FX news: Official volumes continued to climb in six months to April

27 July 2010

Trevor Carr

The Bank of England, the Federal Reserve and the authorities in Singapore, Japan, Australia and Canada all published their FX volume data for April. The data is published twice each year (apart from the data from Tokyo which is annual) in January and July and shows FX volumes for the preceding October and April respectively. The data for April 2009 year slumped, reflecting the crisis taking hold, but last October’s data showed volumes recovering. This newest set of data, for April 2010, shows volumes approaching, and in some cases exceeding the pre-crisis highs.

London and aggregate spot FX volume hit a new record in April – of $1.328 trillion, exceeding the previous record spot FX volume seen in October 2008 of $1.269 trillion.


The Bank of England’s FX Joint Standing Committee data showed ‘traditional’ (i.e. spot FX, outright FX, non-deliverable forwards and FX swaps) average daily volume was up 15% in April over October. Spot FX volume was up 25% at $642 billion per day, compared with $513 billion six months before, and FX swaps were up 7% ($756 billion against $705 billion). FX options volume was up 16% ($110 billion against $95 billion). The breakdown by currency pair, aggregated across product, is relatively stable: 32.4% of volume was in EUR/USD (versus 32.7% in October 2009), 12.5% in GBP/USD (versus 12.4%) and 13.0% in USD/JPY (versus 12.1%).
 
In New York, the Foreign Exchange Committee released its 12th survey of North American volume. Total average daily volume (in spot FX, outright FX, FX swaps and currency options) was up 12% on October’s figures. Spot FX volume was up 8% at $418 billion per day, compared with $388 billion, and FX swaps were up 15% ($203 billion against $176 billion). FX options volume was up 19% ($29.8 billion against $25.1 billion).

The survey says that spot FX volumes remain below the record numbers recorded in October 2008 but that volumes in FX swaps are at record highs; increases in retail and high-frequency trading are probably behind that. “Since the survey’s inception in 2004, the average trade size declined steadily from $4.3 billion to roughly $1.8 billion in October 2008. It has remained near this level in all subsequent surveys,” says the FEC.

Singaporean volumes might have been expected to flourish given the number of times the centre has been mentioned as a beneficiary of any European relocation. The data doesn’t bear out the hype: traditional (spot FX, outright FX and FX swaps) average daily volume, at $238 billion, was up only 3.2% on October’s $231 billion. Spot FX volume in April averaged $94.5 billion per day versus $90.5 billion six months before, and FX swap volume was practically flat at $103.6 billion against $102.8 billion. However, FX options daily volume was up at $20.9 billion, a 70% increase on October’s $12.2 billion.

The Tokyo Foreign Exchange Market Committee’s survey is annual rather that biannual, so the figures are not directly comparable with the other centres, but volumes are up on April 2009 (average daily volumes of $96.5 billion in spot FX against $70.2 billion, in FX swaps of $161.3 billion against $158.9 billion and FX options of $7.6 billion against $5.8 billion).

The Reserve Bank of Australia’s semi-annual survey reported a 38% increase in average daily volume for traditional products to $184.9 billion from $134.2 billion in October 2009. Spot FX volume was flat ($59.7 billion from $59.2 billion) while FX swap volume surged to $117.4 billion per day from $68.6 billion.

The Canadian Foreign Exchange Committee’s semi-annual survey saw average daily volumes in traditional products rise 9.4% to $57.0 billion in April from $52.1 billion in October 2009. Spot FX volumes were up 33% at $17.1 billion from $12.9 billion, although volumes in FX swaps were slightly down at $34.3 billion from $34.5 billion.

To coincide with the central bank data, CLS published its average daily values. The figures are for settlement instructions submitted on trade dates in April 2010: spot FX settlements had an average daily value of $1.26 trillion (compared with $1.22 trillion in October 2009) and FX swaps $2.30 trillion (compared with $2.12 trillion). CLS reports ‘sides’, so the swaps number should be halved for comparison with the trading volume figures.


Back to home