BofE FX Survey data: FX vols recover in April 14 at $2,758bln/day (+6.6% on Oct 13, and -8.8% YonY) – interesting trends


The Bank of England today released their latest semi-annual FX turnover survey results for April 2014.

Highlights on London FX volumes for April 2014

  • FX vol  of $2,758bln/day, +$171bln/day, which is +6.6% from Oct13 (although still -8.8% YoY)
  • MDP vol of +15% from Oct13 at $362bln/day (+4% YonY)
  • SDP vol -8% from Oct13 at $309bln/day (-16% YonY)
  • Ratio of SDP/MDP vols at new low of 85% from 107% in Oct

Below are full details, charts and some interesting observations on the data. Continue reading

EBS, Reuters/FXall and CLS Mar14 FX vols (FXall record high)


The three main OTC FX platforms have now reported their Mar 2014 volumes.

Whilst Reuters matching saw a small drop in volumes and EBS a small rise, FXall saw strong growth. Hitting a new all time high, driven by record volumes in Chinese CNH on the back of recent intervention by the Chinese authorities to halt the one way bet on a continually rising Yuan.

FXall: $132bln/day, up 8.2% on the $122bln/day in Feb 2014, and some 20% up compared to Mar 2013 level of $110bln/day.

Reuters Matching: $110bln/day, down 2.7% on the $113bln/day in Feb 2014, and still some 16% down compared to Mar 2013 level of $131bln/day.

EBS: $88.4bln/day, up 5.9% on the $83.4bln/day in Feb 2014, but still a 26.6% down compared to Mar 2013 level of $120.4bln/day.

Hotspot: to be added once released.

 

FX Platform Volumes indexed Mar 2014

 FX volumes for Reuters, FXall and EBS- March 2014
(Chart indexed based at Jan 2011)

 

CLS value of trades submitted: $2,675bln/day, up 3.9% on the $2,575bln/day in Feb 2014, and 3.68% up compared to Mar 2013 level of $2,580bln/day.

CLS number of instructions submitted: 1,155,507, up 0.4% on the 1,150,663 in Feb 2014, and -5.12% down compared to Mar 2013 level of 1,217,817.

CLS Mar 14

 

 

Value vs cost of FX liquidity provision


Interesting article in FX Week, about banks pulling their liquidity provision back from a number of multi-bank platforms due to the high cost fee structures on those platforms.

According to Kurt Vom Scheidt, COO of Markets in Saxo Bank, speaking on a conference panel at FX Invest Europe in Frankfurt…

“With banks struggling to make adequate returns across the board, connections to expensive trading platforms are on the chopping board”

He further commented that…. Continue reading

BofE FX Survey data: $2,234bln/day (12% down from Apr, but 11% up YonY) – worth reading


The Bank of England today released their latest semi-annual FX turnover survey results for October 2013.

Highlights on overall London FX volumes

  • Total FX vols down 12% since Apr at $2,234bln/day (up 11% YoY)
  • FX Swaps account for 50% of total FX vols (up from 42% in Apr), highest share since Apr 09
  • FX Spot account for 34% of total FX vols (down from 39% in Apr), lowest share since Apr 09
  • Spot FX vol down 24% from Apr at 767bln/day (5% higher YoY)
  • Spot USD/JPY vols 48% lower than Apr at $119bln/day (still 2nd most traded curr pair)

Execution via Multi-Dealer Platforms (MDP) and Single-Dealer Platforms (SDPs) both down approx 9% since Apr

  • SDP vols – 9% (still up 21% YoY), driven by +31% increase in use by Reporting Dealers and +14% by other banks
  • MDP vols -10% (up 53% YoY), driven by +77% rise in Non-Bank Financial Institutions

Detailed analysis and charts on the figures follows below. Continue reading

EBS and Reuters/FXall Oct13 FX vols released


The three main OTC FX platforms have now reported their Oct 13 volumes.

All three platforms saw decline in daily volumes in October, with Reuters and EBS both recording multi year (record low) trading volumes.

Reuters matching and conversational dealing platforms showing the largest fall, down $13bln/day (-11.8%) at $97bln/day from $110bln/day in September, and also showing the largest YoY drop of -19.2%.

EBS which as we reported earlier this week, also hit new all time lows in daily volumes which were down $4bln/day ( -5.2%) at a new low of $77bln/day,  a drop of -16.8% YOY.  

Whilst FXAll volumes were $5bln/day (-4.5%) lower at $106bln/day down from $111bln/day in September, although still up some 12.8% YOY.

FX Vols for Reuters, EBS and FXAll-Oct 13a

BofE FX Survey Data shows record $2,547bln/day (very interesting read)


The Bank of England today released their latest semi-annual FX turnover survey results for April 2013.

Highlights

  • Record Daily FX vol of $2,547bln, +26%  on Oct 2012, (+26% YoY)
  • Spot vols +38% to $1,006bln/day
  • Rise driven by huge increase in USD/JPY activity up over 100% to $503bln/day – 2nd most active curr pair traded

Execution via Single Dealer Platforms (SDPs) still exceeds Multi Dealer Platforms (MDPs), but MDP volumes surging

  • SDP vols + 32% driven by +58% increase in use by Reporting Dealers and +18% by banks
  • MDP vols +69% driven by +77% rise in Non-Bank Financial Institutions and +71% by reporting dealers

Continue reading

Is FX heading for Equity style ‘All-2-All’ market?


Latest research from GreySpark looks at the regulatory and structural changes that are impacting the global FX market, and draws some interesting conclusions.

The report Trends in FX Trading 2013 (which I haven’t seen, other than in abstract here) looks at the evolution of market structure and reasons behind the decline in dominance of the wholesale dealer-dealer platforms (D2D), and the rise in importance of the dealer-client (D2C) platforms, both Single-Dealer Platforms (SDP) and Multi-Dealer Platforms (MDP).

From what I can see, the paper draws the conclusion that these trends will lead to the development of an equity style All-to-All (A2A) market structure, presumably characterised by central limit order books (CLOBs). Possibly driven by regulation and capital efficiency needs, making it less attractive for banks to market make, although not sure that should follow?

As the abstract from the report states: Continue reading

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