FX Platforms – Jan 15 vols: Spot vols up 27% at Reuters

The major platforms have now released their Jan 15 volumes, with all platforms spot volumes reporting very strong figures, driven by the increased volatility resulting from the SNB surprise move to withdraw the EURCHF 1.20 floor.

Reuters Spot: $135bn/day in Jan, up +27.4% on Dec, and unchanged compared to Jan 14 level of $135.1bn/day.

Reuters Other Products: $263bn/day in Jan, up +7.8%  on Dec, and up 10.6% compared to Jan 14 level of $238bn/day.

Reuters total: $398bn/day in Jan, up +13.7% on Dec, and up some +6.8% compared to Jan 14 level of $373bn/day.

EBS $129.6bn/day in Jan, up +23.7% on Dec, and +48.1% compared to Jan 14 level of $87.5bn/day.

As reported previously Continue reading

EBS reports strong Jan 15 vols and releases new HTML5 ‘everything EBS’ platform

EBS has reported a strong start to the year, with Jan 15 vols +23.7% at $129.6bln/day, some 48.1% up on Jan 14.

The increase was driven in part by the increased volatility seen in the wake of the SNB decision to let the CHF appreciate against the Eur, which according to sources saw EBS volume that day nearly triple to $300bln. EBS volumes have now almost doubled compared to the low of $69bln/day seen in Apr 14.

EBS Jan 15

EBS Jan 15 FX volumes

We will wait to see how EBS figures compare with Reuters who should report their Jan volumes next week.

January figures also coincide with EBS announcing they are launching a new HTML5 platform, dubbed Continue reading

Central Bank FX Semi annual surveys Oct 14: Record vols seen in 5 out of 6 top centres

The major central banks reported their latest semi-annual FX survey results for Oct 14 today.

Record high daily volumes were reported for London ($3.097bln/day +12.3%), NY ($1,096bln/day +35.1%), Singapore ($481bln/day +30.1%), Japan ($374bln/day +3%) and Canada ($67bln/day +8.5%) with only Australia showing a fall ($151bln/day -14%). London once again dominating the FX market, with volumes in London approaching 60% of global daily volumes.

Top 6 FX centres Apr-Oct 14


Top 6 Global FX centres

Top Global FX Centres (based on Central Bank FX Semi annual FX survey data for Oct 14)

A quick look at the trend in volumes by instrument shows that Continue reading

CLS FX Dec14: Vols down -6% to $4,870bln/day

The CLS settlement system has reported a -6% end of year drop in the average daily value of FX trades settled through their platform in Dec 2014, and some -18% lower from the record $5,940bln/day set in Sept 14.

The monthly drop is roughly half the average fall seem in the major platforms that reported last week, which saw falls ranging from 11-15%.

Details from the platform and charts are as follows:

CLS value of instructions submitted: $4,870bln/day, down -6% on the $5,170bln/day in Nov 14, and unchanged compared to Dec 13.

CLS number of instructions submitted: 1,223,109, was down -12% on 1,385,840 in Nov14, although still +23.7% up on Dec 2013 level of 988,674.

Average Trade size: $3.92mln was up 7% on the $3.73mln in Nov 14 and down -19.2% compared to the $4.93mln in Dec 2013.

Note: CLS reports both sides of an FX transaction. To adjust the average daily value data to equate to the same reporting convention used by the Bank for International Settlements and the semi-annual foreign exchange committee market reports, the gross values should be divided by two.

CLS Dec 2014

CLS - charts Dec 2014

CLS Data: Value and number of transactions submitted to CLS in Dec 2014

Major FX Platforms report Dec 14 volumes: Spot vols down across the board between 11-15%

The major platforms have now released their Dec 14 end year volumes, with all platforms spot volumes down as follows:

Reuters total: $350bn/day in Dec, up +0.9% on Nov, and up some +9.2% compared to Dec 13 level of $321bn/day.

Reuters Spot: $106bn/day in Dec, down -11.7% on Nov, and only up 5% compared to Dec 13 level of $101bn/day.

Reuters Other Products: $227bn/day in Dec, up +7.5%  on Nov, and up 11.4% compared to Dec 13 level of $219bn/day.

EBS $104.8bn/day in Dec, down -14.8% on Nov, although still up a respectable+47.6% compared to Dec 13 level of $71bn/day

Hotspot: $27.7bn/day in Dec, down -15.5% on Nov, and almost unchanged at +0.4% compared to Dec 13 level of $27.6bln/day

Year-end slowdown affected all platforms, and nothing particularly interesting to note here, although the battle between Reuters and EBS continues, with EBS having eroded a near $50bln/day volume advantage that Reuters had built up this year as can be seen from the last chart below.

According to CLS the FX settlement platform, volumes surged on black Thursday to $9.2trn/day, and sources at EBS commented in a WSJ article that EBS volume nearly tripled to $300bln that day, so it will be interesting to see whether Reuters announce their volumes for that fateful day, and how they compared.

