FX trading

activity review
Monthly market report

CLS Analytics

05 March 2018

All views or opinions expressed in this document are CLS’s and do not reflect the position of any other organization. The information included herein does not constitute investment or financial advice and should not be relied upon as such.
This document is for the exclusive use of the recipient and may not be quoted, forwarded, copied or shared, in whole or in part, without the prior written permission of CLS Group.
© 2018. CLS Group. All Rights Reserved. CLS and the CLS logo are registered trademarks of CLS UK Intermediate Holdings Ltd.

CLS Classification: Confidential Information

 FX trading activity review
5 Mar 2018

Background
Each month, our analytics group reviews foreign exchange (FX) trading activity, comparing the current month to prior
months and looking at daily and hourly activity within the month. The FX spot, swap and outright forward markets are
covered in aggregate and at a currency pair level. The report is based on trade data submitted to us in operation of our
settlement and aggregation services. The data is made available via subscription and more information on how to
subscribe can be found in the appendix.

FX market overview
Average daily traded volumes in February 2018 were USD1.95 trillion, up 8 percent compared to January. Volumes
were up on a year-on-year basis (up 30 percent compared to February 2017).

FX swaps and forwards up compared to last year Fig. 1

Average daily volume (USD billions) by product in Feb 2018 vs prior month and year

1307
Swap
+34%

542
Spot
+27%

100 Jan 2018

Forward
+9% % change vs Feb 2017

0 500 1000
Source: CLS Analytics

As shown in Figure 1, the year-on-year increase in overall volumes was seen across all products. FX swaps were up 34
percent, compared to a year ago, contributing USD1.31 trillion to the total, spot trades were up 27 percent and
contributed USD542 billion. Outright forwards were up 9 percent and contributed USD100 billion to the total volume.

CLS Classification: Public Information 2

 FX trading activity review
5 Mar 2018

Monthly comparisons, such as those above, are always vulnerable to short-term fluctuations (in either the current or
comparison month). Figure 2 shows that there is a longer-term trend of declining spot volumes (although this decline
seems to have flattened in recent months), but growing FX swap activity.

FX swap activity trending up, spot and forwards flat Fig. 2

Average daily volume (USD billions) by product each month over last four years

Swap 1307bn
1250

1000

750

500
Spot 542bn

250

Forward 100bn
0
2014 2015 2016 2017 2018

Notes: Feb 2017 and Feb 2018 are indicated by dots Source: CLS Analytics

CLS Classification: Public Information 3

 FX trading activity review
5 Mar 2018

Spot market
Having reviewed the overall FX market, we now focus on the spot market. We look first at trends in monthly volumes,
then at daily volumes and finally at hourly volumes within the month.

Monthly spot volumes

As was noted previously, spot volumes in February were up 27% compared to last year. Figure 3 shows that currency
pairs such as EURUSD, GBPUSD and USDJPY grew this month compared to the same month last year.

Growth in currency pairs such as EURUSD, GBPUSD and USDCAD Fig. 3

Average daily spot volume (USD billions) by currency pair in Feb 2018 vs one month and one year ago

EURUSD 150 +31%

USDJPY 100 +17%
GBPUSD 52 +32%
USDCAD 41 +21%
AUDUSD 37 +28%
EURJPY 20 +94%
USDCHF 14 +12%
EURGBP 13 +14%
USDMXN 11 +35%
NZDUSD 11 +23%
USDSGD 10 +4%
EURSEK 8.9 +46%
USDHKD 8.3 +25%
USDKRW 8.1 +16%
EURCHF 7.9 +17%
EURNOK 7.5 +68%
USDZAR 7.5 +13%
GBPJPY 6.7
AUDJPY 4.7 +60%
USDSEK 3.4 +11%
EURAUD
USDNOK 2.8 +18%
EURDKK 2.3 +20%
USDILS 2.1 +39%
AUDNZD
EURCAD 1.9 +12%
GBPAUD 1.2 +58%
GBPCHF 0.83 +100%
CADJPY 0.82 +30%
USDDKK
GBPCAD 0.55 +19% Jan 2018
USDHUF 0.053 +2% % change vs Feb 2017

0 50 100 150

Notes: Currency pairs that grew compared to last year are highlighted in red Source: CLS Analytics

Month-on-month comparisons at a currency pair level may be heavily influenced by short-term fluctuations (in the current
or comparison month) masking any underlying trend. A review over a longer period, as shown from Figure 4 to Figure 9,
helps distinguish between these short and long-term effects and highlights some interesting trends.

