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Foreign Exchange Turnover Report – October 2011

List of tables

Table 1: Foreign Exchange Turnover by Instrument

Table 2: Foreign Exchange Turnover by Instrument and Counterparty

Table 3: Foreign Exchange Turnover by Currency

Table 4: Foreign Exchange Turnover by Currency Pair

Table 5: Maturities by Instrument and Currency

Table 6a: AUD Turnover by Instrument, Counterparty and Currency

Table 6b: USD Turnover by Instrument, Counterparty and Currency

Table 6c: EUR Turnover by Instrument, Counterparty and Currency

Table 1: Foreign Exchange Turnover by Instrumenta,b Daily average (US$m)
  Oct 2011 Apr 2011 Change over six months
  US$m US$m US$m %
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days (April 2011 calculated on 18 trading days).

b Totals and sub-totals may not sum due to rounding.
Outright Spot 48,176 47,601 575 1
Outright Forwards 9,538 12,774 −3,236 −25
FX Swaps 103,486 149,640 −46,154 −31
TRADITIONAL FOREIGN EXCHANGE TURNOVERb 161,199 210,016 −48,817 −23
Currency Swaps 3,770 5,623 −1,853 −33
OTC Options 2,934 3,445 −511 −15
TOTAL TURNOVER 167,903 219,084 −51,181 −23
Table 2: Foreign Exchange Turnover by Instrument and Counterpartya,b Daily average (US$m)
  Oct 2011 Apr 2011 Change over six months
  US$m US$m US$m %
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days (April 2011 calculated on 18 trading days).

b Sub-totals may not sum due to rounding.
Outright Spot 48,176 47,601 575 1
Financial Institutions - Local 6,807 7,859 −1,052 −13
Financial Institutions - Overseas 35,417 32,953 2,464 7
Non-financial Institutions - Local 4,781 5,074 −293 −6
Non-financial Institutions - Overseas 1,171 1,716 −545 −32
Outright Forwards 9,538 12,774 −3,236 −25
Financial Institutions - Local 3,443 3,852 −409 −11
Financial Institutions - Overseas 4,423 6,901 −2,478 −36
Non-financial Institutions - Local 1,246 1,434 −188 −13
Non-financial Institutions - Overseas 425 587 −162 −28
FX Swaps 103,486 149,640 −46,154 −31
Financial Institutions - Local 21,699 29,166 −7,467 −26
Financial Institutions - Overseas 78,911 115,043 −36,132 −31
Non-financial Institutions - Local 1,068 1,509 −441 −29
Non-financial Institutions - Overseas 1,808 3,922 −2,114 −54
Currency Swaps 3,770 5,623 −1,853 −33
Financial Institutions - Local 687 855 −168 −20
Financial Institutions - Overseas 2,921 4,508 −1,587 −35
Non-financial Institutions - Local 25 150 −125 −84
Non-financial Institutions - Overseas 137 111 26 24
OTC Options 2,934 3,445 −511 −15
Financial Institutions - Local 323 322 1 0
Financial Institutions - Overseas 2,162 2,586 −424 −16
Non-financial Institutions - Local 343 285 58 20
Non-financial Institutions - Overseas 105 251 −146 −58
Table 3: Foreign Exchange Turnover by Currencya Daily average (US$m)
  Oct 2011 Proportion of Totalb Apr 2011 Proportion of Totalb
  US$m % US$m %
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days (April 2011 calculated on 18 trading days).

b Proportions sum to 200% as there are two currencies involved in each transaction.
AUD 88,258 53 118,670 54
USD 152,802 91 200,719 92
EUR 23,558 14 33,008 15
OTHER CURRENCIES 71,188 42 85,772 39
TOTAL 167,903   219,084  
Table 4: Foreign Exchange Turnover by Currency Paira Daily average (US$m)
  Oct 2011 Proportion of Total Apr 2011 Proportion of Total
  US$m % US$m %
a Adjusted for reporting dealer double counting. Daily average for October 2011calculated on 20 trading days (April 2011 calculated on 18 trading days).

b Totals may not sum due to rounding.
AUD/USD 78,613 47 106,689 49
AUD/EUR 2,053 1 3,382 2
AUD/JPY 2,487 1 3,257 1
AUD/GBP 1,861 1 1,836 1
AUD/CHF 111 0 248 0
AUD/CAD 630 0 604 0
AUD/NZD 1,542 1 1,563 1
AUD/SEK 65 0 95 0
AUD/OTHER ASIAN 685 0 797 0
AUD/OTHER EUROPEAN 47 0 61 0
AUD/OTHER 163 0 137 0
EUR/USD 18,125 11 25,777 12
USD/JPY 20,384 12 16,157 7
USD/GBP 8,037 5 9,962 5
USD/CHF 1,241 1 1,875 1
USD/CAD 3,893 2 5,263 2
USD/NZD 14,353 9 21,082 10
USD/SEK 556 0 707 0
USD/OTHER ASIAN 5,764 3 10,531 5
USD/OTHER EUROPEAN 702 0 410 0
USD/OTHER 1,134 1 2,266 1
EUR/JPY 831 0 1,212 1
EUR/GBP 1,205 1 1,340 1
EUR/CHF 445 0 412 0
EUR/CAD 150 0 134 0
EUR/NZD 216 0 264 0
EUR/SEK 53 0 122 0
EUR/OTHER ASIAN 180 0 107 0
EUR/OTHER EUROPEAN 57 0 92 0
EUR/OTHER 243 0 167 0
RESIDUAL CURRENCIES 2,077 1 2,535 1
TOTALb 167,903   219,084  
Table 5: Maturities by Instrument and Currencya,b Daily average (US$m)
  Seven days or less Eight days to 1 year Over 1 year
  US$m US$m US$m
a Not adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days.

