, the publication of Libor for several key currencies
ceased. 5 This reform undercut the turnover of forward rate agreements (FRAs), which reference forward-
looking rates such as Libor. It also affected the mix of instruments in global turnover (discussed in the
next section), as well as the distribution of trading in particular currencies and in particular locations
(discussed in the following sections). Changes in the reporting population had only a minor impact on
the aggregate turnover figures.

Turnover of OTC interest rate derivatives

Net-net basis,1 daily averages in April, in billions of US dollars Graph 1

By instrument By currency By counterparty type

1
Adjusted for local and cross-border inter-dealer double-counting. 2
Overnight index swaps are included in total swap turnover. Data
available only from 2019.

Source: BIS Triennial Central Bank Survey. For additional data by instrument, counterparty and currency, see Tables 1–4 on pages 10–14.

4
Turnover at sales desks in Russia, which accounted for less than 0.01% of total turnover in 2019, were not included in the
2022 Survey. At the same time, turnover in the Dubai International Financial Centre was included for the first time in 2022,
yielding more complete coverage of turnover in the United Arab Emirates. Regarding methodology, some dealers revised
their reporting of back-to-back trades between Surveys, leading to somewhat lower reported turnover figures in 2022.
Exchange rate movements between 2019 and 2022 had a minor impact on aggregate turnover (Table 1).
5
Publication of 24 Libor settings, including the GBP, EUR, CHF and JPY Libor panels and the one-week and two-month USD
Libor settings, ceased at end-2021. Certain key USD rates that support the rundown of legacy contracts will cease only at
end-June 2023. (see FSB Statement to Support Preparations for LIBOR Cessation). There is currently no plan to discontinue
Euribor rates, which are forward-looking interbank lending benchmark rates derived from European banks.

4 BIS Triennial Central Bank Survey 2022

Turnover by instrument

As market participants shift from using Libor as a reference rate to overnight risk-free rates (RFR), their
need to hedge interest rate risk is changing. Before this transition, swaps typically referenced Libor with
maturities longer than one day (usually three-month or six-month Libor), and had floating leg payments
fixed for a longer term than similar overnight index swaps (OIS) that reference overnight RFRs. As a
result, the floating rate risk in a Libor swap (ie the “fixing risk”) is larger than in an OIS. To hedge that
risk, market participants often used instruments such as FRAs. Thus, the transition from Libor to RFRs
effectively reduced the hedging needs associated with Libor swaps.
The impact of the ongoing Libor transition is clearly evident in the 2022 Triennial Survey
results. 6 The most prominent change since the 2019 Survey was a virtual cessation of trading of FRAs
that reference Libor. The daily turnover of FRAs had contributed $1.9 trillion, or 30%, to the global total
in the 2019 Survey, but only $0.5 trillion (10%) in the 2022 Survey (Graph 1, left-hand panel, and Table
2). 7 FRAs denominated in US dollars led this decline (as discussed below).
Given the lower floating rate risk in OIS compared with other swaps, the drop in FRA turnover in
the 2022 Survey was not matched by an equivalent increase in turnover in other OTC instruments.
Turnover in swaps (including OIS) grew to $4.5 trillion per day in 2022 from $4.1 trillion in 2019 (Graph 1,
left-hand panel). Turnover of swaps denominated in euros expanded the most, reaching $1.3 trillion per
day in 2022, up 38% from April 2019. Swaps denominated in US dollars also grew, albeit by less (17%), to
reach $2.2 trillion per day in 2022, and may have reflected dealers replacing USD FRAs with these
contracts. 8 Turnover of swaps denominated in other currencies, mainly JPY, SEK and CAD, declined over
this period. As a result, the share of EUR swaps in total swap turnover rose to 28% (from 22% in 2019),
and that of USD swaps increased to 49% (from 46% in 2019).
Turnover of options and other interest rate products declined noticeably in the April 2022
Survey. At $238 billion per day (or 5% of global turnover) in 2022, turnover of these contracts was
roughly half of what it was in April 2019 ($456 billion per day, or 7% of total turnover), but still greater
than the values recorded in the 2016 ($166 billion) and 2013 ($174 billion) Surveys.

Market-facing vs non-market-facing trades

The 2022 Survey introduced new dimensions to more cleanly separate “market-facing trades”, ie deals
with customers and other unrelated entities that contribute to price formation in the market. This was in
response to the outsized growth in turnover in the 2019 Survey (Graph 1), when dealers in several
reporting jurisdictions noted that “non-market-facing trades” contributed significantly to turnover. These
include compression trades, whereby dealers optimise their portfolios by replacing existing contracts
with new ones to reduce notional amounts while keeping net exposures unchanged; and “back-to-back”
trades, which are deals that automatically follow trades with customers to shift risk across sales
desks. 9 In the 2022 Survey, these trades were for the first time separately reported as “of which” items
without breakdowns by counterparty sector or currency.

6
See page 17 in Annex B for a description of the instruments captured in the Triennial Survey.
7
The outstanding notional amount of FRAs contracted sharply in the second half of 2021, as investors prepared for Libor
benchmarks to be phased out at the year-end. See BIS, “OTC derivatives statistics at end-December 2021”, May 2022.
8
Similarly, dealers may have turned to exchange-traded derivatives (XTD) as a replacement for FRAs; turnover of XTD was
notably higher in April 2022 than in April 2019 (Table 1).
9
Back-to-back deals are linked deals where the liabilities, obligations and rights of the second deal are exactly the same as
those of the original deal. They are normally conducted between affiliates of the same consolidated group to facilitate either
internal risk management or internal bookkeeping. Back-to-back trades that involve other entities outside the group are also

BIS Triennial Central Bank Survey 2022 5

 Breaking out these trades yields a more accurate measure of the turnover that leads to price
formation, which is the relevant metric for gauging market depth in particular instruments. Non-market-
facing trades, ie back-to-back and compression trades, contributed $798 billion, or 15%, to global
turnover across all instruments in April 2022 (Graph 1, right-hand panel, blue dot), but with different
contributions across instruments (Graph 2). Such trades accounted for roughly 15% of turnover of swaps,
and 8% for FRAs. By contrast, over 30% of the total turnover of options and other products is non-
market-facing (although turnover of options is a small share of total turnover).

