Reporting dealers

Board of Governors of the Federal Reserve System

Instructions for the Preparation of

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity
Turnover Survey
Reporting Form FR 3036
Effective April 2022

INSTRUCTIONS FOR THE PREPARATION OF

Central Bank Survey of
Foreign Exchange and
Derivatives Market Activity
Turnover Survey
FR 3036
Introduction
These instructions cover the turnover part of the survey. The turnover part of the survey will be conducted
on a locational basis. Turnover data should be collected
over the entire month of April 2022. The data should
reflect all transactions entered into during the month,
regardless of whether delivery or settlement is made
during that month.
In order to limit the reporting burden, the turnover part
of the survey only covers spot transactions and turnover in OTC foreign exchange and interest rate derivatives. No data are collected on turnover of exchangetraded derivative instruments.
The Federal Reserve System treats information provided by each respondent as confidential. Aggregate
totals will be published by the Federal Reserve Bank of
New York and the Bank for International Settlements.

Reporting Deadline
The survey should be submitted to the Federal Reserve
Bank of New York by June 15, 2022 using the Reporting Central application.

Note: This report is authorized by law [12 U.S.C. §§ 225a and 263]. Your
voluntary cooperation in submitting this report is needed to make the
results comprehensive, accurate and timely. The Federal Reserve may
not conduct or sponsor, and an organization is not required to respond
to, a collection of information unless it displays a currently valid OMB
control number. Individual firm information collected on the
FR 3036 is considered confidential to the extent it constitutes nonpublic
commercial or financial information, which is both customarily and
actually treated as private by the respondent. Therefore, this information may be kept confidential under exemption 4 of the Freedom of
Information Act, which exempts “trade secrets and commercial or
financial information obtained from a person and privileged or confidential.” [5 U.S.C. §552(b)(4)]. If it should be determined that any information collected on this form must be released, other than in the aggregate in ways that will not reveal the amounts reported by any one institution, respondents will be notified.

FR 3036

Additional information on Reporting Central can be
found here:
https://www.frbservices.org/central-bank/reportingcentral/index.html
A reporting dealer should contact the Federal Reserve
Bank of New York if it believes it may not be able to
submit the survey electronically.

Reporters
Reporting dealers are financial institutions that
actively participate in local and global foreign
exchange and derivatives markets. These entities
(1) participate in the interdealer market or (2) actively
conduct business with large customers, such as large
corporate firms, and other financial institutions. That
is, reporting dealers are institutions that are actively
buying and selling currency and entering into OTC
derivatives for their own account or in meeting customer demand. Reporting dealers also include the U.S.
branches and subsidiaries of foreign institutions that
have trading desks or sales desks in the United States.

A. The Main Survey
1. Counterparties
Reporting dealers should provide for each instrument
in the foreign exchange and interest rate derivatives
categories a breakdown of contracts by counterparty
as follows: reporting dealers, other financial institutions, and non-financial customers.
For these three basic counterparty categories, reporting dealers should also provide separate information
on local and cross-border transactions. The determination of local and cross-border should be determined
according to the location of the counterparty and not
its nationality. Local transactions are transactions with
GEN-1

April 2022

FR 3036

counterparties resident in the U.S. Cross-border transactions are with counterparties outside of the U.S.
In addition, the counterparty category “other financial
institutions” is further broken down into five subcategories in the counterparty breakdown. This additional breakdown is only used in the foreign exchange
part of the survey (Tables A1 to A6; a simplified breakdown to distinguish between reporting dealers, other
financial institutions and non-financial customers is
used in the new Table A7). It categorizes counterparties by their primary business activity or their primary
motives for trading in foreign exchange markets.
As some counterparties may potentially fall into more
than one category, some judgement may be required on
the part of reporting dealers to assign a specific counterparty to a category that best fits this entity. The primary business activity of the counterparty should
serve as the criterion.
Transactions conducted under prime brokerage
arrangements should be reported by the executing
dealer with the prime broker as the counterparty (not
the customer of the prime broker). The executing
dealer should classify the prime broker as “reporting
dealer” or “other financial institution” as appropriate.
Similarly, the prime broker, if a reporting dealer,
should report two trades, one for the executing dealer
and a second trade for the customer.

Counterparty Categories, Subcategories and
Definitions
• Reporting dealers1
Reporting dealers are institutions throughout the
world that are submitting this report to their local
central bank.
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
1. This definition differs from that used for the amounts outstanding
part of the survey where “reporting dealers” refers only to institutions
whose head office participates in the BIS’s semiannual OTC derivatives
statistics and is located in one of the reporting countries. For details,
please refer to the Reporting Guidelines for amounts outstanding for
non-regular reporting institutions.

GEN-2

April 2022

institutions; in other words, reporting dealers are
institutions that are actively buying and selling 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 Refinitiv 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.
In order to allow the accurate elimination of double
counting of inter-reporter transactions, reporting
institutions should identify transactions with
“reporting dealers” to the best of their ability.
A list of reporting dealers is available at
https://www.newyorkfed.org/banking/reportingforms/
FR_3036.html
• Other financial institutions
This category covers the financial institutions that
are not classified as reporting dealers. These are typically regarded as end users in foreign exchange and
interest rate derivatives markets. It covers all nonreporting depository institutions and other financial
institutions and intermediaries whose primary business is to extend credit for business purposes or for
financing personal expenditures, such as investment
banks and securities firms, mutual funds, pension
funds, hedge funds, currency funds, money market
funds, thrifts, leasing companies, insurance companies, and financial subsidiaries of non-financial
companies. It also includes central banks. For foreign exchange turnover only, Other financial institutions is further broken down into five reportable
sub-categories:
—Of which non-reporting banks Smaller or regional
commercial banks, publicly owned banks, securities firms or investment banks that are not directly
participating as reporting dealers.
—Of which institutional investors Institutional investors such as mutual funds, pension funds, insur-

FR 3036

FR 3036

ance and reinsurance companies and endowments.
Their primary motives for market participation
are to trade FX instruments e.g., for hedging,
investing and risk management purposes. A common label for this counterparty category is “real
money investors”.
—Of which hedge funds and proprietary trading firms
(a) Investment funds and various types of money
managers, including commodity trading advisers
(CTAs) which share (a combination of) the following characteristics: they often follow a relatively
broad range of investment strategies that are not
subject to borrowing and leverage restrictions,
with many of them using high levels of leverage;
they often have a different regulatory mandate
than “institutional investors” and typically cater
to sophisticated investors such as high net worth
individuals or institutions; and they often hold
long and short positions in various markets, asset
classes and instruments, with frequent use of
derivatives for speculative purposes. (b) Proprietary trading firms that invest, hedge or speculate
for their own account. This category may include,
for example, specialised “high frequency trading”
(HFT) firms that employ high-speed algorithmic
trading strategies characterized by numerous frequent trades and very short holding periods. In
addition, this category may include PTFs that
employ their technology for the purpose of electronic market-making (see also Section 8.4).
—Of which official sector financial institutions Central banks, sovereign wealth funds, international
financial institutions of the public sector (BIS,
IMF, etc.), development banks and agencies (e.g.,
national debt management agencies or national
development funds/agencies).
—Of which other All remaining financial institutions
(e.g., retail-aggregators or central counterparties2)
that cannot be classified as any of the subcategories above.
—undistributed captures the amount of "other financial institutions" turnover that fails to be allocated
into one of the sub-categories above.
2. A portion of total turnover that relates to compression trades (as
described in Section 8.3) is also captured in the sector breakdown under
the respective instrument.