CLS Classification: Public Information 4

 FX trading activity review
5 Mar 2018

Figure 4 shows that volumes in the majority of pairs, notably the majors and large crosses, have been in gradual decline
over the last four years.

Spot volumes in major currency pairs declining Fig. 4

Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

EURUSD USDJPY

USDCAD GBPUSD

AUDUSD USDCHF

2015 2016 2017 2018 2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

CLS Classification: Public Information 5

 FX trading activity review
5 Mar 2018

Figure 5 shows that EURSEK volumes are growing.

Spot volumes in EURSEK growing Fig. 5
Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

EURUSD EURJPY

EURGBP EURCHF

EURSEK EURNOK

EURAUD EURCAD

EURDKK

2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

CLS Classification: Public Information 6

 FX trading activity review
5 Mar 2018

Figure 6 shows that volumes in the Asia Pacific pairs, USDSGD, USDHKD and CADJPY, seem to be on a sustained
upward trend.
Spot volumes in USDSGD, USDHKD and CADJPY growing Fig. 6
Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

USDJPY NZDUSD

AUDUSD USDSGD

USDHKD USDKRW

AUDJPY CADJPY

2015 2016 2017 2018 2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

CLS Classification: Public Information 7

 FX trading activity review
5 Mar 2018

Figure 7 shows that volumes in the GBP currency pairs, have been in gradual decline over the last four years.
Spot volumes in GBP currency pairs declining Fig. 7
Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

GBPUSD EURGBP

GBPJPY GBPAUD

GBPCAD GBPCHF

2015 2016 2017 2018 2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

CLS Classification: Public Information 8

 FX trading activity review
5 Mar 2018

Figure 8 shows that volumes in several Nordic pairs seem to be on a sustained upward trend.
Spot volumes in EURSEK, USDSEK and USDNOK growing Fig. 8
Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

EURSEK EURNOK

USDSEK USDNOK

EURDKK USDDKK

2015 2016 2017 2018 2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018. Source: CLS Analytics

CLS Classification: Public Information 9

 FX trading activity review
5 Mar 2018

Figure 9 shows volumes in other pairs. USDHUF is growing most aggressively, but this reflects the ramp-up of HUF on
the CLS platform since it went live in November 2015 rather than genuine market growth.
Spot volumes in USDHUF growing Fig. 9
Average daily spot volume (USD billions) and trend line by currency pair each month in last four years

USDZAR USDILS USDHUF

2015 2016 2017 2018 2015 2016 2017 2018 2015 2016 2017 2018

Notes
1 Trend lines are from a simple linear regression in time, and coloured red when their slope is positive.
2 Dots indicate Feb 2017 and Feb 2018.
3 HUF was added to the CLS platform in Nov 2015 and growth since then largely reflects ramp−up. Source: CLS Analytics

Daily spot volumes

Having reviewed spot activity over the longer term, we now look at activity within the month, starting with daily activity, as
shown in Figure 10. The figure shows spot activity each day in February and highlights the busiest day as 06 February,
when USD818 billion was traded.

Daily spot volumes peaked on Tuesday, 06 February Fig. 10

Spot volumes (USD billions) each trading day in February 2018

800 818bn 06 Feb

600

400

200

0
01 02 05 06 07 08 09 12 13 14 15 16 19 20 21 22 23 26 27 28

Source: CLS Analytics

CLS Classification: Public Information 10

 FX trading activity review
5 Mar 2018

Figure 11 shows daily spot volumes for major USD currency pairs and highlights that 06 February was not generally the
busiest day in the month.

Volumes for USDJPY and AUDUSD peaked on Tuesday, 06 February Fig. 11

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

EURUSD USDJPY

214bn 16 Feb 179bn 06 Feb

USDCAD GBPUSD

58bn 09 Feb 91bn 08 Feb

AUDUSD USDCHF

63bn 06 Feb 30bn 16 Feb

05 12 19 26 05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 11

 FX trading activity review
5 Mar 2018

Figure 12 shows daily spot volumes for euro currency pairs, and highlights that 06 February was also the busiest day in
the month for EURJPY, EURCHF and EURAUD.

