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.
FX Volumes by Product
- 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)
- Whilst FX Options account for only 1% of daily flows, they saw a 39% drop from Apr 13 to $113bln/day
Chart showing Daily FX vol by-product type (source: Bank of England Survey data)
Single-Dealer vs Multi-Dealer volumes
SDP vol: $335bln/day ($366bln/day), -9% from Apr 2013, but still +21% YoY
MDP vol: $314bln/day ($349bln/day), -10% from Apr 2013, but still +52% YoY
The ratio of FX flows being executed via SDPs compared to MDPs rise slightly to 107%, but still down from 134% in Oct 12 as shown by the continues red line in chart below. See latest volumes on MDP (EBS, Reuters and FXAll) here.
Chart showing SDP and MDP vols (source: Bank of England Survey data)
Product Flows by SDP & MDP
The chart below shows changes in flows (SDP vol minus MDP vol by product type. As can be seen since Apr 2011, there has been a continual increase in FX Swaps flows via SDP (mauve line), whereas over the same period there has been a drop in FX spot volumes as more FX spot flows through MDPs (dotted blue line).
Chart showing changes in SDP and MDP vols by instrument (source: Bank of England Survey data)
Client Segment Flows
When looking at overall client segment flows, reporting dealers have once again failed to break above 50% of total flows, and dipped to 48%.
Chart showing Reporting Dealer FX flows vs All other client segments (source: Bank of England Survey data)
The chart 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 comparing each client segment flows (source: Bank of England Survey data)
Client Flows by SDP & MDP
When looking at the execution preferences of each client segment, reporting dealers are increasing the proportion of flows via SDPs (blue dotted line), whilst non-bank ‘other’ financial institutions (hedge funds, asset managers etc), are preferring to trade using MDPs (orange dotted line). Also the ‘Other Banks category of non-reporting dealers seems to be picking up again in terms of flows through SDPs (red line).
Chart showing changes in SDP and MDP vols by client segment (source: Bank of England Survey data)
Coverage of previous BofE survey data here
Bank of England data here