FR 3036

• Non-financial customers
This category covers any counterparty other than
those describe above, i.e., mainly non-financial endusers, such as corporate and non-financial government entities.
2. Definition of Turnover Data
To gauge the size of the foreign exchange and OTC
derivatives markets, the survey collects turnover data
for both proprietary and commissioned business of the
reporting institution. 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.
Turnover is defined as the gross value of all new deals
entered into during a given period and is measured in
terms of the notional amount of the contracts. In addition to spot foreign exchange transactions, turnover
data are requested for foreign exchange and interest
rate derivatives.
No distinction should be made between sales and purchases (for example, a purchase of $5 million against
sterling and a sale of $7 million against sterling would
amount to a gross turnover of $12 million). Direct
cross-currency transactions should be counted as
single transactions; however, cross-currency transactions passing through a vehicle currency should be
recorded as two separate deals against the vehicle currency (for example, if a bank sells Swiss francs $5 million against euro first and then uses the euro to purchase krona, the reported turnover should be
$10 million). The gross amount of each transaction
should be recorded once and netting arrangements and
offsets should be ignored. In this context, reporting
institutions are reminded that CLS pay-in data is on a
net basis, and so should not be used as a source for
completing the survey, which is on a gross basis.
For turnover of transactions with variable nominal or
notional principal amounts, the basis for reporting
should be the nominal or notional principal amounts
on the transaction date.
Turnover data should be collected over a one-month
period in order to reduce the likelihood of very shortterm variations in activity distorting the data. The data
collected for the survey should reflect all transactions
entered into during the calendar month of April 2022,
GEN-3

April 2022

FR 3036

regardless of whether delivery or settlement is made
during that month.
2.1 Sales desk basis
For turnover data, the basis for reporting any trade
should be the location of the sales desk of any transaction, even if the trade was booked in another location.
Transactions conducted by offices located in the
United States should be reported to the Federal
Reserve Bank of New York, even if these trades were
booked at an office in another country. Where no sales
desk is involved in a deal, the trading desk should be
used to determine the location of deals. (Please see the
list of illustrative examples of how to report trades by
location of deals in Annex 1.)
Large financial groups operating in a range of centers
should ensure that the agreed definitions of the guidelines are followed, as consistently as possible, by all their
reporting units. The guiding principle should be that each
trade is reported once.
2.2 Novation and Central Clearing
OTC derivatives transactions that are centrally cleared
via central counterparties (CCPs) should be reported
on a pre-novation basis in the turnover part of the survey (i.e., with the original execution counterpart as
counterparty). Any post-trade transaction records that
arise from central clearing via CCPs (e.g., through
novation) should not be reported as additional transactions3.
However, compression trades with CCPs that are done
to reduce the size of the outstanding amounts with the
CCP and that are not tied specifically to any one (or
particular group of) novated trade(s) should be
included in the reported turnover figures. See
Section 8.3.

3. For example, if a reporting dealer executed a non-deliverable forward (NDF) contract with a hedge fund and the contract was posttrade transferred to a CCP for central clearing, the reporting dealer
should report only the turnover associated with that NDF contract with
the hedge fund as counterparty. The post-novation contract with the
CCP should not be reported as additional turnover. Please note that the
treatment of centrally cleared OTC derivatives transactions in the turnover part of the survey is different from that in the amount outstanding part.

GEN-4

April 2022

2.3 Cancelled Contracts
The actual turnover of all new contracts initiated during the period of review, which are not cancelled during this period, should be reported.4 In case of cancellation during the period of review, for example if the
original deal is incorrect, the transaction should be
excluded from reporting unless it is rebooked during
the period of review. In this case, the specifications of
the new transaction should be used for reporting.
3. Risk Categories
The survey collects data on foreign exchange transactions and OTC derivative products according to the
following broad market classification:
• foreign exchange contracts (Tables A1 to A7)
• single-currency interest rate derivatives (Tables B1
and B2)
Foreign exchange contracts. Foreign exchange contracts
cover spot, outright forwards, foreign exchange swaps,
currency swaps, currency options and other foreign
exchange instrument transactions with exposure to
more than one currency. (see Section 5.1).
Single-currency interest rate derivatives. Interest rate
contracts are contracts related to an interest-bearing
financial instrument whose cash flows are determined
by referencing interest rates or another interest rate
contract (e.g., an option on a futures contract to purchase a Treasury bill) (see Section 5.2). Interest rate
contracts include forward rate agreements, singlecurrency interest rate swaps and interest rate options,
including caps, floors, collars, and corridors.
This category includes only those deals where all the
legs are exposed to only one currency's interest rate.
Thus it excludes contracts involving the exchange of
currencies (e.g., cross-currency swaps and currency
options) and other contracts whose predominant risk
characteristic is foreign exchange risk, which are to be
reported as foreign exchange contracts.
4. The fact that one of the counterparties to a contract is entering an
offsetting contract for terminating the original position does not impact
the reporting of the original contract. Both the original contract and
the new mirror contract should be reported (sometimes called rollback
contracts). Similarly the fact that the counterparties to a contract agree
in the settlement process to roll the proceeds to a future date (entering a
new contract) does not impact the reporting of the original contract.
Both the original contract and the new contract should be reported.

FR 3036

FR 3036

3.1 Categorization of derivatives involving more than
one risk category
Individual derivatives transactions are to be categorized into two risk classes: foreign exchange and singlecurrency interest rate. In practice, however, individual
derivatives transactions may straddle risk categories. In
such cases, transactions that are simple combinations
of exposures should be reported separately in terms of
their individual components, as explained in Section 5
below. Transactions that cannot be readily broken
down into separable risk components should be
reported in only one risk category, the category of the
predominant risk. The allocation of such products
with multiple exposures should be determined by the
underlying risk component that is most significant.
However, if, for practical reasons, reporting institutions are in doubt about the correct classification of
multi-exposure derivatives, they should allocate the
deals according to the following order of precedence:
• Foreign exchange. This category will include all
derivatives transactions with exposure to more than
one currency, be it in interest or exchange rates.
• Single-currency interest rate contracts. This category
will include derivatives transactions in which there is
exposure to only one currency’s interest rate. This
category should include all fixed and/or floating
single-currency interest rate contracts, including forwards, swaps and options.
4. Overview of Breakdowns
4.1 Foreign Exchange
The part of the survey on foreign exchange turnover
covers a number of breakdowns:
• By instrument. Five basic types—spot, outright forwards, foreign exchange swaps, currency swaps and
OTC options—plus other products (see Section 5.1
for detailed definitions). Furthermore, reporting
dealers are requested to identify how much of their
“outright forwards” turnover for selected currency
pairs is attributed to non-deliverable forwards
(NDFs).
• By counterparty. Three basic categories: reporting
dealers, other financial institutions and non-financial
customers. In addition, the category “other financial