Total interest rate derivatives turnover, by instrument and type of trade

Net-net basis,1 daily average in April, in billions of US dollars Graph 2
Per cent USD bn

1
Adjusted for local and cross-border inter-dealer double-counting. 2
Back-to-back and compression trades.

Source: BIS Triennial Central Bank Survey.

Turnover by currency

The transition from Libor and the subsequent contraction in FRA turnover contributed to relatively large
shifts in the currency shares within the total turnover of interest rate derivatives. Turnover of FRAs
denominated in US dollars, which typically reference Libor rates, had reached $1.3 trillion in the 2019
Survey (66% of total FRA turnover). In the 2022 Survey, however, turnover averaged a mere $26 billion
(5% of total FRA turnover). By contrast, turnover of euro-denominated FRAs, most of which reference
Euribor rates that continue to be published, expanded over this period to $421 billion per day, or 85% of
total FRA turnover (Table 4).
This asymmetrical impact of the Libor reform on FRAs denominated in US dollars led to a
relatively sharp decline in the US dollar’s share in total turnover. Whereas turnover in US dollar-
denominated contracts accounted for roughly half of the global total in 2019 and 2016, its share fell to
44% in April 2022 (Graph 1, centre panel, and Table 3). At the same time, turnover in euro-denominated
contracts amounted to $1.8 trillion, or 34% of total turnover in 2022, up from 25% in 2019.
However, in the turnover of contracts other than FRAs, ie interest rate swaps (including OIS),
options and other products, both the US dollar and the euro gained ground. Contracts denominated in
US dollars accounted for 48% of total non-FRA turnover in April 2022, up from 44% in 2019. Similarly,

captured here, but not in related-party trades. For more background on compression trades, see A Schrimpf, “Outstanding
OTC derivatives positions dwindle as compression gains further traction”, BIS Quarterly Review, December 2015; and T Ehlers
and E Eren, “The changing shape of interest rate derivatives markets”, BIS Quarterly Review, December 2016.

6 BIS Triennial Central Bank Survey 2022

the euro share in this total grew to 28%, up from 26% in 2019. Conversely, other currencies lost ground.
Contracts denominated in the pound sterling fell to 7% from 8% of global non-FRA turnover; in
Australian dollars to 6% from 9%. Japanese yen-denominated contracts fell to 2.5%.
Turning to currencies in emerging markets, Korean won-denominated contracts (all
instruments) were the most actively traded, at $48 billion per day in April 2022 (0.9% of total global
turnover), up from $27 billion in April 2019. This was followed by the Czech koruna, daily turnover of
which increased materially to $32 billion (0.6%) in 2022 from $12 billion (0.2%) in 2019. Turnover in
contracts denominated in Chinese renminbi fell slightly, to $30 billion in 2022 from $33 billion in 2019.
Turnover of contracts in other major Asian currencies remained relatively stable between
Surveys. Turnover for the Indian rupee grew to $23 billion per day (from $17 billion in 2019), while that
for the Singapore dollar was $15 billion per day, unchanged from 2019. By contrast, turnover of Hong
Kong dollar-denominated contracts fell to $11 billion from $18 billion in 2019.
In Latin American currencies, turnover diverged. Turnover in contracts denominated in Mexican
peso fell slightly to $22 billion in April 2022 (from $23 billion in 2019), and that in Brazilian real fell to $2
billion per day (from $8 billion in 2019). By contrast, turnover in contracts denominated in Chilean peso
rose from $1 billion to $4 billion, that in Colombian pesos from $0.5 billion to $1.7 billion, and that in
Argentine pesos from $0.02 billion to $1.4 billion.
In some central and eastern European currencies, turnover also increased significantly. Daily
turnover in contracts denominated in Polish zloty almost doubled, from $8 billion in 2019 to $15 billion
in April 2022. For the Russian rouble, the figures in the 2022 Survey are far from complete, since turnover
at sales desks in Russia is not included. 10 That said, turnover in rouble contracts reported by dealers in
other locations increased by 41%, to reach $1.0 billion (“net-net” basis).

Turnover by counterparty

In each of the previous four Triennial Surveys, the share of trading among reporting dealers has fallen
while trading with other financial institutions has been on the rise (Table 2). This trend continued in 2022,
as turnover with other reporting dealers (Graph 1, right-hand panel) decreased more rapidly than deals
with other counterparties. 11 As a result, the share of turnover with reporting dealers in global turnover
fell to 19% in April 2022, down from 24% in 2019 and 44% in 2010 (Table 2). At the same time, the share
of turnover with other financial institutions rose to 75% in 2022, up from 70% in 2019 and 46% in 2010.
The share of deals with non-financial customers has been relatively stable in recent decades, accounting
for 5% of global turnover in 2022, down slightly from 6% in 2019 and 11% in 2010.

