Fm Researchstat 2013 a1 En

1

9 December 2013

Foreign exchange and derivatives market turnover in Bulgaria

Every three years, the Bank for International Settlements (BIS), Basel, Switzerland, coordinates an

international survey on developments in the foreign exchange and OTC derivatives markets. The objective of

the reporting exercise is to obtain comprehensive and internationally consistent information on the size and

the structure of the above markets. This contributes to the increase of market transparency and facilitates

discussions on reforms in OTC markets. BIS determines the coverage of the data and the methodology for

their collection. At national level, the survey is carried out by the central banks/ monetary authorities in the

participating countries.

In 2013, the Bulgarian National Bank (BNB) took part for the third time, as one of a total of 53 central

banks, in the Triennial Central Banks survey of foreign exchange and OTC derivatives market activity. The

Analyses Division of the BNB Treasury Directorate coordinated the survey on the Bulgarian financial

market. On the basis of a preliminary review, the BNB selected twelve commercial banks1 to participate in

the survey. All reporting institutions submitted data on the turnover for April 2013 (turnover part) and only

one reported data on the amounts outstanding at end- June 2013 (outstanding part).

We, hereby, present the survey results for Bulgaria, summarizing data for the foreign exchange and

OTC interest rate derivatives turnover in April 2013 and presenting breakdowns by instrument, counterparty,

currency pair and maturity.

1 BNP PARIBAS S.A. SOFIA BRANCH, CIBANK JSC, CITIBANK BULGARIA NA SOFIA BRANCH, DSK

BANK, EUROBANK EFG BULGARIA, FIRST INVESTMENT BANK, PIRAEUS BANK BULGARIA, RAIFFEISENBANK (BULGARIA), SOCIETE GENERALE EXPRESSBANK, UNICREDIT BULBANK, UNITED BULGARIAN BANK, ING BANK NV SOFIA BRANCH.

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1. Foreign exchange turnover

The average daily turnover in the foreign exchange market (spot transactions, outright forwards,

foreign exchange swaps, currency swaps and OTC options) in April 2013 amounted to 1 624.7 million US

dollars (Table 1). It went up by 86 percent between the 2013 and 2010 surveys and followed an increase of

55 percent between the 2010 and 2007 surveys.

364

16

178

4 1

604

55

211

4

1 217

38

367

40

200

400

600

800

1 000

1 200

1 400

Spottransactions

Outrightforwards

Foreignexchange

swaps

Currencyswaps

Options andother

products

Foreign exchange market turnover by instrumentDaily averages in April, in millions of US dollars

2007 2010 2013

Spot transactions accounted for the greatest share in the foreign exchange market, representing 75

percent of the total in April 2013 (69 percent in April 2010). The average daily turnover in the spot market in

April 2013 amounted to 1 216.6 million US dollars, which represents an increase of 102 percent from April

2010 and contributes 82 percent to the rise in the foreign exchange market activity in April 2013. While the

increase in value terms exceeded significantly the upward move, recorded in April 2007 (an increase by

66%), its contribution to the rise in the total turnover was only 5 percentage points.

The remaining transactions were executed through foreign exchange swaps and outright forwards,

comprising 23 percent and 2 percent, respectively, of all FX- deals in April 2013 (24 percent and 6 percent in

April 2010, respectively). The former group recorded an increase of 74 percent to a daily average of 367

million US dollars (211.4 million in April 2010), while the latter posted a decrease by 32 percent, to a daily

average of 37.5 million US dollars (55.4 million in April 2010).

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75%

2%

23%0%

Foreign exchange market turnover by intrument April 2013

Spot transactions Outright forwards

Foreign exchange swaps Currency swaps

Bulgarian lev, US dollar and Euro were the most actively traded currencies (Table 3). Foreign

exchange deals, with the Bulgarian lev on one side of the transaction, rose in both value and relative share

terms to 1 289.3 million US dollars and 79 percent, respectively (543.7 million and 62 percent in April 2010,

respectively). Foreign exchange deals with the US dollar on one side of the transaction (excluding

BGN/USD) increased in value terms to 274.9 million US dollars (232.8 million in April 2010), but its

relative share fell to 17 percent (27 percent in April 2010). The most actively traded currency pair was

BGN/EUR, which represented 78 percent of all FX-deals in April 2013 (60 percent in April 2010), followed

by USD/EUR which accounted for 16 percent of total (24 percent in April 2010). Transactions in other

currency pairs other than the Bulgarian lev, the US dollar and the Euro were negligible in value and relative

share terms (18.3 million US dollars and 2 percent in April 2010, respectively).