FR 3036

institutions” is further broken down into five subcategories (see Section 1).
• By currency and currency pair. There are explicit columns in the form for 38 currencies and 42 currency
pairs. Turnover in currency pairs that are not explicitly listed is recorded in aggregate in the “Other” and
“Residual” columns (see Section 6 for details).
• By maturity. There are six maturity categories for
outright forwards and foreign exchange swaps: one
day, over one day and up to seven days, over seven
days and up to one month, over one month and up to
three months, over three months and up to six
months, over six months. The category “one day”
includes overnight (see Section 7).
• Specific trading relationships. Reporting dealers are
requested to:
—Identify how much of their Grand total foreign
exchange turnover is attributed to related-party
trades (see Section 8.1).
—Identify for each instrument how much of the total
turnover is attributed to (i) back-to-back trades
(see Section 8.2) and to (ii) compression trades (see
Section 8.3);
—Identify for each instrument and currency pair how
much of the total turnover is attributed to (i) transactions conducted in a foreign exchange prime
brokerage relationship (with the reporting dealer
in the role of FX prime broker—see Section 8.4);
and (ii) transactions that are directly or indirectly
generated by retail investors (see Section 8.5);
• By FX settlement. For the selected counterparty sectors, total turnover and turnover in CLS currency
pairs are requested, now broken down by the number
of payments (one, two or four). As before, turnover
settled with at least two payments is corrected for
bilateral netting, and the resulting gross value of
payable settlement obligations is broken down into
settled without settlement risk and settled through a
system not offering payment versus payment (see
Section 9 for details).
• By execution method. There are four basic categories:
voice-direct, voice-indirect, electronic-direct and
electronic-indirect. The two “electronic” categories
are further broken down into specific types of elec-

GEN-5

April 2022

FR 3036

tronic trading platforms similar to those already in
existence at the time of the previous surveys (see Section 10 for details).
4.2 Single Currency Interest Rate Derivatives
The single-currency interest rate derivatives turnover
part has the following breakdowns:
• By instrument. Three basic types – forward rate
agreements, swaps and OTC options – plus other
products (see Section 6.2 for detailed definitions).
• By counterparty. Three basic categories: reporting
dealers, other financial institutions and non-financial
customers. The more detailed new breakdowns for
“other financial institutions” are not used here.
• By currency. There are explicit columns for instruments in 40 currencies. Turnover for instruments in
currencies that are not explicitly listed is recorded in
aggregate in the “Other” column.
• Specific trading relationships. Reporting dealers are
requested to identify how much of their grand total
single-currency interest rate derivatives turnover is
attributed to (i) related-party trades (see Section 8.1),
(ii) back-to-back trades (see Section 8.2) and (iii)
compression trades (see Section 8.3).
5. Instrument Definitions and Categorization
5.1 Foreign Exchange Transactions
The instruments covered in the foreign exchange turnover part of the survey are defined and categorized as
follows:
Spot transactions. 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 legs of swaps should not be reported even
when they are due for settlement within two days (i.e.,
spot transactions should exclude overnight swaps and
“tomorrow/next day” transactions). Cash/same day
transactions5 should be reported under spot.
Outright Forwards. Transactions involving the
exchange of two currencies at a rate agreed on the date
of the contract for value or delivery (cash settlement) at
some time in the future (more than two business days
5. Spot transactions with same day settlement (T+0 settlement).

GEN-6

April 2022

later). This category also includes forward foreign
exchange agreement transactions (FXAs), NDFs and
other forward contracts for differences. Forward contracts are generally not traded on organised exchanges
and their contractual terms are not standardized.
Transactions where only the difference between the
contracted forward outright rate and the prevailing
spot rate is settled at maturity, such as non-deliverable
forwards (i.e., forwards which do not require physical
delivery of a non-convertible currency) and other contracts for differences, should be reported. In addition,
reporting dealers should report non-deliverable forwards (NDF6) under Of which non-deliverable forwards, to show volumes for six emerging market currency pairs with significant NDF volumes: USD/BRL,
USD/CNY, USD/INR, USD/KRW, USD/RUB and
USD/TWD. The NDF turnover of other less welltraded pairs will also be captured but in aggregate only.
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 exchange of the same two currencies at a date
further in the future at a rate. FX swaps include “spot/
forward swaps” and “forward/forward swaps” but also
short-term swaps such as “overnight swaps”, “spot
next swaps” and other “tomorrow/next day”
transactions.
In the turnover part of the survey, any FX swaps
should be reported only once. The basis for reporting
should be the forward leg of the swap. The spot leg
should not be reported, either as spot or as foreign
exchange swap transactions.
In/out swaps between CLS members should be
excluded.7
6. NDFs differ from deliverable forwards in that there is no physical
delivery of the two underlying currencies at maturity. An NDF contract
is settled in cash (very often in US dollars, or any other pre-agreed currency). The settlement amount is calculated based on the difference
between the contracted NDF rate and the prevailing spot exchange rate
at maturity (the fixing date), and the pre-agreed notional amount.
7. So-called in/out swaps are used exclusively between CLS members
in order to reduce pay-ins when settling FX transactions via the CLS
system. As they are carried out only for liquidity management purposes
in order to amend the settlement mechanism, their inclusion in the Triennial Survey would artificially boost the reported data and make any
comparison with previous surveys difficult. These swaps should therefore be excluded from the reporting for the Triennial Survey.

FR 3036

FR 3036

Currency Swaps: Contracts which commit two counterparties to exchange streams of interest payments in
different currencies for an agreed period of time and/or
to exchange principal amounts in different currencies
at a pre agreed exchange rate at maturity.
OTC options. Option contracts convey either the right
or the obligation, depending upon whether the reporting institution is the purchaser or the writer, respectively, to buy or sell a financial instrument or commodity at a specified price up to a specified future date.
OTC option contracts include all option contracts not
traded on an organized exchange. Swaptions, which
are options to enter into a swap contract, caps, floors,
collars, corridors and other plain vanilla contracts
should be reported as options. Options such as call
feature embedded in loans, securities and other
on-balance-sheet assets do not fall within the scope of
this survey and are therefore not to be reported unless
they are a derivative instrument that must be treated
separately under U.S. GAAP
Report both sold and bought options on a combined
basis. Sold options are OTC options contracts in which
the reporter has, for compensation (such as a fee or
premium), obligated itself to either purchase or sell
financial instruments or commodities. Also include
turnover for written caps, floors and swaptions and for
the written portion only of collars and corridors.
Bought options are OTC option contracts in which the
reporter has, for a fee or premium, acquired the right
to either purchase or sell financial instruments or commodities. Also include turnover for purchased caps,
floors and swaptions and for the purchased portion only
of collars and corridors.
Other products. Other derivative products are instruments where decomposition into individual plain
vanilla instruments such as forwards, swaps or options
is impractical. Examples of "other" products are swaps
with underlying notional principal in one currency and
fixed or floating interest rate payments based on interest rates in currencies other than the notional (differential swaps or diff swaps).
5.2 Single-currency interest rate derivatives
Forward rate agreements (FRAs): Interest rate forward
contracts in which the rate to be paid or received on a
specific obligation for a set period of time, beginning at
FR 3036

some time in the future, is determined at contract
initiation.
Overnight indexed swaps (OIS): Contracts to exchange
periodic payments related to interest rates on a single
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 confer the right to pay or receive
a specific interest rate on a predetermined principal for
a set period of time.
OTC options include:
• Interest rate cap: OTC option that pays the difference between a floating interest rate and the cap rate.
• Interest rate floor: OTC option that pays the difference between the floor rate and a floating interest
rate.
• Interest rate collar: combination of cap and floor.
• 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 is 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.
• Interest rate swaption: OTC option to enter into an
interest rate swap contract, purchasing the right to
pay or receive a certain fixed rate.
• Interest rate warrant: OTC option; long-dated (over
one year) interest rate option.
• Each portion of an option strategy should be
reported separately.
GEN-7

April 2022

FR 3036

Other products: “Other” derivative products are instruments where decomposition into individual plain
vanilla instruments such as FRAs, swaps or options is
impractical or impossible.