Geographic distribution of turnover

The Libor reform also contributed to changes in the shares of locations where interest rate derivatives
are traded. In 2019, dealers located in the United States and the United Kingdom reported more than
90% of the global turnover of FRAs. The massive contraction in USD FRA turnover in April 2022 thus

10
In the 2019 Survey, sales desks in Russia accounted for only 0.008% of global turnover in all currencies, but for 40% of the
reported global total for contracts denominated in the rouble.
11
The Libor reform and subsequent contraction in FRA turnover seems have contributed little to the overall shifts in
counterparty shares. Turnover in FRAs consists disproportionally of trades with other financial institutions (70% in 2019),
followed by trades with other reporting dealers (19%) and with non-financial customers (11%). Between the April 2019 and
April 2022 Surveys, FRA turnover dropped by roughly 75% with other financial institutions and with reporting dealers, and by
50% with non-financial customers.

BIS Triennial Central Bank Survey 2022 7

contributed disproportionately to declines in overall turnover in these two locations. 12 Sales desks in the
United Kingdom again recorded the highest average daily turnover in April 2022 across all interest rate
derivatives on a “net-gross” basis (Graph 3 and Table 5). 13 However, their turnover of $2.6 trillion
accounted for 46% of the global ”net-gross” total, down from 51% in 2019. Similarly, while the United
States remained the second largest trading location in April 2022, with turnover of $1.7 trillion per day,
its share in the global “net-gross” total fell to 29% from 32% in 2019.
The Libor reform, however, does not fully explain the changes in these relative shares. Indeed,
daily turnover in the United Kingdom in products other than FRAs also declined. At $2.3 trillion in April
2022, trading there accounted for 43% of the global “net-gross” total, lower than in the 2019 Survey
(52%) but comparable with the shares in earlier Surveys (which ranged from 35 to 48% between 2007
and 2016). USD-denominated contracts (excluding FRAs) reported by the United Kingdom declined by
18% from 2019, to $581 billion per day in April 2022 (Graph 3, centre panel). This was more than offset
by the larger turnover of these instruments in the United States, which grew by 21% to $1.6 trillion per
day. As a result, the United Kingdom’s share in the global “net-gross” total for these instruments
dropped to 24% in 2022 from 33% in 2019. Still, this share remained higher than that in the previous
surveys (which range between 9% to 19%).
A similar and more prominent trend is evident for instruments denominated in euros. Turnover
(excluding FRAs) reported by the United Kingdom amounted to $1 trillion in April 2022, down 18% from
2019 (Graph 3, lower panel). At the same time, turnover reported by dealers in euro area countries –
particularly in Germany and France – more than tripled, from $124 billion in 2019 to $385 billion in 2022
(“net-gross” basis). Euro-denominated contracts (excluding FRAs) traded in euro area countries
accounted for more than a quarter of the global total, the highest share since 2010.
Turnover in the major Asian financial centres – Hong Kong SAR and Singapore – diverged.
Turnover (in all instruments) in Hong Kong SAR fell to $321 billion per day in April 2022 (5.6% of the
global total), from $436 billion in 2019 (6%). By contrast, turnover in Singapore reached $156 billion
April 2022 (2.7% of the global total), up from $116 billion (1.6%) in 2019.
Elsewhere, the growth in turnover since 2019 was mixed. Turnover in Australia increased to 2%
of the global total in 2022, from 1.3% in 2019. And that in Japan fell to 0.9% of total turnover in 2022,
down from 1% in 2019. The share of total turnover reported by dealers in Canada dropped slightly (to
1.3% from 1.7%).
Sales desks in EMEs continued to account for a small share of global interest rate derivatives
turnover. Only China (0.2%), South Africa (0.2%), Korea (0.2%), India (0.1%), Mexico (0.1%), Bahrain (0.1%)
and the United Arab Emirates (0.1%) reached global market shares of 0.1% or more. 14

12
Turnover of FRAs in the United States declined substantially despite the fact that several USD Libor fixings will continue to be
published until 2023. This follows from supervisory guidance in the United States that encouraged “....banks to cease entering
into new contracts that use USD LIBOR as a reference rate as soon as practicable and in any event by December 31, 2021.”
(Statement on LIBOR Transition – November 30, 2020 (federalreserve.gov).
13
“Net-gross” turnover is adjusted for inter-dealer trades within the same jurisdiction, but not for cross-border trades between
dealers. All turnover numbers by trading location are reported on a “net-gross” basis.
14
In 2022, both the Central Bank of the United Arab Emirates and the Dubai International Financial Centre reported data, while
in 2019 only the central bank reported.

8 BIS Triennial Central Bank Survey 2022

Turnover of OTC interest rate derivatives, by reporting location
Net-gross basis,1 daily average in April, in billions of US dollars Graph 3

All instruments

US dollar-denominated instruments, excluding FRAs

Euro-denominated instruments, excluding FRAs

1
Adjusted for local inter-dealer double-counting. Top 15 countries ranked by turnover (all currencies and instruments) in April 2022.

Source: BIS Triennial Central Bank Survey. For additional data by country, see Annex Table 5.