EURJPY, EURCHF and EURAUD volumes peaked on Tuesday, 06 February Fig. 12

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

EURUSD EURJPY
214bn 16 Feb 42bn 06 Feb

EURGBP EURCHF
26bn 08 Feb 16bn 06 Feb

EURSEK EURNOK
13bn 28 Feb 13bn 09 Feb

EURAUD EURCAD
5bn 06 Feb 3bn 13 Feb

EURDKK
4bn 09 Feb

05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 12

 FX trading activity review
5 Mar 2018

Figure 13 shows daily spot volumes for Asia Pacific currency pairs, and highlights that 06 February was also the busiest
day in the month for USDJPY, AUDUSD and AUDJPY.

Asia Pacific pairs USDJPY, AUDUSD and AUDJPY volumes peaked on Tuesday, 06 February Fig. 13
Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

USDJPY NZDUSD
179bn 06 Feb 19bn 08 Feb

AUDUSD USDSGD
63bn 06 Feb 18bn 08 Feb

USDHKD USDKRW
13bn 28 Feb 14bn 14 Feb

AUDJPY CADJPY
13bn 06 Feb 2bn 14 Feb

05 12 19 26 05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 13

 FX trading activity review
5 Mar 2018

Figure 14 shows daily spot volumes for GBP currency pairs.

No GBP pair volumes peaked on Tuesday, 06 February Fig. 14

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

GBPUSD EURGBP

91bn 08 Feb 26bn 08 Feb

GBPJPY GBPAUD

16bn 09 Feb 3bn 08 Feb

GBPCAD GBPCHF

1bn 28 Feb 2bn 28 Feb

05 12 19 26 05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 14

 FX trading activity review
5 Mar 2018

Figure 15 shows daily spot volumes for nordic currency pairs.

Nordic pair volumes did not peak on Tuesday, 06 February Fig. 15

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

EURSEK EURNOK

13bn 28 Feb 13bn 09 Feb

USDSEK USDNOK

7bn 16 Feb 5bn 16 Feb

EURDKK USDDKK

4bn 09 Feb 2bn 16 Feb

05 12 19 26 05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 15

 FX trading activity review
5 Mar 2018

Figure 16 shows daily spot volumes for other currency pairs USDZAR, USDILS and USDHUF.

Volumes for USDZAR and USDILS peaked on Tuesday, 06 February Fig. 16

Spot volumes (USD billions) each trading day of Feb 2018 by currency pair

USDZAR USDILS USDHUF

12bn 06 Feb 3bn 06 Feb 0.15bn 16 Feb

05 12 19 26 05 12 19 26 05 12 19 26

Notes
1 Busiest day overall, 06 Feb, indicated in red on each graph.
2 Where the busiest day for a currency pair differed from the overall, this is indicated by a dark blue bar. Source: CLS Analytics

CLS Classification: Public Information 16

 FX trading activity review
5 Mar 2018

Hourly spot volumes

Daily activity within the month provides some insight, but greater detail can be discerned by reviewing activity at an hourly
level. Figure 17 shows spot volume each hour on every day of February 2018 and reveals the three spikes of activity,
corresponding to the main trading centers in Asia, Europe and the Americas, that are characteristic of the spot market.
The busiest hour is highlighted as 15:00 Wednesday 14 February (London time) when USD101 billion traded. As
highlighted from Figure 18 to Figure 23, 15:00 14 February was the busiest hour for EURUSD, USDJPY and AUDJPY.