INR: Indian rupee

Examples of “other” products are 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. These include bond forwards.

NOK: Norwegian krone

Single-currency interest rate derivatives are in principle
to be broken down into three types of plain vanilla
instrument (FRA, swaps and options). Plain vanilla
instruments are instruments traded in generally liquid
markets according to more or less standardised contracts and market conventions. If a transaction comprises several plain vanilla components, each part
should in principle be reported separately.
Non-plain vanilla products should in principle be separated into their plain vanilla components. If this is not
feasible, then the OTC options section takes precedence in the instrument classification, so that any interest rate derivative product with an embedded option is
reported as an OTC option. All other OTC interest
rate derivative products are reported in the FRA or
swaps section.
6. Currency Breakdowns
In order to obtain consistent data on turnover in principal currency segments of the foreign exchange market,
reporting institutions are asked to report turnover data
on foreign exchange contracts by currency pairs. Data
should be provided separately for trading in the US
dollar against the following individual currencies:
EUR: Euro
JPY: Japanese yen
GBP: Pound sterling
CHF: Swiss franc

KRW: Korean won
MXN: Mexican peso
NZD: New Zealand dollar
PLN: Polish Zloty
RUB: Russian ruble
SGD: Singapore dollar
TRY: Turkish lira
TWD: Taiwan dollar
ZAR: South African rand
Other currencies
Data should be provided separately for trading in the
Euro against the following individual currencies:
JPY: Japanese yen
GBP: Pound sterling
CHF: Swiss franc
CAD: Canadian dollar
AUD: Australian dollar
SEK: Swedish krona
CNY: Chinese Yuan Renminbi
DKK: Danish Krone
HUF: Hungarian Forint
NOK: Norwegian Kroner
PLN: Polish Zloty
TRY: Turkish Lira
Other currencies

AUD: Australian dollar

Data should be provided separately for trading in the
Japanese yen against the following individual
currencies:

SEK: Swedish krona

AUD: Australian dollar

BRL: Brazilian real

NZD: New Zealand dollar

CNY: Chinese Yuan renminbi

BRL: Brazilian Real

HKD: Hong Kong dollar

CAD: Canadian Dollar

CAD: Canadian dollar

GEN-8

April 2022

FR 3036

FR 3036

TRY: Turkish Lira

BGN: Bulgarian lev

ZAR: South African Rand

EEK: Estonian kroon

Other currencies.

LTL: Lithuanian litas

For emerging market currencies, reporters should provide supplementary information on total turnover for
the following currencies, which also have to be included
in the above columns for “other” currencies in the
breakdown by currency pairs:

LVL: Latvian lats

ARS: Argentine peso
CLP: Chilean peso
CZK: Czech koruna
DKK: Danish krone
HUF: Hungarian forint
IDR: Indonesian rupiah

PEN: Peruvian nuevo sol
RON: Romanian new leu
For turnover of single-currency interest rate contracts,
include:
ARS, AUD, BGN, BHD, BRL, CAD, CHF, CLP,
CNY, COP, CZK, DKK, EUR, GBP, HKD, HUF,
IDR, ILS, INR, JPY, KRW, LTL, LVL, MXN, MYR,
NOK, NZD, PEN, PHP, PLN, RON, RUB, SAR,
SEK, SGD, THB, TRY, TWD, USD, ZAR and Other.

MYR: Malaysian ringgit

7. Maturities
In the turnover part of the survey, transactions in outright forwards and foreign exchange swaps should be
reported according to the following (original) maturity
categories:

NOK: Norwegian krone

• One day

NZD: New Zealand dollar

• Over one day and up to seven days

PHP: Philippine peso

• over seven calendar days and up to one month

PLN: Polish Zloty

• over one month and up to three months

RUB: Russian ruble

• over three months and up to six months

SAR: Saudi riyal

• over six months.

SGD: Singapore dollar

For outright forward contracts, the maturity band for
the transaction is determined by the difference between
the delivery date and the spot date.8

ILS: Israeli new shekel
MXN: Mexican Peso

THB: Thai baht
TRY: Turkish lira
TWD: new Taiwan dollar
Reporters should also report total turnover data in the
additional blank columns provided on Tables A3 and
A6 for other emerging market currencies included in
the above columns for “other” and “residual” currencies but not individually listed on Tables A3 or A6, for
which they have total monthly turnover of at least
$10 million. Respondents should enter the appropriate
3-letter currency code in the space provided at the top
of the column. Currencies to include are:
BHD: Bahraini dinar
FR 3036

For both spot/forward and forward/forward foreign
exchange swaps, the maturity band for the contract is
determined by the difference between the due date of
the long leg of the swap and the due date of the short
leg. A forward/forward swap should only be reported
once as one single deal.9
8. Typically two business days after the date of the initiation of
the contract.
9. If the delivery date falls on a non-business day, these extra days
are not to be counted when allocating the trade to a maturity category.
For example, a one-month contract whose delivery falls on a public
holiday and is thus shifted to the next day (which is a business day) is
not to be counted as one month plus one day, but rather is to be

GEN-9

April 2022

FR 3036

Maturities should be measured in calendar terms, i.e.
seven day maturity means a calendar week and not
seven business days.
The only exception to this is for the maturity category
“one day”, which includes transactions like FX swaps
for which the maturity determined as the difference
between the due date of the short leg and the due date
of the long leg is one business day: overnight (O/N),
tomorrow next (T/N) and spot next (S/N) trades, even
if their maturity measured in calendar days is longer
than one day. All components that fit into this item
should be reported as one aggregate.
The table below shows how transactions with standard
maturities are assigned to their respective categories.
Market convention

Maturity category in the BIS Survey

O/N – overnight
T/N – tomorrow next
S/N – spot next
S/W – spot week
1W – 1 week
2W – 2 weeks
1M – 1 month
3M – 3 months
6M – 6 months
9M – 9 months
1Y – 1 year

One day
One day
One day
Over one day and up to seven days
Over one day and up to seven days
Over seven days and up to one month
Over seven days and up to one month
Over one month and up to three months
Over three months and up to six months
Over six months
Over six months

The following examples illustrate how certain trades
should be classified by maturities:
Example 1: A reporting dealer on 7 April 2022 (Thursday) executes a tomorrow next (T/N) foreign exchange
swap. The due date (settlement) of the short leg is one
business day later, i.e., 8 April 2022 (Friday). The due
date (settlement) of the long leg is on the next business
day, i.e., 11 April 2022 (Monday). The maturity of this
transaction, i.e., the difference between the due date of
the long leg and the due date of the short leg, is one
business day, and it should be reported in the “one
day” category. This example assumes that neither 8 nor
11 April 2022 are holidays in the jurisdiction(s) where
the dealer and counterparty are located.