BIS Triennial Central Bank Survey 2022 9

Annexes

A Tables

Table 1 OTC interest rate derivatives turnover by instrument ....................................................................................10

Table 2 OTC interest rate derivatives turnover by instrument and counterparty ................................................ 11

Table 3 OTC interest rate derivatives turnover by currency .........................................................................................12

Table 4 OTC interest rate derivatives turnover by instrument and currency ........................................................13

Table 5 Geographical distribution of OTC interest rate derivatives turnover .......................................................14

OTC interest rate derivatives turnover by instrument1

"Net-net" basis,2 daily averages in April in billions of US dollars Table 1

Instrument 2010 2013 2016 2019* 2022

Interest rate instruments 2,054 2,311 2,677 6,439 5,226

FRAs 600 749 653 1,902 496
Swaps 1,272 1,388 1,859 4,080 4,491
Overnight index swaps ... ... ... 2,036 2,317
Other swaps ... ... ... 2,044 2,174
Options and other products³ 182 174 166 456 238

Memo:
Turnover at April 2022 exchange rates 4 1,789 2,001 2,596 6,367 5,226
Exchange-traded derivatives 5 7,693 4,698 5,066 7,752 8,523
1 2
Single currency interest rate contracts only. Adjusted for local and cross-border inter-dealer double-counting (ie “net-
3
net” basis). The category “other interest rate products” covers highly leveraged transactions and/or trades whose
notional amount is variable and where a decomposition into individual plain vanilla components was impractical or
impossible. 4 Non-US dollar legs of foreign currency transactions were converted into original currency amounts at
average exchange rates for April of each survey year and then reconverted into US dollar amounts at average April 2022
exchange rates. 5 Sources: Euromoney Tradedata; Futures Industry Association; The Options Clearing Corporation; BIS
derivatives statistics. Foreign exchange futures and options traded worldwide. * Revised data.

10 BIS Triennial Central Bank Survey 2022

 OTC interest rate derivatives turnover by instrument and counterparty1
"Net-net" basis,2 daily averages in April in billions of US dollars Table 2

2010 2013 2016 2019* 2022

Instrument/counterparty
Amount % Amount % Amount % Amount % Amount %

Total 2,054 100.0 2,311 100.0 2,677 100.0 6,439 100.0 5,226 100.0
with reporting dealers 896 43.6 786 34.0 693 25.9 1,531 23.8 1,003 19.2
with other financial institutions 937 45.6 1,352 58.5 1,772 66.2 4,487 69.7 3,943 75.4
with non-financial customers 221 10.7 169 7.3 210 7.8 416 6.5 276 5.3

Local 756 36.8 1,059 45.8 890 33.3 3,138 48.7 2,250 43.1
Cross-border 1,298 63.2 1,248 54.0 1,785 66.7 3,296 51.2 2,972 56.9

FRAs 600 29.2 749 32.4 653 24.4 1,902 29.5 496 9.5
with reporting dealers 296 49.4 241 32.2 171 26.2 365 19.2 87 17.5
with other financial institutions 266 44.4 492 65.7 475 72.7 1,323 69.5 302 60.7
with non-financial customers 37 6.2 16 2.1 7 1.1 215 11.3 108 21.8

Swaps 1,272 61.9 1,388 60.0 1,859 69.4 4,080 63.4 4,491 85.9
with reporting dealers 535 42.1 473 34.1 461 24.8 884 21.7 861 19.2
with other financial institutions 585 46.0 775 55.8 1,204 64.8 3,001 73.5 3,467 77.2
with non-financial customers 153 12.1 139 10.0 194 10.4 195 4.8 163 3.6

Options and other products³ 182 8.9 174 7.5 166 6.2 456 7.1 238 4.6
with reporting dealers 65 35.6 71 41.1 61 37.1 282 61.7 55 23.1
with other financial institutions 86 47.5 85 48.9 93 56.2 163 35.8 174 73.1
with non-financial customers 30 16.4 13 7.5 9 5.2 5 1.2 5 2.2
1
Single currency interest rate contracts only. 2 Adjusted for local and cross-border inter-dealer double-counting (ie “net-net” basis). 3 The category “other
interest rate products” covers highly leveraged transactions and/or trades of which notional amounts are variable and where a decomposition into
individual plain vanilla components was impractical or impossible. * Revised data.

BIS Triennial Central Bank Survey 2022 11

 OTC interest rate derivatives turnover by currency1
2
"Net-net" basis, daily averages in April in billions of US dollars Table 3

