Israel's foreign currency market in June 2010

07.07.2010
 
Israel’s foreign currency market in June 2010
 
Developments in the exchange rate––the shekel weakened against the dollar while the dollar showed a mixed
trend vis-?-vis the major currencies.
The shekel weakened against the dollar by 1.2 percent in June, while the shekel rate against the euro was at the same level as at the end of May. The dollar showed no uniform trend against the other currencies: in June it appreciated by 1.2 percent against the euro, depreciated by 2.7 percent against the yen, and depreciated by 3.1 percent against the pound sterling and by 6.1 percent against the Swiss franc.
In terms of the nominal effective exchange rate, calculated as the trade-weighted average shekel exchange rate against the currencies of Israel's main trading partners, the shekel depreciated in June by 1.1 percent.
In the first half of 2010 the shekel depreciated by 2.6 percent against the dollar, and appreciated by 12.6 percent against the euro, and in terms of the nominal effective exchange rate it appreciated by 3.7 percent.
The volatility of the exchange rate––actual volatility decreased, with no change in the implied volatility derived from foreign exchange options.
The standard deviation of changes in the exchange rate, which represents its actual volatility, was about 7.8 percent in June, 3.5 percentage points lower than its level of 11.3 percent in May.
The average level of the implied volatility in OTC forex options––an indication of expected exchange rate volatility—was
about 8.4 percent in June, the same as its level in May, and compared with an average of 6.9 percent in April and 7.3
percent in March. The implied volatility of the foreign exchange options of emerging markets was 14.8 percent in June, and of advanced economies, about 13.6 percent.
The volume of trade in Israel’s forex market in June: the volume of spots and forward transactions, $33 billion, was similar to the average monthly volume since the beginning of 2010.
The total volume of trade in foreign currency in June was about $99 billion, compared with $109 billion in May and an
average monthly level of $101 billion in the first five months of 2010. The volume of trade in spots and forward transactions totaled about $33 billion, significantly lower than the level in May of $40 billion, but similar to the average monthly level of $34 billion in the first five months of 2010. The Bank of Israel did not purchase foreign currency in June.
The volume of trade in OTC foreign currency options (which are not traded on the stock exchange) totaled about $9 billion in June, with foreign financial institutions accounting for about $4 billion of this trade. The volume of trade in swap transactions in June was about $57 billion, similar to the level in May.
The share of foreign residents in the total volume of trade (spots and forward transactions, options transactions and swap transactions) in June was 62 percent, compared with 57 percent in May and 58 percent in April.
 




 
Forex transactions with domestic banks, by instruments and derivatives ($ million)
    Conversions (1) Swapsa (2) Optionsb (3) Total volume of trade (1)+(2)+(3)
June-10 (Not final) Total 32,868 56,664 9,327 98,859
Daily average (22-days) 1,494 2,576 424 4,494
Nonresidents 11,873 45,026 4,197 61,096
of which Foreign financial institutions 11,591 44,841 4,103 60,535
Residents 20,995 11,638 5,130 37,763
of which Real sector 9,395 1,551 2,531 13,477
Financial sector 4,623 5,119 773 10,515
Institutions (incl. insurance companies) 1,211 1,444 87 ​2,742
Individuals and provident funds 708 242 346 1,296
The Bank of Israel 0     0
Otherc 611 90 284 985
Domestic banksd 4,447 3,192 1,109 8,748
           
May-10 Total 39,947 56,580 12,648 109,175
Daily average (19-days) 2,102 2,978 666 5,746
Nonresidents 14,722 42,851 5,023 62,596
of which Foreign financial institutions 14,552 42,346 4,865 61,763
Residents 25,225 13,729 7,625 46,579
of which Real sector 9,705 1,299 3,631 14,635
Financial sector 5,398 4,919 1,295 11,612
Institutions (incl. insurance companies) 1,867 1,874 38 3,779
Individuals and provident funds 728 35 471 1,234
The Bank of Israel 600     600
Otherc 543 85 632 1,260
Domestic banksd 6,384 5,517 1,558 40,299
 
a Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition).
b The notional value, that includes purchases and sales of put and call options.
c Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not included elsewhere.
d Total interbank trade, divided by 22
 
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