0% 20% 40% 60% 80% 100%

BGN/EUR

USD/EUR

EUR/OTHER

BGN/USD

USD/OTHER

BGN/OTHER

Other

Foreign exchange market turnover by currency pairs

2013

2010

2007

The growth of foreign exchange trading was driven by financial institutions other than the reporting

dealers (Table 4). They contributed 89 percent to the rise in the foreign exchange market activity in April

2013, and, as a result, their relative share increased to 66 percent (47 percent in April 2010). Remaining

transactions were executed as follows: 28 percent with reporting dealers (35 percent in April 2010) and 6

percent with non-financial customers (18 percent in April 2010).

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243174 146

305411

158

448

1 077

100

0

200

400

600

800

1 000

1 200

with reportingdealers

with other financialinstitutions

with non-financialcustomers

Foreign exchange market turnover by counterpartyDaily averages in April, in millions of US dollars

2007 2010 2013

The 2013 survey provided for the first time a breakdown of transactions with other financial

institutions which included the following subcategories: non-reporting banks, institutional investors, hedge

funds and proprietary trading firms, official sector financial institutions, and others (Table 4). Most FX-deals

were executed with official sector financial institutions (incl. central banks and international financial

institutions of the public sector, development banks and agencies), which represented 91 percent of all

dealers’ transactions with other financial institutions. Remaining transactions were distributed equally

between non-reporting banks (4 percent) and institutional investors (4 percent).

0 200 400 600 800 1 000

hedge funds andproprietary trading firms

others

non-reporting banks

institutional investors

official sector financialinstitutions

Foreign exchange market turnoverOther financial institutions

Daily averages in April 2013, in millions of US dollars

In terms of geographic allocation, 73 percent of total FX- deals (64 percent in April 2010) were

carried out with local counterparties (Table 2). The rest were cross-border.

The maturity structure of outright forwards and foreign exchange swaps in the interval less than one

year was as follows (Table 2): 67 percent of the transactions were with maturity of “seven days or less” (63

percent in April 2010), with the remainder being “over seven days and up to one year” (37 percent in April

2010). A very small fraction of transactions (0.3 million US dollars in April 2013) were with maturity “over

one year”.

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New data collected in the Triennial Survey show that 6 percent of dealer’s FX transactions were

conducted via a prime brokerage relationship with their clients (Table 1). About 2 percent of all FX volumes in

2013 were driven by trades of dealers with retail customers.

2. OTC interest rate derivatives turnover

The average daily turnover in the OTC interest rate derivatives market (forward rate agreements,

swaps and OTC options) in April 2013 amounted to 4.7 million US dollars (Table 5). In comparison, for the

same period of 2010 and 2007 it amounted to 3.3 million and 21.8 million US dollars, respectively.

0

20

20

3

00

5

00

5

10

15

20

25

Forward rateagreements

Swaps Options and otherproducts

OTC interest rate derivatives turnover by instrumentDaily averages in April, in millions of US dollars

2007 2010 2013

Interest rate swaps were the only instrument, traded by dealers in April 2013 (like in April 2010)

marking an increase of 43 percent between the 2013 and 2010 survey. All transactions in April 2013 were

executed in euro, whereas in April 2010 they involved euro and US dollars.

16.6

1.63.6

3

0 11 13

0

4

8

12

16

20

with reportingdealers

with other financialinstitutions

with non-financialcustomers

OTC interest rate derivatives turnover by counterpartyDaily averages in April, in millions of US dollars

2007 2010 2013

A great deal of transactions was executed with non-financial customers (Table 6), which represented

55 percent of the total (24 percent in April 2010). The relative share of transactions between reporting

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dealers decreased to 31 percent (76 percent in April 2010). Results from all three surveys, carried out since

2007, show that interest rate derivatives typically make up a very large share of cross-border transactions.

Global results of the 2013 Triennial Central Bank Survey of Foreign Exchange and Derivatives

Market Activity are available to the public on the BIS website at http://www.bis.org/publ/rpfx13.htm.

For additional information on the survey, please contact Nadya Nikolaeva (Phone: +359 (2) 9145

763 or e-mail: [email protected]) and Diana Marinova (Phone: +359 (2) 9145 727 or e-mail:

[email protected]).