Memo: XTD
OTC turnover
turnover3
Currency
2010 2013 2016 2019* 2022 2022

Amount % Amount % Amount % Amount % Amount % Amount %

Total 2,054 100.0 2,311 100.0 2,677 100.0 6,439 100.0 5,226 100.0 8,523 100.0
USD 654 31.8 639 27.7 1,357 50.7 3,265 50.7 2,276 43.5 6,201 72.8
EUR 834 40.6 1,133 49.0 641 23.9 1,588 24.7 1,753 33.5 1,631 19.1
GBP 213 10.4 187 8.1 237 8.9 537 8.3 350 6.7 410 4.8
AUD 37 1.8 76 3.3 108 4.0 400 6.2 279 5.3 105 1.2
JPY 124 6.0 69 3.0 83 3.1 160 2.5 117 2.2 21 0.2
CAD 48 2.4 30 1.3 39 1.4 90 1.4 60 1.2 59 0.7
NZD 4 0.2 5 0.2 26 1.0 56 0.9 48 0.9 4 0.0
KRW 16 0.8 12 0.5 13 0.5 27 0.4 48 0.9 20 0.2
CZK 0 0.0 1 0.0 1 0.1 12 0.2 32 0.6 ... ...
CNY 2 0.1 14 0.6 10 0.4 33 0.5 30 0.6 21 0.2
ZAR 5 0.3 16 0.7 16 0.6 25 0.4 27 0.5 1 0.0
SEK 20 1.0 36 1.6 19 0.7 61 0.9 25 0.5 1 0.0
INR 2 0.1 6 0.3 6 0.2 17 0.3 23 0.4 0 0.0
MXN 5 0.2 10 0.4 26 1.0 23 0.4 22 0.4 0 0.0
NOK 15 0.7 9 0.4 15 0.5 31 0.5 22 0.4 ... ...
CHF 20 1.0 14 0.6 14 0.5 26 0.4 16 0.3 0 0.0
SGD 4 0.2 4 0.2 12 0.4 15 0.2 15 0.3 ... ...
PLN 1 0.1 7 0.3 5 0.2 8 0.1 15 0.3 ... ...
HKD 3 0.2 2 0.1 5 0.2 18 0.3 11 0.2 ... ...
THB 1 0.1 3 0.1 2 0.1 6 0.1 5 0.1 ... ...
TWD 1 0.1 1 0.0 2 0.1 4 0.1 4 0.1 ... ...
HUF 0 0.0 2 0.1 8 0.3 8 0.1 4 0.1 ... ...
CLP 0 0.0 1 0.1 4 0.2 1 0.0 4 0.1 ... ...
ILS 0 0.0 2 0.1 1 0.0 2 0.0 4 0.1 ... ...
DKK 2 0.1 4 0.2 2 0.1 3 0.0 3 0.1 0 0.0
MYR 0 0.0 2 0.1 3 0.1 2 0.0 2 0.0 ... ...
BRL 3 0.1 16 0.7 7 0.2 8 0.1 2 0.0 50 0.6
COP 0 0.0 0 0.0 1 0.1 1 0.0 2 0.0 ... ...
ARS ... ... 0 0.0 0 0.0 0 0.0 1 0.0 0 0.0
BGN ... ... 0 0.0 0 0.0 0 0.0 1 0.0 ... ...
RUB 0 0.0 0 0.0 0 0.0 1 0.0 1 0.0 ... ...
SAR 0 0.0 0 0.0 1 0.0 1 0.0 1 0.0 ... ...
TRY 0 0.0 0 0.0 0 0.0 1 0.0 0 0.0 0 0.0
AED ... ... ... ... ... ... 1 0.0 0 0.0 ... ...
PEN 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0 ... ...
RON 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0 ... ...
IDR 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0 ... ...
PHP 1 0.0 0 0.0 0 0.0 0 0.0 0 0.0 ... ...
BHD ... ... 0 0.0 0 0.0 0 0.0 ... ... ... ...
OTH 36 1.8 8 0.3 14 0.5 11 0.2 21 0.4 ... ...
1
Single currency interest rate contracts only. 2 Adjusted for local and cross-border inter-dealer double-counting (ie “net-net” basis). 3
Exchange-
traded derivatives. See separate BIS statistics. * Revised data.

12 BIS Triennial Central Bank Survey 2022

 OTC interest rate derivatives turnover by instrument and currency1
2
"Net-net" basis, daily averages in April in billions of US dollars Table 4

Instrument/currency 2010 2013 2016 2019* 2022

Total 2,054 2,311 2,677 6,439 5,226

USD 654 639 1,357 3,265 2,276
EUR 834 1,133 641 1,588 1,753
GBP 213 187 237 537 350
AUD 37 76 108 400 279
JPY 124 69 83 160 117
CAD 48 30 39 90 60
NZD 4 5 26 56 48
KRW 16 12 13 27 48
CZK 0 1 1 12 32
CNY 2 14 10 33 30
OTH 121 145 162 272 234

FRAs 600 749 653 1,902 496

EUR 202 395 170 387 421
USD 282 193 341 1,263 26
SEK 10 19 10 29 12
NOK 7 7 4 8 9
CZK 0 0 0 6 9
PLN 1 5 2 2 5
ZAR 4 11 12 8 3
AUD 8 11 2 0 2
HUF 0 2 4 5 2
ILS 0 1 0 1 1
OTH 87 105 107 192 8

Swaps 1,272 1,388 1,859 4,080 4,491

USD 302 356 898 1,862 2,183
EUR 561 684 445 917 1,267
GBP 141 92 138 357 341
AUD 28 63 105 397 277
CAD 38 27 38 89 60
JPY 114 59 76 148 49
NZD 3 3 26 56 47
KRW 15 11 12 26 32
CNY 1 14 10 31 29
ZAR 1 4 3 16 24
OTH 68 73 108 181 183

Options and other products⁴ 182 174 166 456 238

JPY 8 10 7 10 68
USD 70 89 117 140 67
EUR 70 54 26 283 65
KRW 1 1 1 1 15
GBP 19 7 8 7 10
SEK 4 2 1 1 2
AUD 1 2 2 2 1
TWD 0 0 0 0 1
RUB ... 0 0 0 1
CZK 0 0 0 0 1
OTH 9 9 4 12 7
1 2
Single currency interest rate contracts by instrument, top 10 currencies. Adjusted for local and cross-
border inter-dealer double-counting (ie “net-net” basis). 3 Turnover for years prior to 2013 may be
underestimated owing to incomplete reporting in previous surveys for CNY, NOK, NZD. Methodological
changes in the 2013 survey ensured more complete coverage of activity in emerging market economy and
other currencies. 4 The category “other products” covers highly leveraged transactions and/or trades of
which notional amounts are variable and where a decomposition into individual plain vanilla components
was impractical or impossible. * Revised data.

