Latest semi-annual FX survey data from top central banks (FX Joint Standing Committees) show that in Oct 17 FX average daily vols (ADVs) for the top six FX centres was $4.28tn/day, an drop of –6.2% from Apr 17, although up +3.4% year on year from Oct 16.
London remains top trading centre, with 54% share of top 6 ADV at $2.23tn/day in Oct 17
Looking at the % change over 6mths and year on year, we see that NY saw the biggest drop in ADV down -13.5% from Apr 17.
Looking at London in more detail
Looking in more detail at London and using the Bank of England survey data, the chart below shows % share of total ADV by product, with spot accounting for just under 30%.
Interestingly, FWD volumes have dropped from about 11% share to 4% which could be due to the impact of higher regulatory costs in the form of embedded Credit Value Adjustment (CVA) charges making Fwds more expensive to use as a hedging instrument. Also NDFs saw an increase in vol from 3% to 10% in the same period. These seem very large changes and of course there is always the small change that the BofE has mixed up FWD and NDF data….and reported them the wrong way round?
London % total ADV by product (Bank of England FX Survey data Oct 17)
The biggest % change in vol was with NDFs, which saw a massive 200% 6mth and 276% YoY increase in vols as shown in the chart below.London FX % change in 6mth and YoY by product type
(BofE semi-annual FX survey date)
Not much change in counterparty share of the London FX markets, as shown in the graph below. Interestingly, whilst the top non-bank market makers continue to increase their volumes and market share, overall the non-bank financial segment market share has actually fallen from 27% in Apr 17 to 26% in Oct 17.
London FX % vols by user segment (BofE semi-annual FX survey date)
Single Dealer Platforms (SDP) vs Multi Dealer platforms (MDP)
When we look at overall flows by either a bank’s own single dealer platform SDP or multi dealer platform MDP (such as FXAll, 360T etc), we can see from the chart below that the ratio of flows via SDP compared to MDPs (SDP/MDP) which peaked in 2008 at 273% is at a new low of 54% in Oct 17.
London FX vols showing ratio of flows by SDP vs MDP (BofE semi-annual FX survey date)
Top 10 currency pairs (London data): In terms of currency pairs traded, EURUSD remains the top pair with 24% of total London ADV followed by USDJPY at 15% down from 19% in Apr.
London FX vols showing top currency pairs