––––––––––

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Table 1

Foreign exchange market turnover by instrument

Daily averages in April, in millions of US dollars

Amount Share Amount Share Amount Share

Foreign exchange instruments 563.1 874.3 1624.7Spot transactions 364.1 0.65 603.6 0.69 1216.6 0.75Outright forwards 16.2 0.03 55.4 0.06 37.5 0.02Foreign exchange swaps 178.4 0.32 211.4 0.24 367.0 0.23Currency swaps 3.6 0.01 4.0 0.00 3.6 0.00Options and other products 0.8 0.00 0.0 0.00 0.0 0.00

o/w prime brokered 104.7 0.06 o/w retail-driven 39.9 0.02 o/w related party trades 193.2 0.22 149.5 0.09

Instrument2007 2010 2013

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Table 2

Foreign exchange market turnover by instrument, counterparty, maturity



Spot transactions 364.1 603.6 1216.6with reporting dealers 113.2 0.31 100.1 0.17 104.6 0.09with other financial institutions 123.3 0.34 368.6 0.611021.2 0.84with non-financial customers 127.6 0.35 134.9 0.22 90.7 0.07

Outright forwards 16.2 55.4 37.5with reporting dealers 6.5 0.40 30.0 0.54 12.4 0.33with other financial institutions 2.7 0.17 7.1 0.13 22.7 0.61with non-financial customers 7.0 0.43 18.3 0.33 2.3 0.06

Up to 7 days 6.8 0.42 17.4 0.31 17.9 0.48Over 7 days and up to 1 year 9.4 0.58 38.0 0.69 19.6 0.52Over 1 year 0.0 0.00 0.0 0.00 0.00

Foreign exchange swaps 178.4 211.4 367.0with reporting dealers 120.0 0.67 171.4 0.81 327.1 0.89with other financial institutions 48.1 0.27 35.5 0.17 32.9 0.09with non-financial customers 10.4 0.06 4.5 0.02 7.0 0.02

Up to 7 days 148.0 0.83 151.1 0.71 252.7 0.69Over 7 days and up to 1 year 30.4 0.17 60.3 0.29 114.0 0.31Over 1 year 0.0 0.00 0.0 0.00 0.3 0.00

Currency swaps 3.6 4.0 3.6with reporting dealers 3.6 1.00 4.0 1.00 3.6 1.00with other financial institutions 0.0 0.00 0.0 0.00 0.0 0.00with non-financial customers 0.0 0.00 0.0 0.00 0.0 0.00

FX options and other products 0.8 0.0 0.0with reporting dealers 0.1 0.13 0.0 0.00 0.0 0.00with other financial institutions 0.0 0.00 0.0 0.00 0.0 0.00with non-financial customers 0.7 0.88 0.0 0.00 0.0 0.00

Total 563.1 874.3 1624.7with reporting dealers 243.3 0.43 305.5 0.35 447.8 0.28with other financial institutions 174.1 0.31 411.2 0.471076.9 0.66with non-financial customers 145.6 0.26 157.7 0.18 100.00.06

Local 303.5 0.54 562.0 0.64 1189.6 0.73Cross-border 259.6 0.46 312.4 0.36 435.1 0.27

2010 2013Instrument/counterparty/maturity

2007

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Table 3

Foreign exchange market turnover by currency pair


Amount Share Amount Share Amount ShareUSD / AUD 1.3 0.00 0.0 0.00 0.0 0.00USD / BRL 0.0 0.00 0.0 0.00USD / CAD 0.7 0.00 0.0 0.00 0.7 0.00USD / CHF 2.2 0.00 0.3 0.00 0.2 0.00USD / CNY 0.0 0.00 0.0 0.00USD / EUR 251.3 0.45 205.7 0.24 253.8 0.16USD / GBP 13.9 0.02 18.8 0.02 13.9 0.01USD / HKD 0.0 0.00 0.0 0.00USD / INR 0.0 0.00 0.0 0.00USD / JPY 2.9 0.01 3.6 0.00 0.4 0.00USD / KRW 0.0 0.00 0.0 0.00USD / MXN 0.0 0.00USD / NOK 0.9 0.00USD / NZD 0.0 0.00USD / PLN 0.0 0.00USD / RUB 1.9 0.00USD / SEK 0.0 0.00 0.0 0.00 0.1 0.00USD / SGD 0.0 0.00USD / TRY 0.0 0.00USD / TWD 0.0 0.00USD / ZAR 0.0 0.00 0.0 0.00USD / OTH 0.6 0.00 4.4 0.01 3.1 0.00