Hourly spot volumes peaked at 15:00 14 February Fig. 17

Hourly spot volume (USD billions) in Feb 2018, with one line for each day in the month

100 101bn at 15:00 14 Feb

75

50

25

0
22:00 00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00
Notes
1 All times are in London local time (either GMT or BST)
2 First hour of trading day at 22:00, last hour 21:00 Source: CLS Analytics

CLS Classification: Public Information 17

 FX trading activity review
5 Mar 2018

EURUSD and USDJPY volumes peaked at 15:00 14 Feb Fig. 18

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

EURUSD USDJPY

15:00 14 Feb 15:00 14 Feb

USDCAD GBPUSD

13:00 09 Feb 12:00 08 Feb

AUDUSD USDCHF

13:00 14 Feb 08:00 16 Feb

22 02 06 10 14 18 22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 18

 FX trading activity review
5 Mar 2018

EURUSD volumes peaked at 15:00 14 Feb Fig. 19

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

EURUSD EURJPY EURGBP

15:00 14 Feb 16:00 08 Feb 12:00 08 Feb

EURCHF EURSEK EURNOK

16:00 08 Feb 10:00 09 Feb 10:00 09 Feb

EURAUD EURCAD EURDKK

16:00 06 Feb 15:00 08 Feb 13:00 22 Feb

22 02 06 10 14 18 22 02 06 10 14 18 22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 19

 FX trading activity review
5 Mar 2018

USDJPY and AUDJPY volumes peaked at 15:00 14 Feb Fig. 20

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

USDJPY NZDUSD
15:00 14 Feb 13:00 14 Feb

AUDUSD USDSGD
13:00 14 Feb 07:00 09 Feb

USDHKD USDKRW
16:00 28 Feb 06:00 14 Feb

AUDJPY CADJPY
15:00 14 Feb 16:00 14 Feb

22 02 06 10 14 18 22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 20

 FX trading activity review
5 Mar 2018

GBP pair volumes did not peak at 15:00 14 Feb Fig. 21

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

GBPUSD EURGBP

12:00 08 Feb 12:00 08 Feb

GBPJPY GBPAUD

12:00 09 Feb 16:00 06 Feb

GBPCAD GBPCHF

16:00 28 Feb 17:00 28 Feb

22 02 06 10 14 18 22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 21

 FX trading activity review
5 Mar 2018

Nordic pair volumes did not peak at 15:00 14 February Fig. 22

Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

EURSEK EURNOK

10:00 09 Feb 10:00 09 Feb

USDSEK USDNOK

08:00 16 Feb 15:00 16 Feb

EURDKK USDDKK

13:00 22 Feb 10:00 28 Feb

22 02 06 10 14 18 22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 22

 FX trading activity review
5 Mar 2018

Volumes for USDZAR, USDILS and USDHUF did not peak at 15:00 14 February Fig. 23
Hourly spot volume (USD billions) in Feb 2018 by currency pair, with one line for each day in the month

USDZAR USDILS

14:00 26 Feb 13:00 27 Feb

USDHUF

13:00 16 Feb

22 02 06 10 14 18

Notes
1 All times in local London time, with the first hour of the day at 22:00, the last at 21:00.
2 Busiest hour overall, 15:00 14 Feb, indicated in red on each graph.
3 Where the busiest hour for a currency pair differed from the overall, this is indicated by a blue dot. Source: CLS Analytics

CLS Classification: Public Information 23

 FX trading activity review
5 Mar 2018

Appendix
Notes on the data
The data in this report is based on trades submitted to the CLS settlement and aggregation services. The data is
adjusted to equate to the same reporting convention used by the Bank for International Settlements (BIS) and the
semi-annual foreign exchange committee market reports. These surveys only report one side of any trade, and only the
far leg of FX swap trades, to avoid double counting the total amount of trades.

In determining the time of submission, only matched trades are included and we use the earlier of the two submission
times as the trade time proxy. We receive confirmation on the majority of trades from settlement members within 2
minutes of trade execution.

We determine the instrument type using an algorithm. The data here is restricted to 32 currency pairs which meet the
volume requirements of the algorithm with the exception of USD/HUF which was included to provide visibility into the
HUF which was added in November 2015.

Please contact [email protected] with any questions you have relating to the data used in the report.

CLS data available on Quandl

The detailed volume data underlying this report is made available on Quandl on an intraday, hourly, and daily basis. The
data is aggregated by trade instrument (spot, swap and outright forward) and currency pair and can be purchased by
subscription by following this link:
https://www.quandl.com/browse?idx=database-browser_currency-data_traditional-currencies_volumes

The ‘R’ code used to generate this report is available on request by e-mailing [email protected]

CLS Classification: Public Information 24