Nov 23 -- The Federal Reserve Board of Governors invites comment by January 24, 2021 on the proposed extension of the Central Bank Survey of Foreign Exchange and Derivatives Market Activity.
The Board is a member of the Bank for International Settlements (BIS), which compiles aggregate national data from each central bank to produce and publish global market statistics. The FR 3036 is a component of the U.S. portion of a global data collection (the BIS survey) that is conducted by central banks once every three years and captures information relating to the volume of foreign exchange (FX) transactions. Currently, more than 50 central banks plan to conduct the BIS survey in 2022. Aggregated data from the FR 3036 is compiled and forwarded to the BIS, which uses the data to produce and publish these statistics.
Proposed revisions: The proposal would revise the maturity bands on the FR 3036 by replacing the existing “seven days or less” category with two categories: “One day” and “over one day and up to seven days.” This change would align with current industry standards which, based on pre-emptive consultation with a sample of reporting dealers, are already included in the back-end systems of respondents. Revisions to the maturity bands were originally proposed to the BIS by data users seeking greater insight into how overnight trades impact FX turnover and are expected to be broadly adopted by nearly all participating central banks for the 2022 survey.
The proposal would add a new item for “of which back-to-back trades” under the total for spot instruments, and the new items “of which back-to-back trades” and “of which compression trades” for several instrument totals: Outright forwards (Table A2), FX swaps (Table A2), currency swaps (Table A5), over-the-counter (OTC) options (Table A5), FX contracts (Table A5), other products (Table A5 and Table B2), forward rate agreements (Table B1), overnight indexed swaps (Table B1), other swaps (Table B1), total OTC options (Table B2), and total interest rate contracts (Table B2). The proposed changes would provide insight into an important facet of the FX market that was omitted from prior surveys, and would be particularly valuable to data users given that both transaction types have been cited by reporting dealers to comprise an increasing share of market turnover. These proposed line items were circulated to a selection of reporting dealers and, based on feedback received, have been modified to ensure a more limited impact on respondent burden.
The Board also proposes a more significant addition in the form of a new Settlement of FX Transactions schedule (Table A7, Settlement of Foreign Exchange Transactions) to collect information on FX settlement, including a breakdown by counterparty sector, currency pair, and settlement method. The new schedule would enable the Board and other supervisory authorities to more accurately and regularly monitor FX settlement risk—an area of growing importance for financial regulators given that the BIS estimates that nearly $9 trillion of FX market payments are at risk on a given day. While some countries collected a limited set of data on FX settlement during the 2019 survey, it is the broad view of global regulatory authorities that more granular data is needed to effectively monitor risks to financial stability that may arise from FX settlement.
Draft 2022 survey proposal: FR 3036 row in "Information Collections Out for Public Comment" table at
https://www.federalreserve.gov/apps/reportforms/review.aspx Includes draft form and technical documentation.
FR notice inviting comment:
https://www.federalregister.gov/documents/2021/11/23/2021-25504/proposed-agency-information-collection-activities-comment-request