b Totals may not sum due to rounding.

c ‘Against USD’ excludes AUD/USD turnover; ‘Against EUR’ excludes AUD/EUR and EUR/USD turnover.
Outright Forwards 3,531 5,805 858
Against AUD 2,058 3,320 463
Against USDc 1,416 2,339 391
Against EURc 42 108 3
OTHER CURRENCIES 15 37 1
FX Swaps 100,174 16,849 229
Against AUD 56,835 10,606 142
Against USDc 42,873 6,131 87
Against EURc 241 89 0
OTHER CURRENCIES 226 23 0
Currency Swaps 10 719 3,386
Against AUD 1 698 1,994
Against USDc 9 21 1,393
Against EURc 0 0 0
OTHER CURRENCIES 0 0 0
OTC Options 734 2,191 158
Against AUD 512 1,610 102
Against USDc 211 548 54
Against EURc 6 30 2
OTHER CURRENCIES 4 4 1
Table 6a: AUD Turnover by Instrument, Counterparty and Currencya,b Daily average (US$m)
  AUD Against
  USD EUR JPY GBP CHF CAD NZD SEK Other
ASIAN		 Other
EUROPEAN		 OTHER  TOTAL
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days.

b Totals and sub-totals may not sum due to rounding.
Outright Spot 15,809 1,230 904 1,247 65 460 1,122 26 455 28 115 21,459
Financial Institutions - Local 2,802 199 90 295 9 69 251 1 136 1 27 3,880
Financial Institutions - Overseas 9,336 494 710 711 34 319 725 12 148 11 19 12,518
Non-financial Institutions - Local 3,398 529 86 233 21 66 130 13 165 16 68 4,726
Non-financial Institutions - Overseas 272 7 18 8 0 7 15 0 6 0 0 335
Outright Forwards 4,027 392 341 346 33 99 130 23 146 14 36 5,585
Financial Institutions - Local 1,661 233 209 172 20 56 50 14 95 12 17 2,539
Financial Institutions - Overseas 1,372 64 86 141 5 26 68 2 23 1 2 1,790
Non-financial Institutions - Local 897 90 46 33 7 17 10 7 26 1 17 1,150
Non-financial Institutions - Overseas 95 5 0 1 0 0 2 0 2 0 0 106
FX Swaps 54,604 339 1,228 213 13 49 170 16 70 6 10 56,719
Financial Institutions - Local 16,463 166 184 73 5 17 48 2 36 0 2 16,996
Financial Institutions - Overseas 36,890 111 942 111 5 19 61 13 23 4 6 38,184
Non-financial Institutions - Local 791 60 44 28 4 14 45 1 10 2 2 1,002
Non-financial Institutions - Overseas 460 2 58 1 0 0 17 0 1 0 0 537
Currency Swaps 2,359 10 0 36 0 0 0 0 0 0 0 2,405
Financial Institutions - Local 623 1 0 0 0 0 0 0 0 0 0 624
Financial Institutions - Overseas 1,623 8 0 5 0 0 0 0 0 0 0 1,637
Non-financial Institutions - Local 8 1 0 0 0 0 0 0 0 0 0 9
Non-financial Institutions - Overseas 105 0 0 30 0 0 0 0 0 0 0 135
OTC Options 1,814 83 14 20 0 21 120 0 15 0 1 2,090
Financial Institutions - Local 200 3 1 1 0 0 29 0 2 0 0 237
Financial Institutions - Overseas 1,219 77 9 18 0 20 83 0 10 0 1 1,439
Non-financial Institutions - Local 327 2 2 1 0 0 1 0 2 0 0 335
Non-financial Institutions - Overseas 68 0 1 0 0 1 6 0 2 0 0 79
Total AUD Turnover 78,613 2,053 2,487 1,861 111 630 1,542 65 685 47 163 88,258
Table 6b: USD Turnover by Instrument, Counterparty and Currencya,b,c Daily average (US$m)
  USD Against
  EUR JPY GBP CHF CAD NZD SEK Other
ASIAN		 Other
EUROPEAN		 OTHER  TOTAL
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days.

b Totals and sub-totals may not sum due to rounding.