EUR / AUD 0.0 0.00 6.7 0.01 0.1 0.00EUR / CAD 0.1 0.00 7.3 0.01 0.2 0.00EUR / CHF 10.7 0.02 20.3 0.02 25.9 0.02EUR / CNY 0.0 0.00EUR / DKK 0.0 0.00EUR / GBP 13.4 0.02 16.4 0.02 9.0 0.01EUR / HUF 1.8 0.00EUR / JPY 4.0 0.01 1.6 0.00 15.6 0.01EUR / NOK 0.7 0.00EUR / PLN 0.7 0.00EUR / SEK 8.0 0.01 0.6 0.00 0.2 0.00EUR / TRY 2.8 0.00EUR / OTH 0.2 0.00 26.8 0.03 3.5 0.00

BGN / AUD 0.0 0.00 0.0 0.00 0.0 0.00BGN / CAD 0.0 0.00 0.0 0.00 0.1 0.00BGN / CHF 0.1 0.00 0.4 0.00 0.4 0.00BGN / EUR 219.1 0.39 524.8 0.60 1 264.4 0.78BGN / GBP 1.0 0.00 1.1 0.00 0.7 0.00BGN / JPY 0.0 0.00 0.2 0.00 0.1 0.00BGN / SEK 0.1 0.00 0.2 0.00 0.1 0.00BGN / USD 29.8 0.05 17.0 0.02 23.3 0.01BGN / OTH 0.0 0.00 0.1 0.00 0.1 0.00

Other currency pairs 3.5 0.01 18.3 0.02 0.0 0.00All currency pairs 563.1 874.3 1 624.7

2007 2010 2013Currency pair

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Table 4

Foreign exchange market turnover by counterparty



Total 563.1 874.3 1624.7with reporting dealers 243.3 305.5 447.8 local 54.2 0.22 17.5 0.06 23.3 0.05 cross-border 189.1 0.78 287.9 0.94 424.5 0.95

with other financial institutions 174.1 411.2 1076.9 local 106.3 0.61 387.7 0.94 1067.5 0.99 cross-border 67.9 0.39 23.5 0.06 9.3 0.01

non-reporting banks 41.7 0.04 institutional investors 48.3 0.04 hedge funds and proprietary trading firms 0.4 0.00 official sector financial institutions 979.8 0.91 others 5.0 0.00 undistributed 1.6 0.00

with non-financial customers 145.6 157.7 100.0 local 143.0 0.98 156.7 0.99 98.8 0.99 cross-border 2.6 0.02 1.0 0.01 1.2 0.01

2010 2013Counterparty

2007

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Table 5

OTC interest rate derivatives market turnover by instrument



Interest rate instruments 21.8 3.3 4.7

FRAs 0.0 0.00 0.0 0.00 0.0 0.00

Swaps 19.8 0.91 3.3 1.00 4.7 1.00

Options and other products 2.0 0.09 0.0 0.00 0.0 0.00

Instrument2007 2010 2013

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Table 6

OTC interest rate derivatives market turnover by instrument, counterparty



FRAs 0.0 0.0 0.0with reporting dealers 0.0 0.00 0.0 0.00 0.0 0.00with other financial institutions 0.0 0.00 0.0 0.00 0.0 0.00with non-financial customers 0.0 0.00 0.0 0.00 0.0 0.00

Swaps 19.8 3.3 4.7with reporting dealers 15.3 0.77 2.5 0.76 1.4 0.31with other financial institutions 1.6 0.08 0.0 0.00 0.7 0.14with non-financial customers 2.9 0.14 0.8 0.24 2.6 0.55

Options and other products 2.0 0.0 0.0with reporting dealers 1.3 0.64 0.0 0.00 0.0 0.00with other financial institutions 0.0 0.00 0.0 0.00 0.0 0.00with non-financial customers 0.7 0.36 0.0 0.00 0.0 0.00

Total 21.8 3.3 4.7with reporting dealers 16.6 0.76 2.5 0.76 1.4 0.31with other financial institutions 1.6 0.07 0.0 0.00 0.7 0.14with non-financial customers 3.6 0.16 0.8 0.24 2.6 0.55

Local 6.5 0.30 0.8 0.24 1.1 0.24Cross-border 15.3 0.70 2.5 0.76 3.6 0.76

2007 2010 2013Instrument/counterparty

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