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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.

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

Chart 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).

Chart 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%.

Chart 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.

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.

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

Filed under: FX, Paul Blank, Survey Results |