Circular Letter BCL No. 1 of March 9, 2007 — Survey of the Global Foreign Exchange and Derivatives Market - Spring 2007

2, boulevard Royal L-2983 Luxembourg Telephone (+352) 4774-1 Fax (+352) 4774-4901 E-mail: info@bcl.lu ./.
Ref.: Dep IV.07/0377-RN/SK Luxembourg, March 9, 2007

To all credit institutions

Subject: Survey of the Global Foreign Exchange and Derivatives Market - Spring 2007

Ladies and Gentlemen,

In April 2004, the seventh coordinated international survey of the global foreign exchange and derivatives market took place. An eighth survey is scheduled for spring 2007. Following the last survey, Luxembourg is once again participating in this international survey. Consequently, we request that you communicate the activity of your institution on the foreign exchange and derivatives market during April 2007, respecting the methodological framework defined by the Bank for International Settlements (BIS). In the spirit of consistency of the data collected, the methodology is largely identical to that applied during the previous survey.

The main objective of the survey is to assess the size, structure, and evolution of the global foreign exchange and derivatives market. The data collected will allow conclusions to be drawn regarding the overall volume of activity on these markets, the relative importance of different financial centers, the currencies traded, as well as the instruments, maturities, and counterparties used. These same data will serve for the analysis of the role played by derivatives markets in price risk transfer. A credit risk analysis is not covered by the survey.

2, boulevard Royal L-2983 Luxembourg Telephone (+352) 4774-1 Fax (+352) 4774-4901 E-mail: info@bcl.lu ./.

The data collected by the BCL will be transmitted in aggregated form to the BIS, which will ensure the secretariat for the establishment of data at the international level as well as their analysis. It is expected that the results of this statistical compilation and analysis work will be the subject of a publication that the BIS and the BCL will make available to the public on their respective websites.

In order to aggregate the various national data and to conduct an analysis on comparable figures, it was necessary to agree beforehand on a common methodology. The latter is explained in detail on the BIS website at the following address:
www.bis.org/statistics/triennialrep/guidelines_rd.htm

In this context, it is important to mention that the BCL participates only in the survey of foreign exchange and derivatives operations carried out during April 2007, i.e., the "Turnover part". The documentation referring to the "Amounts outstanding part" is therefore not to be considered, since the BCL does not participate in this aspect of the BIS survey.

The documentation available for the "Turnover" component includes the following elements:

• the instructions necessary for the establishment of data, "Reporting guidelines";
• a series of general questions that could prove useful for the establishment of data, "Frequently asked questions";
• EXCEL files for data entry; in this context, the BCL recommends the use of files containing macros that allow for the verification of the consistency of the information entered;
• a list of institutions participating in the survey.

Thus, credit institutions must download the instructions necessary for the establishment of data as well as the tables to be filled in at the aforementioned address on the BIS website.

2, boulevard Royal L-2983 Luxembourg Telephone (+352) 4774-1 Fax (+352) 4774-4901 E-mail: info@bcl.lu ./.

In this context, we wish to draw your attention to the major points of the instructions.

1 The survey aims to collect data on foreign exchange and derivatives operations according to the following market classification:
1.1 operations related to exchange rates "foreign exchange contracts"
1.2 derivatives related to interest rates "single-currency interest rate derivatives".

2 Data "turnover".
The survey aims to assess the total value of all operations related to exchange rates as well as all operations on derivatives related to interest rates carried out during April 2007. Each transaction is to be reported only once, taking into account only one element of each transaction. For example, a transaction involving USD and YEN is to be indicated only once by the USD-YEN pair, for example, and not a second time by the YEN-USD pair.

Data are to be reported on a gross basis covering all foreign exchange purchase and sale operations without offsetting purchases against sales. For example, a purchase of USD against YEN, followed by a sale of USD against YEN, are not to be offset, but the total of the purchase and the sale is to be indicated. "Netting" arrangements and "offsets" are not taken into consideration.

The operations to be taken into account are those concluded during April 2007, regardless of whether these operations are settled during this period or during another period.

3 The institutional base of the survey is limited to Luxembourg territory. It is therefore necessary not to take into account operations concluded by branches or subsidiaries abroad of Luxembourg banks. On the other hand, branches and subsidiaries of foreign credit institutions established in Luxembourg are required to provide the required responses.

4 The survey aims not only to know the total value of all operations in the foreign exchange and derivatives market, but also to know

2, boulevard Royal L-2983 Luxembourg Telephone (+352) 4774-1 Fax (+352) 4774-4901 E-mail: info@bcl.lu ./.

the structure of these markets. This structure will be established from two axes of analysis. The first brings together the different currencies, while the second allocates operations according to their nature, maturity, and counterparty.

5 To the extent that a significant part of foreign exchange operations and derivatives operations is concluded with other market professionals who also report these operations, a phenomenon of double counting appears. This double counting unduly inflates the overall size of the market and distorts the image that can be formed of the market structure; it is therefore necessary to eliminate it. To this end, it is important to identify at the outset the counterparty with which an operation is concluded. Foreign exchange operations and derivatives operations are therefore to be grouped according to whether they are concluded, either with professionals who are also required to report these operations, or with other financial institutions or non-financial clients. To make this distinction, it must be known that all credit institutions in Luxembourg are required to report their foreign exchange operations and their derivatives operations. Regarding institutions in other financial centers, the BIS has prepared a typology of institutions that will report their foreign exchange operations and derivatives operations to their respective central bank; this typology is reproduced on the aforementioned website.

6 We therefore request that you download the EXCEL files from the indicated site in order to enter the data; the data thus entered are to be saved and sent back to the BCL either on floppy disk or on CD-ROM.

The unit of account for the provision of the requested information is USD.
Transactions are to be reported in millions of USD without comma or decimal. The figures, which are to be entered in the various cells, even if they exceed three digits, must not be separated either by a numeric delimiter (period, comma, etc.) or by a space. For an amount of 1 billion and 289 million USD, for example, it is therefore necessary to write 1289.

In this context, we request that you mention the name of the reporting institution as well as that of the responsible person with their phone number when sending the data.

2, boulevard Royal L-2983 Luxembourg Telephone (+352) 4774-1 Fax (+352) 4774-4901 E-mail: info@bcl.lu ./.

Finally, we request that you return the completed files to us by the end of May 2007 and/or, if applicable, inform us by letter if your institution has no operations to report.

In case you have technical problems with the processing of the data, we invite you to contact the BCL by sending an electronic message to romain.perrard@bcl.lu for further details.

Please accept, Ladies and Gentlemen, the assurance of our very distinguished sentiments.

Roland NOCKELS Serge KOLB
Deputy Director Director