Canadian Foreign Exchange Trading Volumes Hit All Time Highs

The Canadian Foreign Exchange Committee has released its latest survey data showing a divergence with similar economies.

The Canadian Foreign Exchange Committee (CFEC) has released the latest batch of its survey data on the amount of daily foreign exchange trading volumes across multiple FX contracts. With the survey being released two times a year, the latest data encompasses the data for April 2016.

In the Canadian version of the survey the participants are the country’s largest nine banks that are the primary dealers in the market – BAML Canada, Bank of Nova Scotia, BMO Capital Markets, CIBC World Markets, HSBC Bank Canada, National Bank of Canada, RBC Capital Markets, State Street Canada and TD Securities.

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The monthly turnover which included spot FX, FX forwards and FX swaps totaled $1.6 trillion. Looking at average daily volumes (ADVs), total turnover increased by 18.4 per cent to $77.2 billion in April 2016 from last October and by 3 per cent when compared to last year.

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Canada FX turnover
Traditional FX Turnover in Canada, Source: Bank of Canada

The increase in spot FX was marked at 16 per cent to $16.8 billion, while FX forwards rose 10 per cent to $12.7 billion and FX swaps spiked higher by 22 per cent to $47.7 billion.

The total monthly turnover for foreign exchange over-the-counter derivatives which include currency swaps and options amounted to $156.7 billion. Looking at ADV values, the turnover in derivatives rose 42.5 per cent to $7.5 billion. The increase has been materially affected by the revised survey methodology this year, which included not only volumes traded on Canadian desks, but also volumes that have been sold from Canadian desks.

Canada OTC FX Turnover
Over-the-counter FX transactions in Canada, Source: Bank of Canada

FX swaps were closer to flat and options rose 88 per cent from the month of October 2015. The average daily volumes (ADV) figures were $ 2.7 billion and $ 4.8 billion respectively.

The Canadian turnover in FX trading is highly correlated to the results from the U.S. survey. In contrast to Australia, where activity has been closely correlated to the exchange rate of the local dollar, the survey’s results in Canada are not mirroring the state of the market despite a relatively similar economic structure to the one in Australia.

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