The due date (settlement) of the long leg is one week
(7 calendar days) later, i.e., 28 April 2022 (Thursday).
The maturity of this transaction, i.e., the difference
between the due date of the long leg and the due date
of the short leg, is 7 calendar days, and it should be
reported in the “over one day and up to seven days”
category. This example assumes that neither 20, 21, nor
28 April 2022 are holidays in the jurisdiction(s) where
the dealer and counterparty are located.
Example 3: A reporting dealer on 1 April 2022 (Friday)
executes a one month (1M) outright forward. The relevant spot date is two business days later, i.e.,
5 April 2022 (Tuesday). The delivery date (settlement)
of the transaction is one month later, i.e., 5 May 2022
(Thursday). The maturity of this transaction, i.e., the
difference between the delivery date and the spot date,
is one month, and it should be reported in the “over
seven days and up to one month” category. This
example assumes that neither 4 April, 5 April, nor
5 May 2022 are holidays in the jurisdiction(s) where the
dealer and counterparty are located.
8. Specific Trading Relationships
8.1 Related Party Trades
Reporting institutions should include “related-party”
trades between desks and offices, and trades with their
own branches and subsidiaries and between affiliated
firms, in their reported aggregates, and identify them as
a separate “of which” memorandum item, under
related party trades. These trades should be included
regardless of whether the counterparty is resident in
the same country as the reporting dealer or in another
country.
The reported trades with own branches and subsidiaries and between affiliated firms should be allocated to
the category of reporting dealers or other financial
institutions depending on whether the counterparty is
a reporting dealer or not, in the following way:

Example 2: A reporting dealer on 19 April 2022 (Tuesday) executes a spot week (S/W) foreign exchange
swap. The due date (settlement) of the short leg is
2 business days later, i.e., 21 April 2022 (Thursday).

• in the event of, for example, an inter-desk deal within
the same reporting entity, that trade should be
recorded twice in the reporting dealer local category
because the reporting dealer category will be automatically adjusted for double-counting by the
BIS; or

reported in the “over seven days and up to one month” maturity
category.

• if, however, the trade was with an affiliate overseas,
which is also a reporting entity in that second coun-

GEN-10
April 2022

FR 3036

FR 3036

try, the two reporting dealers should both record the
transaction once in the reporting dealer cross-border
category.
8.2 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, also
included in related-party trades). Back-to-back trades
that involve other entities outside of the group should
also be reported here, but not in related-party trades.10

The original transaction with the sales desk should
always be reported in the usual way by instrument, currency and counterparty sector. The second transaction
between the sales desk and affiliates that are part of the
same consolidated group should only be reported if
conducted to transfer risk from one affiliate to another
(in the usual way and as a back-to-back trade). The
second transaction should not be reported if there is
no transfer of risk from the reporting dealer: for
example, deals conducted within the reporting dealer
(between desks of the same dealer) or deals conducted
by the sales desk on behalf of another affiliate so that
the risk is never recorded in the books of the reporting
dealer.

10. Note that the original contract that leads to back-to-back trades
should not be included in back-to-back trades.

This is illustrated through the below example of a consolidated group comprising five entities:

Reporting dealer
Bank A in GB
(parent)

Reporting dealer
Bank B in SG
(subsidiary)

Reporting dealer
Securities firm C in GB
(branch)

Non-reporting dealer
Securities firm D in GB
(affiliated firm)

Reporting dealer
Bank E in SG
(subsidiary)

FR 3036

GEN-11
April 2022

FR 3036

In this example, back-to-back deals should be reported in the following way:
Original deal

Back-to-back deal

Transactions to be reported

Bank B sells an option to a customer, where the
sales desk at Bank B is conducting the transaction on behalf of Bank A.

Deal is recorded in the books of Bank A,
e.g., because Bank B does not maintain an
options book.

Bank B sells an option to a customer.

Original deal is recorded in the books of
Bank B. A second deal between Bank A and
Bank B is conducted to transfer the risk
from Bank B to Bank A.
Original deal is recorded in the books of
Bank B. Second deal between the FX trading
desk of Bank B and another trading desk of
Bank B.
Original transaction is recorded in the books
of Bank E. Transaction between Bank E and
Securities Firm D conducted to transfer the
risk from Bank E to Firm D.

Original transaction by Bank B.
Second transaction is not reported because
there is no transfer of risk from one affiliate to
another (no transaction is recorded in the
books of Bank B).
Original transaction by Bank B.
Second deal by both Bank A and Bank B.

Bank B sells an option to a customer.

Bank E sells an option to a customer.

Original transaction by Bank B.
Second transaction is not reported because
there is no transfer of risk from Bank B.
Original transaction by Bank E.
Second transaction by only Bank E. Securities
Firm D is not a reporting dealer.

New items “o/w back-to-back trades” have been added
under the TOTAL for each instrument in reporting
Tables A2, A5, B1 and B2. For each instrument, values
should be reported only in the column Grand Total.
This will show the contribution of back-to-back trades
to turnover in each FX and IRD instrument, but not
for each counterparty sector or currency.

In the Triennial Survey, trades are to be reported on a
pre-novation basis. Compression-related trades (conducted bilaterally or multilaterally) that take place in
April with any counterparty, including with central
counterparties, should be reported in the main part of
the survey in the usual way (e.g., by instrument, counterparty and currency, like any other trade) and additionally in the new item “o/w compression trades”.

8.3 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).11
Trades resulting from this process are called compression trades in the Guidelines.

This is illustrated through the example below. On the
left hand side, the first set of trades (black arrows:
three trades) was conducted before April, and the second set (gray arrows: three trades) at the beginning
of April.

11. These services are provided by eg. TriOptima and LCH
SwapClear services.

Before compression

After compression

$3

A

B

$2
$2

C
GEN-12
April 2022

B

$1

$2

$1

$1

A

$2

C

FR 3036

FR 3036

During April, there were two additional trades arising
from compression of the all outstanding deals (right
hand side: two trades). The total turnover that needs to
be captured in April is ($1+$2+$3)+($1+$1)=$8 million with $2 million also reported in the new item “o/w
compression trades”.
The new item “o/w compression trades” has been
added under the TOTAL for each derivatives instrument in reporting Tables A2, A5, B1 and B2. For each
instrument, values should be reported only in the column Grand Total. This will show the contribution of
compression trades to turnover in each FX and IRD
instrument, but not for each counterparty sector or
currency.
8.4 FX Prime Brokerage
Prime brokers are defined as institutions (usually large
and highly-rated banks) facilitating trades for their
clients (often institutional funds, hedge funds and
other proprietary trading firms). Prime brokers enable
their clients to conduct trades, subject to credit limits,
with a group of predetermined third-party banks in the
prime broker’s name. This may also involve granting
the client access to electronic platforms that are traditionally available only to large dealers.12
In an FX prime brokerage relationship, the client trade
is normally “given up” to the prime broker, which is
interposed between the third-party bank and the client
and therefore becomes the counterparty to both legs of
the trade.
Reporting dealers that have acted as FX prime brokers
are requested to report the transactions that they have
brokered in two ways:

usual manner. This also means that reporting dealers
that have not acted as FX prime brokers only need to
allocate their trades in the usual manner, and never in
the “of which” item.
8.5 Retail-Driven Transactions
Retail-driven transactions are those initiated by retail
investors, where “retail investors” refers to private individuals executing, on their own behalf (i.e., not for any
institution), speculative, leveraged and cash-settled
foreign exchange transactions. Reporting dealers are
requested to provide data on retail-driven transactions,
for each instrument and currency pair.
• From a reporting dealer’s point of view, electronically executed retail-driven transactions can be of
two types: Direct transactions with private individuals (“non-wholesale” investors) executed online or
initiated by other means (e.g., phone or email).13
When private investors trade via electronic margin
brokerage platforms operated by the reporting
dealer, the direct counterparty of the reporting
dealer is a natural person. Trades of this type are to
be categorized as “with non-financial customers”,
and the turnover due to such trades should be
reported in the “of which retail-driven” item.
• Indirect transactions via third-party platforms that
cater to retail investors, such as electronic retail trading platforms and retail margin brokerage firms
(wholesale financial counterparties). When retail
investors trade FX instruments for speculative purposes via electronic platforms (e.g., Oanda, FXCM,
Saxo, Gaitame.com or Gain Capital operating as

• in the usual manner, treating the two legs as two
separate deals, allocating them by instrument, currency pair and counterparty; and
• under “o/w prime brokered for each instrument and
currency pair (both legs should be included here).
Those transactions that are not prime-brokered by
reporting dealers only need to be reported once in the
12. This way the client gains access to the tight bid-ask spreads and
the deep liquidity of electronic trading platforms in the FX inter-dealer
market (eg EBS or Refinitiv). The prime broker earns fees from this service to the client. Moreover, prime brokerage provides customers with
anonymity.