BIS Triennial Central Bank Survey 2022 13

 Geographical distribution of OTC interest rate derivatives turnover1
"Net-gross" basis,2 daily averages in April in billions of US dollars and percentages Table 5

2010 2013 2016 2019* 2022

Country
Amount % Amount % Amount % Amount % Amount %
Argentina ... ... 0 0.0 0 0.0 0 0.0 ... ...
Australia 41 1.5 66 2.4 56 1.9 97 1.3 113 2.0
Austria 5 0.2 1 0.0 1 0.0 1 0.0 2 0.0
Bahrain 0 0.0 0 0.0 1 0.0 0 0.0 6 0.1
Belgium 10 0.4 9 0.3 17 0.5 12 0.2 7 0.1
Brazil 7 0.3 4 0.1 1 0.0 2 0.0 2 0.0
Bulgaria 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
Canada 42 1.6 34 1.3 33 1.1 123 1.7 72 1.3
Chile 0 0.0 0 0.0 0 0.0 1 0.0 1 0.0
China 2 0.1 13 0.5 4 0.1 16 0.2 13 0.2
Chinese Taipei 2 0.1 1 0.0 1 0.0 1 0.0 2 0.0
Colombia 0 0.0 0 0.0 0 0.0 0 0.0 1 0.0
Czechia 0 0.0 0 0.0 0 0.0 2 0.0 0 0.0
Denmark 16 0.6 59 2.2 10 0.3 10 0.1 20 0.3
Estonia 0 0.0 0 0.0 ... ... ... ... ... ...
Finland 1 0.1 2 0.1 2 0.1 4 0.1 8 0.1
France 193 7.3 146 5.4 141 4.6 120 1.7 204 3.5
Germany 48 1.8 101 3.8 31 1.0 56 0.8 273 4.7
Greece 0 0.0 0 0.0 0 0.0 0 0.0 1 0.0
Hong Kong SAR 18 0.7 28 1.0 110 3.6 436 6.0 321 5.6
Hungary 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
India 3 0.1 3 0.1 2 0.1 5 0.1 8 0.1
Indonesia 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
Ireland 7 0.3 3 0.1 1 0.0 7 0.1 ... ...
Israel ... ... 0 0.0 0 0.0 1 0.0 0 0.0
Italy 27 1.0 24 0.9 14 0.5 13 0.2 21 0.4
Japan 90 3.4 67 2.5 56 1.8 75 1.0 51 0.9
Korea 11 0.4 8 0.3 7 0.2 9 0.1 11 0.2
Latvia ... ... ... ... ... ... 0 0.0 0 0.0
Lithuania 0 0.0 ... ... 0 0.0 0 0.0 0 0.0
Luxembourg 2 0.1 0 0.0 0 0.0 0 0.0 1 0.0
Malaysia 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
Mexico 1 0.1 2 0.1 1 0.0 2 0.0 6 0.1
Netherlands 61 2.3 29 1.1 22 0.7 28 0.4 38 0.7
New Zealand 2 0.1 3 0.1 5 0.2 16 0.2 9 0.2
Norway 12 0.5 6 0.2 4 0.1 6 0.1 6 0.1
Peru 0 0.0 0 0.0 ... ... 0 0.0 0 0.0
Philippines 1 0.0 0 0.0 0 0.0 0 0.0 ... ...
Poland 2 0.1 3 0.1 1 0.0 2 0.0 2 0.0
Portugal 1 0.0 1 0.0 0 0.0 0 0.0 0 0.0
Romania 0 0.0 0 0.0 0 0.0 0 0.0 ... ...
Russia ... ... 0 0.0 0 0.0 1 0.0 ... ...
Saudi Arabia 0 0.0 0 0.0 1 0.0 0 0.0 0 0.0
Singapore 35 1.3 37 1.4 58 1.9 116 1.6 156 2.7
Slovakia 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
Slovenia ... ... ... ... ... ... ... ... ... ...
South Africa 6 0.2 11 0.4 9 0.3 14 0.2 12 0.2
Spain 31 1.2 14 0.5 6 0.2 15 0.2 17 0.3
Sweden 18 0.7 17 0.6 14 0.5 9 0.1 6 0.1
Switzerland 75 2.8 33 1.2 8 0.3 19 0.3 18 0.3
Thailand 1 0.0 1 0.0 0 0.0 1 0.0 1 0.0
Turkey 0 0.0 0 0.0 0 0.0 0 0.0 0 0.0
United Arab Emirates3 ... ... ... ... ... ... 3 0.0 4 0.1
United Kingdom 1,235 46.6 1,348 49.9 1,180 38.8 3,670 50.6 2,626 45.5
United States 642 24.2 628 23.2 1,241 40.8 2,356 32.5 1,689 29.3
Total 2,649 100.0 2,702 100.0 3,039 100.0 7,251 100.0 5,769 100.0
1
Single currency interest rate contracts only. Data may differ from national survey data owing to differences in aggregation procedures
and rounding. Data for the Netherlands are not fully comparable over time due to reporting improvements in 2013. The 2019 data for
2
Switzerland are not fully comparable with past periods due to reporting improvements in 2019. Adjusted for local inter-dealer
3
double-counting (ie “net-gross” basis). The UAE aggregates in 2022 incorporate data from the Dubai International Financial Centre.
* Revised data.

14 BIS Triennial Central Bank Survey 2022

B Explanatory notes

The methodology and structure of the interest rate derivatives turnover part of the 2022 Triennial
Central Bank Survey are aligned with those from 2019. The 2022 Survey was expanded to break out non-
market-facing trades, namely back-to-back trades and compression trades. Reporting was more
comprehensive in some jurisdictions than in 2019 and thus the completeness and quality of data
improved in the 2022 Survey.

Participating authorities

Central banks and other authorities in 52 jurisdictions participated in the 2022 Triennial Survey. The
Dubai International Financial Centre participated for the first time.

