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.
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).
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%.
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.
The two tables below show the execution preferences by client segments, in terms of SDP and MDP volumes.
There will be more to follow on other regional central bank FX surveys.
Data from Previous survey here