FR 3036

13. The “non-wholesale” transactions exclude branch retail spot
transactions (“today” delivery date), transfers of funds denominated in
different currencies across any two accounts, and electronic transactions
using ATM, credit card, and stored value transactions that are executed
in a foreign currency. They would also exclude transactions conducted
by retail clients as part of a commercial transaction even if denominated in a foreign currency. These transactions are excluded for ease of
reporting and because they are normally not associated with FX trading for investment/speculation purposes.

GEN-13
April 2022

FR 3036

“retail aggregators”14), the direct counterparty for
the reporting dealer would typically be a wholesale
financial institution. Trades of this type are to be
categorized as “with other financial customers /
other”, and the amount should be specified in the
“of which retail-driven” item.

part of a commercial transaction even if denominated
in a foreign currency. These transactions are excluded
for ease of reporting and because they are normally
not associated with FX trading for investment/
speculation purposes.

The “non-wholesale” transactions exclude branch
retail spot transactions (“today” delivery date), transfers of funds denominated in different currencies
across any two accounts, and electronic transactions
using ATM, credit card, and stored value transactions
that are executed in a foreign currency. They would
also exclude transactions conducted by retail clients as
14. Retail aggregators are wholesale financial firms that act as intermediaries, aggregating quotes from dealers and facilitating trades by
retail investors by offering them trading through margin accounts.

Total
with reporting dealers
with other financial institutions
non-reporting banks
institutional investors
hedge funds and proprietary trading firms
official sector financial institutions
others
with non-financial customers

GEN-14
April 2022

Retail aggregators are wholesale financial firms that
act as intermediaries, aggregating quotes from dealers
and facilitating trades by retail investors by offering
them trading through margin accounts.

The table below illustrates how to report direct and
indirect electronically executed retail-driven transactions in the reporting template for the turnover part of
the survey.

Direct transactions

Indirect transactions

X

X
X (if retail broker/aggregator is reporting
dealer)
X
(if retail broker/aggregator is not reporting
dealer)
+
in the relevant subcategory (typically “others”)

X

FR 3036

FR 3036

9. Settlement of Foreign Exchange Transactions
More granularity in the information on FX settlement
is being requested in the 2022 survey (Table A7).
For each category defined in the table below, the following is requested:
• Counterparty sector as defined in the table below
—Reporting dealers.
—Other financial institutions.
—Non-financial customers—all other counterparties
not included in reporting dealers or other financial
institutions.
• Currency.
—Total for all currencies combined—all trades that
involve pairs of two CLS eligible currencies (e.g.,
EUR/USD), one CLS eligible currency and one
CLS non-eligible currency (e.g., EUR/TRY), and
two CLS non-eligible currencies (e.g., TRY/RON),
separately for reporting dealers, other financial
institutions and non-financial customers.

10. Execution Methods
Table C2 collects additional information on the execution method in millions of US dollars (notional
amounts) used to settle foreign exchange turnover
transactions. The execution method has to be separately identified for foreign exchange spot, outright
forwards, FX swaps, currency swaps, and options
reported in Tables A1-A6. There are four basic categories: Voice-Direct, Voice-Indirect, Electronic-Direct,
and Electronic-Indirect. The two “Electronic” categories are further broken down into specific types of electronic trading platforms: single-bank proprietary trading systems, other direct electronic means, anonymous
venues, and disclosed venues.
Quality control. To prepare for the possibility that
some reporting dealers may be technically incapable of
properly allocating all their transactions to the new
execution methods, an entry called “unallocated” is
available in the survey. This entry captures the amount
of turnover for each instrument and counterparty that
fails to be allocated into one of the execution method
categories above.

—Of which CLS currency pairs—all trades that
involve pairs of two CLS eligible currencies (e.g.,
/EUR/USD).15
Annex 2 provides simple examples of transactions that
should be reported in Table A7.

15. CLS provides a list of the central banks that have currencies eligible for CLS Settlement.

FR 3036

GEN-15
April 2022

FR 3036

Settlement of FX transactions, definitions
Category

Definition

a) Total turnover

Gross turnover, as defined in the main survey, i.e., the gross value of all new
deals entered into during April 2022, in terms of the nominal or notional
amount of the contracts. This amount corresponds to the grand total for FX
contracts reported in Table A3, and excludes in/out swaps between CLS
members.

a1) Turnover to be settled with a single payment (i.e., nondeliverable)

The gross turnover of new deals reported under (a) that will be settled with a
single payment from one counterparty to another (e.g., non-deliverable forwards).

a2) Turnover to be settled with two payments (i.e., spot and forwards)

The gross turnover of new deals reported under (a) that will be settled with
two payments exchanged between counterparties (e.g., spot and forwards).

a3) Turnover to be settled with four payments (i.e., swaps)

The gross turnover of new deals reported under (a) that will be settled with
four payments exchanged between counterparties (e.g., swaps).

b) Two sided turnover subject to netting (before netting)

b1) Net payable amount of two sided turnover subject to netting
(after netting)

c) Payment versus payment (PvP = c1 + c2 + c3)

The gross value of the turnover to be settled with at least two payments (total
(a2) and (a3)) that is subject to bilateral or multilateral netting (including
compression and through central clearing), before any netting takes place.
The settlement value of bilaterally netted contracts reported under (b) after
netting has taken place. Transactions booked before April (e.g., in March)
should be included when calculating the net payable amount if they have the
same settlement date and payable currency.
The gross value of contracts settled without settlement risk. This can be
achieved through having delivery and receipt of currencies across reporters’
own accounts or through a system offering PvP risk management.

c1) Via CLS

The gross value of contracts settled in CLS (https://www.cls-group.com/).
Note that this is not the net values, nor pay-in, pay-out values.

c2) Via other PvP or equivalent settlement methods

The gross value of contracts settled in PvP systems other than CLS (e.g.,
Hong Kong cross-currency RTGS systems, CCIL in India and others), or via
another method with equivalent PvP protection (e.g., using the same thirdparty clearing bank as the reporting institution’s counterparty where that
clearing bank only transfers funds simultaneously).

c3) Via “same clearer” or “on-us” accounts without exposure to
settlement risk

The gross value of contracts where delivery and receipt take place on
accounts at the reporting institution using a settlement mechanism that eliminates settlement risk – these can be considered “on-us” transactions without
exposure to settlement risk. “On-us” accounts without exposure to settlement
risk include cases where the execution or authorisation of the relevant entry
in the “on-us” account denominated in the currency being sold is conditional
upon the execution or authorisation of the corresponding entry in the “onus” account denominated in the currency being bought. For example, where
the accounting entries for settling obligations in both currencies are either
made simultaneously or there is certainty that they will be made within preauthorized credit lines.1

d) Non-PvP
d1) Via “same clearer” or “on-us” accounts with exposure to settlement risk

The gross value of transactions settled through a system not offering PvP,
either directly or via a correspondent.
The gross value of contracts where execution or authorisation of the relevant
entry in the “on-us” account denominated in the currency being sold is NOT
conditional upon the execution or authorisation of the corresponding entry
in the “on-us” account denominated in the currency being bought. For
example, when final credit for the currency being sold is given without assurance that there will be covering balances or preauthorized credit lines that will
cover the corresponding debit for the currency being bought.2

1

See CPMI Progress Report in reducing foreign exchange settlement risk, 2008.