c USD turnover excludes AUD/USD turnover.
Outright Spot 8,758 2,812 3,375 576 1,297 1,944 135 2,762 160 247 22,063
Financial Institutions - Local 976 229 501 78 155 352 5 235 8 25 2,565
Financial Institutions - Overseas 7,465 2,518 2,807 495 1,108 1,542 121 2,357 142 196 18,752
Non-financial Institutions - Local 11 7 9 0 4 5 0 9 1 1 47
Non-financial Institutions - Overseas 305 58 58 2 29 45 9 160 8 24 700
Outright Forwards 850 492 368 68 169 278 18 1,395 7 109 3,754
Financial Institutions - Local 215 59 85 8 49 67 1 340 1 24 849
Financial Institutions - Overseas 563 404 255 59 112 190 18 835 5 65 2,505
Non-financial Institutions - Local 35 4 23 1 4 5 0 14 1 3 90
Non-financial Institutions - Overseas 37 25 4 0 4 15 0 206 1 17 310
FX Swaps 7,981 16,045 4,133 596 2,413 11,784 401 1,544 535 777 46,210
Financial Institutions - Local 1,040 673 618 223 279 1,426 37 199 133 44 4,670
Financial Institutions - Overseas 6,772 15,295 3,473 365 2,098 10,067 78 1,302 134 732 40,314
Non-financial Institutions - Local 13 12 12 2 11 9 0 4 1 1 64
Non-financial Institutions - Overseas 157 65 31 7 25 282 286 40 268 0 1,162
Currency Swaps 49 974 81 0 10 219 0 32 0 0 1,364
Financial Institutions - Local 7 3 0 0 7 45 0 0 0 0 62
Financial Institutions - Overseas 40 970 81 0 3 158 0 32 0 0 1,284
Non-financial Institutions - Local 0 0 0 0 0 16 0 0 0 0 16
Non-financial Institutions - Overseas 2 0 0 0 0 0 0 0 0 0 2
OTC Options 487 61 80 2 4 129 1 31 0 1 797
Financial Institutions - Local 67 6 4 0 0 8 1 0 0 0 85
Financial Institutions - Overseas 407 52 72 2 4 112 0 30 0 1 679
Non-financial Institutions - Local 4 0 1 0 0 2 0 1 0 0 8
Non-financial Institutions - Overseas 9 3 4 0 1 7 0 0 0 1 24
Total USD Turnoverc 18,125 20,384 8,037 1,241 3,893 14,353 556 5,764 702 1,134 74,188
Table 6c: EUR Turnover by Instrument, Counterparty and Currencya,b,c Daily average (US$m)
  EUR Against  
  JPY GBP CHF CAD NZD SEK Other
ASIAN		 Other
EUROPEAN		 OTHER  TOTAL RESID-
UALS		 GRAND TOTALd
a Adjusted for reporting dealer double counting. Daily average for October 2011 calculated on 20 trading days.

b Totals and sub-totals may not sum due to rounding.

c EUR turnover excludes AUD/EUR and EUR/USD turnover.

d Grand total is the sum of AUD turnover (Table 6a), USD turnover (Table 6b), EUR turnover (Table 6c) and Residuals (Table 6c).
Outright Spot 670 1,035 394 137 171 50 168 49 203 2,879 1,775 48,176
Financial Institutions - Local 34 46 39 23 23 2 4 5 6 182 180 6,807
Financial Institutions - Overseas 614 955 355 110 148 39 163 38 159 2,580 1,567 35,417
Non-financial Institutions - Local 0 3 0 2 0 0 0 0 0 5 2 4,781
Non-financial Institutions - Overseas 22 31 0 2 1 9 2 6 38 111 25 1,171
Outright Forwards 31 44 37 10 12 2 7 3 2 147 52 9,538
Financial Institutions - Local 5 21 5 1 4 0 4 1 0 41 14 3,443
Financial Institutions - Overseas 24 22 27 8 6 1 2 3 2 94 34 4,423
Non-financial Institutions - Local 2 2 0 1 0 0 0 0 0 4 1 1,246
Non-financial Institutions - Overseas 0 0 4 0 1 1 1 0 0 8 1 425
FX Swaps 130 101 11 2 26 0 3 4 39 316 242 103,486
Financial Institutions - Local 10 4 3 0 0 0 3 1 0 22 11 21,699
Financial Institutions - Overseas 120 96 8 0 23 0 0 2 0 249 164 78,911
Non-financial Institutions - Local 0 0 0 1 1 0 0 0 0 2 0 1,068
Non-financial Institutions - Overseas 0 1 0 0 2 0 0 1 38 42 66 1,808
Currency Swaps 0 0 0 0 0 0 0 0 0 0 0 3,770
Financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 687
Financial Institutions - Overseas 0 0 0 0 0 0 0 0 0 0 0 2,921
Non-financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 25
Non-financial Institutions - Overseas 0 0 0 0 0 0 0 0 0 0 0 137
OTC Options 0 25 3 1 7 0 2 0 0 38 9 2,934
Financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 1 323
Financial Institutions - Overseas 0 24 3 1 7 0 2 0 0 37 8 2,162
Non-financial Institutions - Local 0 0 0 0 0 0 0 0 0 0 0 343
Non-financial Institutions - Overseas 0 1 0 0 0 0 0 0 0 1 1 105
Total EUR Turnoverc 831 1,205 445 150 216 53 180 57 243 3,379 2,077 167,903