Argentina Central Bank of Argentina Latvia Bank of Latvia

Australia Reserve Bank of Australia Lithuania Bank of Lithuania
Austria Central Bank of the Republic of Luxembourg Central Bank of Luxembourg
Austria Malaysia Central Bank of Malaysia
Bahrain Central Bank of Bahrain Mexico Bank of Mexico
Belgium National Bank of Belgium Netherlands Netherlands Bank
Brazil Central Bank of Brazil New Zealand Reserve Bank of New Zealand
Bulgaria Bulgarian National Bank Norway Central Bank of Norway
Canada Bank of Canada Peru Central Reserve Bank of Peru
Chile Central Bank of Chile Philippines Bangko Sentral ng Pilipinas
China People’s Bank of China Poland Narodowy Bank Polski
State Administration of Portugal Banco de Portugal
Foreign Exchange
Chinese Taipei Central Bank of the Republic of Romania National Bank of Romania
China (Taiwan) Saudi Arabia Saudi Central Bank
Colombia Central Bank of Colombia Singapore Monetary Authority of Singapore
Czechia Czech National Bank Slovakia National Bank of Slovakia
Denmark Danmarks Nationalbank South Africa South African Reserve Bank
Finland Bank of Finland Spain Bank of Spain
France Bank of France Sweden Sveriges Riksbank
Germany Deutsche Bundesbank Statistics Sweden
Greece Bank of Greece Switzerland Swiss National Bank
Hong Kong SAR Hong Kong Monetary Authority Thailand Bank of Thailand
Hungary Magyar Nemzeti Bank Turkey Central Bank of the Republic of
India Reserve Bank of India Türkiye
Indonesia Bank Indonesia United Kingdom Bank of England
Ireland Central Bank of Ireland United States Federal Reserve Bank of New
Israel Bank of Israel York

Italy Bank of Italy United Arab Central Bank of the United Arab
Japan Bank of Japan Emirates Emirates

Korea Bank of Korea Dubai International Financial

Centre

BIS Triennial Central Bank Survey 2022 15

Coverage

The Triennial Survey of OTC interest rate derivatives turnover covers contracts related to an interest-
bearing financial instrument whose cash flows are determined by referencing interest rates or another
interest rate contract, eg an option on a futures contract to purchase a Treasury bill. This category is
restricted to those deals where all the legs are exposed to only one currency’s interest rate. Thus, it
excludes contracts involving the exchange of one or more foreign currencies, eg cross-currency swaps,
and other contracts whose predominant risk characteristic is foreign exchange risk, which are to be
reported as foreign exchange contracts.
The basis for reporting was in principle the location of the sales desk of any trade, even if deals
entered into in different locations were booked in a central location. Thus, transactions concluded by
offices located abroad were not reported by the country of location of the head office, but by that of the
office abroad (insofar as the latter was a reporting institution in another reporting country). Where no
sales desk was involved in a deal, the trading desk was used to determine the location of deals.
The survey collected turnover data for both proprietary and commissioned business of the
reporting institutions. “Commissioned business” refers to reporting institutions’ transactions as a result
of deals as an agent or trustee in their own name, but on behalf of third parties, such as customers or
other entities.

Turnover data

Turnover data provide a measure of market activity, and can also be seen as a rough proxy for market
liquidity. Turnover is defined as the gross value of all new deals entered into during a given period, and
is measured in terms of the nominal or notional amount of the contracts. No distinction was made
between sales and purchases (eg a purchase of $5 million and a sale of $7 million would amount to a
gross turnover of $12 million). The gross amount of each transaction was recorded once, and netting
arrangements and offsets were ignored.
OTC derivatives transactions that are centrally cleared via central counterparties (CCPs) were
reported on a pre-novation basis (ie with the original execution counterpart as counterparty). Any
post-trade transaction records that arise from central clearing via CCPs (eg through novation) were not
reported as additional transactions.
As in the previous Surveys, turnover data were collected over a one-month period, the month
of April, in order to reduce the likelihood of very short-term variations in activity contaminating the data.
The data collected for the survey reflected all transactions entered into during the calendar month of
April 2022, regardless of whether delivery or settlement was made during that month. In order to allow
comparison across countries, daily averages of turnover were computed by dividing aggregate monthly
turnover for the country in question by the number of days in April on which the foreign exchange and
derivatives markets in that country were open.
Transactions are reported to the BIS in US dollar equivalents, with non-dollar amounts generally
converted into US dollars using the exchange rate prevailing on the trade date.

16 BIS Triennial Central Bank Survey 2022

Instruments

The Triennial Survey of interest rate derivatives turnover covers forward rate agreements, interest rate
swaps and interest rate options. The instruments are defined and categorised as follows.

forward rate agreements Interest rate forward contracts in which the rate to be paid or received on a specific
(FRAs) obligation for a set period of time, beginning at some time in the future, is
determined at contract initiation.
swaps Agreements to exchange periodic payments related to interest rates on a single
currency; can be fixed for floating, or floating for floating based on different indices.
This group includes those swaps whose notional principal is amortised according to a
fixed schedule independent of interest rates.
overnight index swaps Contracts to exchange periodic payments related to interest rates on a single
(OIS) currency, fixed for floating where the periodic floating payment is based on a
designated overnight rate or overnight index rate.
other swaps Contracts to exchange periodic payments related to interest rates on a single
currency; can be fixed for floating, or floating for floating based on different indices.
This group excludes OIS. It includes those swaps whose notional principal is
amortised according to a fixed schedule independent of interest rates.
OTC options Option contracts that give the right to pay or receive a specific interest rate on a
predetermined principal for a set period of time.
OTC options include:
• The interest rate cap: an OTC option that pays the difference between a floating
interest rate and the cap rate.