2

Ibid.

GEN-16
April 2022

FR 3036

FR 3036

Voice-Direct

Trades originated in person, by phone, by telefax, or through general messaging systems (e.g., Outlook,
Hotmail, Gmail, or Yahoo mail) regardless of how they are subsequently matched, not intermediated by a
third party.

Voice–Indirect

Executed over the phone, intermediated by a third party (e.g., via a voice broker).

Electronic–Direct

Trades executed over an electronic trading system, not intermediated by a third party. These include transactions originated through specific messaging systems that are part of trading platforms.

of which:
Single-bank proprietary trading system

Electronic trading systems owned and operated by a bank for both in-house use and other banks and nonbank clients on a “white label”/prime brokerage basis (e.g., Autobahn, BARX, Velocity, FX Trader Plus,
UBS Neo etc).

Other

Other direct electronic systems For example, the client receives a dedicated price stream directly from the
reporting dealer (direct API stream). (e.g., Bloomberg FXGO, Refinitiv Conversational Dealing Conversational Dealing, direct API price streams, etc).

Electronic–Indirect

Trades executed over an electronic medium, intermediated by a third party electronic platform (e.g., via a
matching system).

of which:
Anonymous Venues

Electronic trading platforms that have historically been geared towards the non-disclosed inter-dealer market; plus any other central limit order book (CLOB) venues that do not allow partitioning of liquidity via
the use of customised tags (e.g., Refinitiv Matching, EBS Market, EBS Hedge Ai, HotspotFX ECN,BGC
mid, FXall MidBook).

Disclosed Venues

Multi-bank dealing systems that facilitate trading on a disclosed basis or that allow for price discrimination, in the form of liquidity partitioning via the use of customised tags. This includes price streaming
onto third-party aggregation technology providers that charge pre-trade brokerage fee to the liquidity provider (e.g., FXall OrderBook, EBS Direct, Currenex FXTrades, Hotspot Link, CBOE FX ECN, CBOE FX
Point, Bloomberg FXGO, Tradebook, 360T; and aggregators such as Flextrade and Portware).

B. Reporting Conventions
1. Report Form
The report form has ten tables that are organized by
the type of information collected.
Individual currencies (or currency pairs) are requested
in the foreign exchange contracts and interest rate
derivatives parts of the Survey, respectively. Here,
reporting dealers are requested to organise turnover
data by instrument, currency (or currency pair), sector
and location of the counterparty in the following way:
• Table A—foreign exchange contracts. Data are provided for:
—Table A1—currency pairs involving US dollar and
a selection of currencies (AUD, BRL, CAD, CHF,
CNY, EUR, GBP, HKD, INR, JPY, KRW, MXN,
NOK, NZD, PLN, RUB, SEK, SGD, TRY, TWD,
ZAR). All other currencies are reported in one
aggregate. Turnover to be reported for spot, outright forwards and foreign exchange swaps. Trades
in outright forwards and foreign exchange swaps
FR 3036

are additionally reported on an original maturity basis.
—Table A2—currency pairs involving euro and a
selection of currencies (AUD, CAD, CHF, CNY,
DKK, GBP, HUF, JPY, NOK, PLN, SEK, TRY)
and Japanese yen and a selection of currencies
(AUD, BRL, CAD, NZD, TRY, ZAR); all other
currencies are reported as aggregates, separately
for euro and Japanese yen. Turnover to be reported
for spot, outright forwards and foreign exchange
swaps. Trades in outright forwards and foreign
exchange swaps are additionally reported on an
original maturity basis. This table also provides
grand total for all foreign exchange contracts. Column Residual covers all currency pairs excluding
those involving USD, EUR, and JPY.
—Table A3—data are provided for transactions
involving, ARS, AUD, BGN, BHD, BRL, CAD,
CHF, CLP, CNY, COP, CZK, DKK, GBP, HKD,
HUF, IDR, ILS, INR, KRW, LTL, LVL, MXN,
MYR, NOK, NZD, PEN, PHP, PLN, RON, RUB,
GEN-17
April 2022

FR 3036

SAR, SEK, SGD, THB, TRY, TWD, ZAR; all
other currencies are reported in one aggregate
(excluding USD, EUR, JPY and those listed in this
paragraph). Turnover to be reported for spot, outright forwards and foreign exchange swaps. Trades
in outright forwards and foreign exchange swaps
are additionally reported on an original maturity
basis. Trades between any two currencies listed in
this table should be reported in both relevant currency columns, thus summing to 200% of the deal.
Footnotes to the table in the reporting template
provide additional clarifications.
—Table A4—Same to table A1 in terms of currency
pairs, but report turnover in currency swaps, OTC
options, and total FX contracts
—Table A5—Same to table A2 in terms of currency
pairs, but report turnover in currency swaps, OTC
options, and total FX contracts
—Table A6—Same to table A3 in terms of currency
pairs, but report turnover in currency swaps, OTC
options, and total FX contracts
Also, the following separate aggregates are requested
as “of which” items here:
• Prime-brokered turnover—by instrument, counterparty and currency pairs in tables A1-A6.
• Retail-driven turnover—by instrument, counterparty and currency pairs in tables A1-A6.
• Non-market facing trades (back-to-back trades and
compression trades)—by instrument, but not by
counterparty and currency pairs in Tables A2
and A5.
• Related-party trades—no breakdowns, only total
foreign exchange contracts in Table A5.
• Table A7—settlement of foreign exchange transactions. Turnover data should be grouped by counterparty sector, instrument and settlement type, with
additional reporting of CLS currency pairs aggregate as an “of which” item.
• Tables B1 and B2—single currency interest rate
derivatives.
—Data are provided for ARS, AUD, BGN, BHD,
BRL, CAD, CHF, CLP, CNY, COP, CZK, DKK,
EUR, GBP, HKD, HUF, IDR, ILS, INR, JPY,
GEN-18
April 2022

