| 10.06.2012 |
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| Israel’s foreign currency market in May 2012 |
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| To view this press release as a WORD file - Click here |
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| 1. The Exchange Rate |
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| The shekel weakened against the dollar, while the dollar strengthened notably against global currencies |
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| The shekel depreciated by about 3.5 percent against the dollar during May, and strengthened by about 2.9 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 weakened by about 0.4 percent. |
| In May, the dollar strengthened markedly against most major currencies in the world, strengthening 6.6 percent against the euro and by 6.5 percent against the Swiss franc, and about 4.9 percent against the pound sterling, while it weakened by 1.7 percent against the Japanese yen. |
| 2. Exchange Rate Volatility |
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| Actual volatility of the exchange rate increased |
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| The standard deviation of changes in the shekel-dollar exchange rate, which represents its actual volatility, increased in May to 5.4 percent, compared with 3.7 percent in April. |
| The average level of the implied volatility in over the counter shekel-dollar options––an indication of expected exchange rate volatility––declined in May to 8.3 percent, compared with 8.7 percent in April. |
| For comparison, the implied volatility of foreign exchange options in emerging markets in May was 11.9 percent, up from 11.2 percent in April, and that in advanced economies was 10.2 percent, up from 9.7 percent in April. |
| 3. The Volume of Trade in the Foreign Currency Market |
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| There was a decline in average daily volume, along with a decline in nonresidents' share of trading volume |
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| The total volume of trade in foreign currency in May was about $130 billion, compared with $99 billion in April. Average daily trading volume declined by about 2.7 percent in May, and reached about $5.7 billion. |
| The volume of trade in spot and forward transactions (conversions) was about $36.3 billion in May, compared with $28.3 billion in April. The average daily trading volume in those transactions declined in May by about 5 percent, compared with April, to $1.58 billion. |
| The volume of trade in over the counter foreign currency options (which are not traded on the stock exchange) totaled about $13 billion in May, compared with $6 billion in April. The average daily trading volume in those options in May was $570 million, an increase of 68 percent from April. |
| The trading volume of swap transactions was about $81 billion in May, compared with $65.5 billion in April. Average daily turnover declined by about 8 percent to about $3.5 billion. |
| Nonresidents' share of total trade (spot and forward transactions, options and swaps) declined in May to 39 percent, compared with 46 percent in April and 42 percent in March. The decrease was primarily in the nonresidents' share of swap transactions, with a decrease in May of 29 percent in the average daily turnover by nonresidents in such transactions. |
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| Forex transactions with domestic banks, by instruments and derivatives ($ million) |
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Conversions (1) |
Swapsa (2) |
Optionsb (3) |
Total volume of trade (1)+(2)+(3) |
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| May -12 (Not final) |
Total |
36,347 |
81,494 |
13,107 |
130,948 |
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| Daily average (23 days) |
1,580 |
3,543 |
570 |
5,693 |
| Nonresidents |
13,338 |
32,881 |
5,056 |
51,275 |
| of which Foreign financial institutions |
12,477 |
31,881 |
4,880 |
49,238 |
| Residents |
23,009 |
48,613 |
8,051 |
79,673 |
| of which Real sector |
6,885 |
2,158 |
3,073 |
12,116 |
| Financial sector |
4,927 |
28,977 |
1,848 |
35,752 |
| Institutions (incl. insurance companies) |
2,181 |
5,158 |
590 |
7,959 |
| Individuals and provident funds |
591 |
130 |
407 |
1,128 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
3,284 |
19 |
94 |
3,397 |
| Domestic banksd |
5,141 |
12,141 |
2,039 |
19,321 |
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| April - 12 |
Total |
28,272 |
65,433 |
5,771 |
99,476 |
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| Daily average (17-days) |
1,663 |
3,849 |
339 |
5,852 |
| Nonresidents |
9,583 |
33,983 |
2,763 |
46,329 |
| of which Foreign financial institutions |
8,891 |
33,503 |
2,669 |
45,063 |
| Residents |
18,689 |
31,450 |
3,008 |
53,147 |
| of which Real sector |
5,841 |
2,608 |
1,068 |
9,517 |
| Financial sector |
3,543 |
18,756 |
585 |
22,884 |
| Institutions (incl. insurance companies) |
2,317 |
2,886 |
1 |
5,204 |
| Individuals and provident funds |
515 |
314 |
282 |
1,111 |
| The Bank of Israel |
0 |
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0 |
| Otherc |
2,609 |
15 |
34 |
2,658 |
| Domestic banksd |
3,864 |
6,871 |
1,038 |
11,773 |
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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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