• The interest rate floor: an OTC option that pays the difference between the floor
rate and a floating interest rate.
• The interest rate collar: a combination of cap and floor.

• The interest rate corridor: (i) a combination of two caps, one purchased by a
borrower at a set strike and the other sold by the borrower at a higher strike to,
in effect, offset part of the premium of the first cap; (ii) a collar on a swap
created with two swaptions, the structure and participation interval being
determined by the strikes and types of the swaptions; (iii) a digital knockout
option with two barriers bracketing the current level of a long-term interest rate.
• The interest rate swaption: an OTC option to enter into an interest rate swap
contract, purchasing the right to pay or receive a certain fixed rate.

• The interest rate warrant: an OTC option; long-dated (over one year) interest
rate option.

other products Other derivative products are instruments where decomposition into individual plain
vanilla instruments such as FRAs, swaps or options is impractical or impossible. An
example of “other” products is instruments with leveraged payoffs and/or those
whose notional principal varies as a function of interest rates, such as swaps based
on Libor squared or index-amortising rate swaps.

BIS Triennial Central Bank Survey 2022 17

Counterparties

Reporting institutions were requested to provide for each instrument a breakdown of contracts by
counterparty as follows: reporting dealers, other financial institutions and non-financial customers, with
separate information on local and cross-border transactions. The distinction between local and cross-
border was determined according to the location of the counterparty and not its nationality.

reporting dealers Financial institutions that participate as reporters in the Triennial Survey.
These are mainly large commercial and investment banks and securities houses that
(i) participate in the inter-dealer market and/or (ii) have an active business with large
customers, such as large corporate firms, governments and non-reporting financial
institutions; in other words, reporting dealers are institutions that actively buy and sell
currency and OTC derivatives both for their own account and/or in meeting customer
demand.
In practice, reporting dealers are often those institutions that actively or regularly deal
through electronic platforms, such as EBS or Reuters dealing facilities.
This category also includes the branches and subsidiaries of institutions operating in
multiple locations that do not have a trading desk but do have a sales desk in those
locations that conduct active business with large customers.
The identification of transactions with reporting dealers allows the BIS to adjust for
double-counting in inter-dealer trades.
other financial Financial institutions that are not classified as “reporting dealers” in the survey.
institutions These are typically regarded as foreign exchange and interest rate derivatives market
end users. They mainly cover all other financial institutions, such as smaller commercial
banks, investment banks and securities houses, and 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 Any counterparty other than those described above, ie mainly non-financial end users,
such as corporations 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 (eg giving trading instructions by phone).

Trading relationships

As in previous surveys, reporting dealers were requested to identify how much of their OTC interest rate
derivatives turnover was attributed to certain categories of transactions.

related-party trades Transactions between desks and offices, transactions with branches and subsidiaries, and
transactions between affiliated firms. These trades are included regardless of whether the
counterparty is resident in the same country as the reporting dealer or in another country.
Back-to-back trades that involve the transfer of risk from the sales desk to another affiliate
are included. However, trades conducted as back-to-back deals and trades to facilitate
internal bookkeeping and internal risk management within the same sales desk
(ie reporting dealer) are excluded.
back-to-back trades Back-to-back deals are linked deals where the liabilities, obligations and rights of the
second deal are exactly the same as those of the original deal. They are normally
conducted between affiliates of the same consolidated group to facilitate either internal
risk management or internal bookkeeping (and, as such, are included in related-party
trades).

18 BIS Triennial Central Bank Survey 2022

compression trades Compression is a process of replacing multiple offsetting derivatives contracts with fewer
deals of the same net risk to reduce the notional value of the portfolio. It can be carried out
between two or more counterparties (bilateral and multilateral compression, respectively).

Currencies

For turnover of single currency interest rate contracts, the following breakdown of currencies was
requested: AED, ARS, AUD, BGN, BHD, BRL, CAD, CHF, CLP, CNY, COP, CZK, DKK, EUR, GBP, HKD, HUF,
IDR, ILS, INR, JPY, KRW, MXN, MYR, NOK, NZD, PEN, PHP, PLN, RON, RUB, SAR, SEK, SGD, THB, TRY,
TWD, USD, ZAR and other.
Transactions conducted in a special unit of account adjusted to inflation (such as CLF, COU and
MXV) were treated as having been executed in the main currency (respectively, CLP, COP and MXN).
Transactions in offshore renminbi (CNH) are included in CNY.

Elimination of double-counting

Double-counting arises because transactions between two reporting entities are recorded by each of
them, ie twice. In order to derive meaningful measures of overall market size, it is therefore necessary to
halve the data on transactions between reporting dealers. To permit this, reporters are asked to
distinguish deals contracted with other reporters (dealers).
The following methods of adjustment were applied: data on local deals with other reporters
were first divided by two, and this figure was subtracted from total gross data to arrive at “net-gross”
figures, ie business net of local inter-dealer double-counting. In a second step, data on cross-border
deals with other reporters were also divided by two, and this figure was subtracted from total “net-
gross” data to obtain the “net-net” figures, ie business net of local and cross-border inter-dealer double-
counting.

Gross turnover Minus = Net-gross turnover Minus = Net-net turnover

Not adjusted for half of the turnover Adjusted for local inter- half of the turnover Adjusted for local
inter-dealer double- with local reporting dealer double-counting with reporting and cross-border
counting (ie “gross- dealers (ie “net-gross” basis) dealers abroad inter-dealer double-
gross” basis) counting (ie “net-
net” basis)

BIS Triennial Central Bank Survey 2022 19