KRW, LTL, LVL, MXN, MYR, NOK, NZD,
PEN, PHP, PLN, RON, RUB, SAR, SEK, SGD,
THB, TRY, TWD, USD, ZAR; all other currencies
are reported in one aggregate.
Also, the following separate aggregates are requested
as “of which” items here:
• Related-party trades—no breakdowns, only total
interest rates derivatives.
• Non-market facing trades (back-to-back trades and
compression trades) – by instrument.
• Table C2—Additional table where other breakdowns
are requested for foreign exchange contracts. Here,
reporting dealers are requested to organise turnover
data in the following way:
—Table C2—execution method for foreign exchange
contracts. Turnover data should be grouped by
instrument, counterparty sector and execution
methods, where electronic trading provides additional breakdowns for direct (single bank proprietary trading system and other) and indirect
(anonymous and disclosed venues) methods.
2. Currency of reporting and currency conversion
Transactions are to be reported in US dollar equivalents. Non-dollar amounts should be converted into
US dollars using the exchange rates prevailing on the
transaction date. However, if this is impractical, turnover data may be reported using average or end-ofperiod exchange rates.
When exchange rates other than those of the day of the
transaction are used, the order of precedence of currencies' dollar exchange rates for purposes of conversion in deals which involve currencies other than the
US dollar should be the same as listed in the foreign
exchange turnover section of the survey forms (e.g.,
EUR, JPY, and GBP).
Transactions which involve the direct exchange of two
currencies other than the US dollar should be measured by totalling the US dollar equivalent of only one
side (preferably the purchase side) of the transaction.
3. Rounding
All data entered on the report form should be rounded
to the nearest million US dollars (do not use decimals).
FR 3036

FR 3036

Rounding should occur only when reporting the
monthly totals for each category.

sales desk of any trade. Where no sales desk is involved
in a deal, the trading desk should be used to determine
the location of deals.

Annex 1: Illustrative Examples of How
To Report Trades By Location of Deals
In The Context of The Next
Triennial Survey
The basic principle for determining the location of
trades is as follows: For turnover data, the basis for
reporting should be, if possible, the location of the

Originator and function
1. Sales desk 1
2. Sales desk 1
3. Sales desk 2
4. Sales desk 2
5. Trading desk
6. Trading desk
7. Trading desk

Consider the transactions carried out in three countries C, X and M by a banking group with its Head
Office and trading desk located in country C. It has a
sales team in its Head Office (sales desk 1) in country
C, as well as a sales desk 2 in country X. Both the
offices in countries C & X are recognised as reporting
dealers by the relevant central bank. The group has no
representation in country M. Then the table below
illustrates how trades should be reported:

Originator location

Counterparty location

Reported as

To Central Bank in

C
C
X
X
C
C
C

C
M
X
M
X
C
M

Local
Cross border
Local
Cross border
Cross border
Local
Cross border

C
C
X
X
C
C
C

Note: Examples 5–7 do not involve a sales desk in the transaction.
It is assumed that sales desk 1 in country C will not deal with clients in country X (sales desk 2 would transact such business). Equally, it is
assumed that sales desk 2 in country X will not deal with customers in country C (the Head Office—sales desk 1—would be expected to transact such business). If such trades did occur, they would be reported as in Examples 2 & 4, respectively. But, it is possible that the trading desk in
country C could deal directly with another trading desk located in country X, even though there is a sales desk located there (Example 5).

Take the above example, but assume under this scenario that the institution also has a third sales desk in
country Y, but is not recognized in that country as a
reporting dealer. It is assumed that if the sales desk is
not recognized as a reporting dealer, its levels of busi-

Originator and function
8. Sales desk 3
9. Sales desk 3

FR 3036

ness will be relatively low and will not be material in
terms of the global results. Hence, trades through that
sales desk should not be reported, and for completeness
the matrix can be extended as shown below:

Originator location

Counterparty location

Reported as

Y
Y

Y
M

Not reported
Not reported

To Central Bank in

GEN-19
April 2022

FR 3036

(1) Other Points of clarification: Trades conducted
by sales offices in countries that do not participate in the survey, or by offices that are not recognized as reporting dealers by their host central
bank, should not be reported. (Examples 8 & 9)

trade, assuming that it is recognized by its host
central bank as a reporting dealer (any of
Examples 1–7).

(4) Both parties should report trades between two
reporting dealers, as trades with other reporting
dealers, regardless of whether they are considered as sales or trading desks (any of Examples
1–7). This is essential to permit accurate elimination of double counting during the production of the final data. The only exception to this
rule is internal trades between desks where, as
noted in Section B.4 of the Guidelines, neither
party should report the trade.

(2) Any trades by trading desk C with third parties,
to cover or offset positions arising from the
activities of its sales desks, should be reported in
the normal manner (Examples 5–7 above).
(3) A “leave” order is considered as a trade, regardless of location or timing of ultimate execution.
The office accepting the order should report the

Annex 2: Settlement of FX transaction, examples
This annex illustrates how reporting dealers should report certain FX transactions in the new Table A7, as described
in Section 9.

Reporting example 1
Settlement of FX transactions
Across all currency pairs and all FX products, in millions of US dollars
Reporting dealers
Total
a) Total turnover
a1) Turnover to be settled with a single payment (ie non-deliverable)
a2) Turnover to be settled with two payments
(ie spot and forwards)
a3) Turnover to be settled with four payments
(ie swaps)
b)Two sided turnover subject to bilateral netting
(before netting)
b1) Net payable amount of two sided turnover subject to bilateral netting
(after netting)
c) Payment versus payment (PvP = c1 + c2
+ c3)
c1) Via CLS
c2) Via other PvP or equivalent settlement
methods
c3) Via “same clearer” or “on-us” accounts
without exposure to settlement risk
d) Non-PvP
d1) Via “same clearer” or “on-us” accounts
with exposure to settlement risk

11
1

o/w CLS
eligible pairs
0
—

Other financial institutions
Total
5

o/w CLS
eligible pairs
5
—

Non-financial customers
Total
0

o/w CLS
eligible pairs
0
—

10

10

0

5

5

5

5

5

5

0

0

10

Note: Reporting dealer had the following trades in April 2022:
(1) Spot EUR/TRY trade with other reporting dealer, other PVP, $10 million;
(2) Swap USD/EUR with unrelated other financial, CLS PVP, $5 million;
(3) NDF with other reporting dealer, $1 million
Total turnover in Table A5 for all instruments and currency pairs is $16 million.
The table should show distribution of this aggregate by settlement risk.

GEN-20
April 2022

FR 3036

FR 3036

Reporting example 2
Settlement of FX transactions
Across all currency pairs and all FX products, in millions of US dollars
Reporting dealers
Total
a) Total turnover
a1) Turnover to be settled with a single payment (ie non-deliverable)
a2) Turnover to be settled with two payments
(ie spot and forwards)
a3) Turnover to be settled with four payments
(ie swaps)
b) Two sided turnover subject to bilateral netting
(before netting)
b1) Net payable amount of two sided turnover subject to bilateral netting
(after netting)
c) Payment versus payment
(PvP = c1 + c2 + c3)
c1) Via CLS
c2) Via other PvP or equivalent settlement
methods
c3) Via “same clearer” or “on-us” accounts
without exposure to settlement risk
d) Non-PvP
d1) Via “same clearer” or “on-us” accounts
with exposure to settlement risk

6
1

o/w CLS
eligible pairs
5
—

Other financial institutions
Total
0

o/w CLS
eligible pairs
0
—

Non-financial customers
Total
10

o/w CLS
eligible pairs
0
—

10
5

5

5

5

5

5

0

0

0

0

10

Note: Reporting dealer had the following trades in April 2022:
(1) Spot EUR/TRY trade with non-financial, non-PVP, $10 million;
(2) Swap USD/EUR with reporting dealer, CLS PVP, $5 million;
(3) NDF with other reporting dealer, $1 million
Total turnover in Table A5 for all instruments and currency pairs is $16 million.
The table should show distribution of this aggregate by settlement risk.

FR 3036

GEN-21
April 2022