BofE FX Survey data: London FX volumes down -21% in Oct 15 (SDP volume+6%, MDP volume -13%)


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

Highlights on London FX volumes for Oct 2015

  • Total FX volume  of $2,148bn/day, down -13.4% compared to Apr 15, and down -21% compared to a year earlier, and the lowest volumes since Oct 12.
  • All product volume  fell:
    • Spot -24% at $737bn/day (and down -34% on year earlier, to lowest since Oct 12)
    • FX Options – 24%
    • NDFs -16% and FWD -13% although FX Swaps were only -2%
  • Turnover fell in most currency pairs:
    • EUR/USD down -17% to $640bn/day
    • Only three in top 22 currency pairs rose:
      • USD/AUD +8%
      • USD/CNY + 3%
      • USD/KRW +11%.

  • MDP volume   fell –13% to $352bn/day, compared to Apr 15  (-27% YonY)
  • SDP volume rose +6% to $292bn/day, compared to Apr 15 (-7% YonY)
  • Ratio of SDP/MDP volume  rose (in favor of SDPs) to 83%, compared to 68% seen in Apr 15

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

FX Volumes in London at $2,148bn/day in Oct 15

Volumes in Oct 15 of $2,148bn/day (-13.4% compared to Apr 15, and -21% YonY), as shown in chart 1 below. The $171bn/day increase being attributed to $100bn/day increase in FX Swaps, which retains the largest share of trading at 51% of all volume, and to a $26bn/day increase in FX Spot volumes, with Spot accounting for 33% of total volumes, as shown in chart 2 below.

FX Volumes in London from BoE survey Data for Oct 2015Chart 1: showing Daily FX volume by-product type (source: Bank of England Survey data)

 

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

Single-Dealer vs Multi-Dealer volumes

SDP volume $292bn/day in Oct 2015, up 6% from Apr 15 level of $276bn/day, although still down -7% YonY

MDP volume $352bn/day in Oct 2015, down -13% from Apr 15 level of $406bn/day, and down -27% YonY

Ratio of SDP/MDP volume rose (in favor of SDPs) to 83%, compared to 68% seen in Apr 2015

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

showing SDP and MDP volsChart 3: showing SDP and MDP volume (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 68% to 83%.

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

 

FX volumes by Client Segment:

FX flows by client segments are pretty much unchanged in Oct 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.

FX flows by client segmentChart 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.

showing changes in FX vols by client segment

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

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

Data from Previous survey here

2 Responses

  1. Really enjoy your site, it is very helpful. Something you might want to consider……To most of your audience who trades, FX vols have a specific meaning. FX vols mean “volatilities” not “volumes”. It can be confusing to a reader reviewing an article to continually have to remind themselves that vols mean volume. Just a suggestion, but think it would be useful to most.

    • Hi David

      I will change vols to volumes. Although in context people would surely know I am referring to volume not volatility. But point taken.

      Thanks for reading.

      Paul

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