26 Jan Update: According

Reuters, EBS & Hotspot Dec 14

Reuters, EBS & Hotspot -chart Dec 14

Reuters, EBS and Hotspot FX volumes Dec 2014

Reuters minus EBS

Reuters-EBS volume differences Jan 13-Dec 14

The Swiss move resulted in record daily FX volume of $9.2trillion (up 78% on Nov 14)

The fallout from the SNB decision last week to abandon the EURCHF 1.20 ceiling on the CHF and let the CHF appreciate continues, with talk of far tighter regulation on retail FX and reviews of risk management systems in the wake of industry wide loses that may yet top $10bln.

In terms of FX volumes on ‘black Thursday’, FT Alphville has an article stating some volume figures from CLS (the wholesale FX settlement system).

Plugging those into the data I track, we see that last Thursday’s volumes blow away previous FX records with daily volumes surging to a new record of $9.2trillion/day up 78% from the $5.17trillion/day seen in last reported period of Nov 14, and some 55% higher than the previous record being $5.94trillion/day set in Sept 14.

(Note: CLS reports both sides of an FX transaction. To adjust the average daily value data to equate to the same reporting convention used by the Bank for International Settlements and the semi-annual foreign exchange committee market reports, the gross values should be divided by two.)

The surge might also partly reflect the reduced ability/willingness of the large firms to internalise flows, which would not be surprising given the volatility.

The number of transactions submitted for settlement, also rocketed 63% higher to 2.26mln up from 1.38mln in Nov 14, and some 50% higher than the previous record of 1.465mln set in Oct 14.

Interestingly, the average trade size increased by 9% from $3.73mln in Nov 14 to $4.07mln, possibly reflecting the fact that less was executed using algorithms electronically.

Elsewhere, platforms that report daily volumes also showed record high volumes, among them were:
Hotspot FX: $62bln up 124% on Dec daily average of $27.7bln
FastMatch: $24.3bln up 141% Dec daily average of $10.1bln

CLS 20 Jan 15

CLS-1 20 Jan 15CLS settlement System data for Tuesday 20 Jan 2015
(Monday was US holiday, so data does reflect Thursday’s activity)

How many banks offered continues pricing throughout today’s EURCHF carnage?

It’s taken nearly three and a half years, but finally the Swiss National Bank has capitulated to market forces, having spend billions in a futile attempt to defend the EURCHF 1.20 floor, which it first set on 16th Sept 2011.

Having seen that negative CHF rates weren’t helping, it decided the cost of defending the floor is too great, and this morning after spending another billion, it withdrew. As a result the EURCHF rate plummeted, taking out umpteen stops in the resultant carnage, and talk of it falling to a low of around 0.8520 centimes/Eur an unbelievable intraday move.

I recall writing a post back in 2011 about bank pricing engines, when the floor was first introduced and the EURCHF rate went from 1.12 to 1.21. At the time, UBS spoke of providing continuous pricing through the move.

At the time, George Athanasopoulos, Global Co-Head of FX at UBS stated that:

The day last month when the Swiss National Bank intervened to weaken the swissy, driving it down against the euro from 1.12 to 1.21 was their most profitable day ever in FX. They claim that their eFX pricing engine was able to quote throughout the move, with 50-60 pip spreads, compared to around 375 pip spread on EBS.

SNB sets the floor on 6th Sept 2011: EUR/CHF move from 1.12 to 1.21

EURCHF-15 Jan 15

SNB stops defending the floor 15 Jan 2015: EUR/CHF move from 1.21 to 0.8520

Today, many more banks have upgraded their pricing engine technology, internalising ever more flows that enable them to provide clients with robust pricing.

So it will be interesting to see how bank pricing engines coped with today’s moves – did they still offer continuous pricing to their clients throughout the move?

My guess is that a number of banks did!

The postmortem update:

Seems that I was wrong at time of writing, and this time the move was far more brutal and feedback I have received from banks, funds and electronic trading firms has been that there were a number of times when all bank liquidity provider feeds were turned off! Along with the brokers that were hit, there are also bound to be some of of the new non-bank electronic market-makers that have been caught up in this as well.

The initial loses (and there will be more) to be announced have been:

Deutsche: $150m loss
Barclays: Less than $100m
Citi: Said it could be considerably more than $150m as they are major FXCM prime broker: here

 Index: £30m
FXCM: $225m, and a $300m rescue package from Leucadia (parent company of Jefferies): here
Interactive Brokers: Suffered a $120m loss: here
Alpari: Went into liquidation: here, but actually now appears they haven’t: here, now up for sale after losing $45m: here

GAIN capital: Interestingly, GAIN came out and stated that they actually made money on the move! here

There are a number of Brokers who are also trying to buy the on-going (profitable) client trading books from brokers who have gone bust.

Hedge Funds:
Everest Capital Hedge Fund: Everest Capital’s Global Fund had about $830 million in assets as of the end of December, has closed, after being almost wiped out: here

News that BATS has made a $400m offer for Hotspot FX ECN who had their biggest ever daily volume of $61.9bn on Thursday here




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