| Israel’s foreign currency market in March 2012 |
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| To view this press release as a WORD file – Click here |
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| 1. The Exchange Rate |
| The shekel strengthened against the dollar, while the dollar strengthened around the world |
| The shekel appreciated by about 1.35 percent against the dollar during March, and appreciated by about 2.16 percent against the euro. Against the currencies of Israel’s main trading partners, in terms of the nominal effective exchange rate of the shekel (i.e., the trade-weighted average shekel exchange rate against those currencies), the shekel strengthened by about 2.16 percent. |
| In March, the dollar strengthened against most major currencies in the world, strengthening 0.8 percent against the euro and by 2.2 percent against the Japanese yen, while weakening 0.3 percent against the pound sterling. |
| 2. Exchange Rate Volatility |
| Actual volatility and implied volatility of the exchange rate decreased |
| The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, decreased in March to 5.5 percent, compared with 8.4 percent in February. |
| The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined in March, to 9.6 percent, compared with 10.3 percent in February. |
| For comparison, the implied volatility of foreign exchange options in emerging markets in March was 11.9 percent, down from 12.7 percent in February, and that in advanced economies was 10 percent, down from 10.4 percent in February. |
| 3. The Volume of Trade in the Foreign Currency Market |
| There was a decline in overall volume, along with a decline in nonresidents’ share of trading volume |
| The total volume of trade in foreign currency in March was about $104.7 billion, compared with $113.4 billion in February. Average daily turnover declined about 3 percent in March, and reached about $5.2 billion. |
| The volume of trade in spot and forward transactions (conversions) was about $34.8 billion in March, compared with $35.6 billion in February. The average daily trading volume in those transactions increased in March by about 2 percent, to $1.75 billion. |
| The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $10.2 billion in March, compared with $12.4 billion in February. The average daily trading volume in those options in March was $511 million, a decline of 13 percent from February. |
| The trading volume of swap transactions was about $59.7 billion in March, compared with $65.4 billion in February. Average daily turnover declined about 4 percent to about $2.9 billion. |
| Nonresidents’ share of total trade (spot and forward transactions, options and swaps) declined in March to 42 percent, compared with 44.1 percent in February and 37.5 percent in January. The decline was primarily in nonresidents’ share of swap transactions, mainly as a result of a decline in the volume of average daily activity by nonresidents and a moderate increase in the average daily activity by Israelis in those transactions. |
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| Forex transactions with domestic banks, by instruments and derivatives ($ million) |
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Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
| April-11 (Not final) |
Total |
34,809 |
59,662 |
10,211 |
104,682 |
| Daily average (20 days) |
1,658 |
2,841 |
486 |
4,985 |
| Nonresidents |
13,628 |
24,675 |
5,605 |
43,908 |
| of which Foreign financial institutions |
12,965 |
24,456 |
5,575 |
42,996 |
| Residents |
21,181 |
34,987 |
4,606 |
60,774 |
| of which Real sector |
5,898 |
1,887 |
1,234 |
9,019 |
| Financial sector |
4,304 |
21,372 |
1,067 |
26,743 |
| Institutions (incl. insurance companies) |
2,148 |
2,944 |
0 |
5,092 |
| Individuals and provident funds |
492 |
429 |
203 |
1,124 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
3,041 |
1 |
40 |
3,082 |
| Domestic banksd |
5,298 |
8,354 |
2,062 |
15,714 |
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| B1מרץ-11 |
Total |
35,609 |
65,440 |
12,357 |
113,406 |
| Daily average (21-days) |
1,696 |
3,116 |
588 |
5,400 |
| Nonresidents |
13,679 |
30,009 |
6,359 |
50,047 |
| of which Foreign financial institutions |
12,819 |
27,408 |
6,239 |
46,466 |
| Residents |
21,930 |
35,431 |
5,998 |
63,359 |
| of which Real sector |
5,517 |
2,063 |
2,712 |
10,292 |
| Financial sector |
4,087 |
19,601 |
1,369 |
25,057 |
| Institutions (incl. insurance companies) |
3,334 |
3,748 |
0 |
7,082 |
| Individuals and provident funds |
524 |
196 |
262 |
982 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
2,890 |
24 |
71 |
2,985 |
| Domestic banksd |
5,578 |
9,799 |
1,584 |
16,961 |
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a Only one leg of the swap, i.e., the nominal value of the transaction (in accordance with the BIS definition). |
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b The notional value, that includes purchases and sales of put and call options. |
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c Including other entities such as portfolio managers, nonprofit organizations, national institutions, and those not included elsewhere. |
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d Total interbank trade, divided by 22 |
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