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The Bank of England today released their latest semi-annual FX turnover survey results for Apr 2015.

Highlights on London FX volumes for Apr 2015

• Total FX vol  of $2,481bn/day, fell -8% compared to the record level seen in Oct 2014, but still showed a +5% YoY gain
• Spot FX vol fell -13% to $973bln/day compared to Oct 2014, although still up some +24% YonY
• USD/CNY activity increased by 25% in April 2015 to $43bln/day, a new record high, and is now the 9th largest FX pair.
• USD/JPY vol fell -25%, returning back to October 2013 levels.

• MDP vol fell –16% compared to Oct 2014 at $406bn/day (+12% YonY)
• SDP vol fell -12% from Oct 2014 at $276bln/day (still down -11% YonY)
• Ratio of SDP/MDP vols rose slightly (in favor of SDPs) to 68%, compared to the low of 65% seen in Oct 2014

Volumes never really recovered following the Swiss National Bank’s EURCHF event in January. Below are full details, charts and some interesting observations on the data.

FX Volumes in London at $2,481bln/day in Apr 14

Volumes in Apr 2015 of $2,481bln/day (-8% from the record seen in Oct 2014 although still +5% YonY), as shown in chart 1 below. The $171bln/day increase being attributed to $100bln/day increase in FX Swaps, which retains the largest share of trading at 51% of all volume, and to a $26bln/day increase in FX Spot volumes, with Spot accounting for 33% of total volumes, as shown in chart 2 below.

Chart 1: showing Daily FX vol by-product type (source: Bank of England Survey data)

Chart 2: showing Pct of daily FX vol by- product type (source: Bank of England Survey data)

Single-Dealer vs Multi-Dealer volumes

SDP vol $276bln/day in Apr 2015, down -$39bln/day, (-12% since Oct 2015, and -11% YonY)

MDP vol $406bln/day in Apr 2015, down -$75bln/day, (-16% since Oct 2015, but still up +12% YonY)

Ratio of SDP/MDP vols rose slightly (in favor of SDPs) to 68%, compared to the low of 65% seen in Oct 2014

Following the new high for MDP volumes of $481bln/day set in Oct 2014, volumes fell back more on MDPs than on SDPs, which raised the the SDP/MDP flow ratio from a low of 65% to 68% (shown by the continues red line in chart 3 below).

Chart 3: showing SDP and MDP vols (source: Bank of England Survey data)

Looking at the flows from SDP to MDPs by-product, we can see in the chart 4 below (the upward red arrow) that shows the switch in FX Spot volumes from MDPs to SDPs, which helped raise the SDP/MDP ratio from 65% to 68%.

Chart 4: showing SDP minus MDP vols by product (source: Bank of England Survey data)

FX volumes by Client Segment:

FX flows by client segments are pretty much unchanged in Apr 15. the chart 5 below shows all the client segment flows, and we can see that Other Financial Institutions flows now exceed the flows from non-reporting other banks.

Chart 5: FX flows by client segment (source: Bank of England Survey data)

The two tables below show the execution preferences by client segments, in terms of SDP and MDP volumes. We can see that within MDPs, the biggest drop in volumes, accounting for all the fall in MDP volumes was the -$80bln/day fall in flows from ‘other financial Institutions’ (typical buyside firms) between Oct 14 and Apr 15. That contrasts with a much smaller -$16bln/day drop in their flows by buyside firms over SDPs. For SDPs, the biggest faller were the drop of -$43bln/day in flows from Reporting Dealers -$111bln/day. Looking at the data in chart 6 below, we can see the shift in flows from MDPs to SDPs was mainly accounted for by flows from falls in MDP flows from ‘Other Financial Institutions’ and increases in flows from ‘Other banks’ in favor of SDPs.

Chart 6: showing changes in FX vols by client segment (SDP-MDP vol)  (source: Bank of England Survey data)

There will be more to follow on other regional central bank FX surveys.

Data from Previous survey here

Filed under: FX, MDP, Paul Blank, Single-Dealer Platforms, Survey Results |