October Survey: FX Volumes in North America Rise 22% in Six Months

Average daily volume in total FX OTC instruments (including spot, forward, swaps and options) was $933 billion in October 2020.

The Foreign Exchange Committee (FXC), a multi-national cooperative conducting a semi-annual survey that includes FX data from leading dealers and banks in North America, today issued its 33rd report, which covers October 2020.

According to a New York Fed filing, the average daily volume in total over-the-counter (OTC) foreign exchange instruments (including spot, outright forward, foreign exchange swap and option transactions) was $933 billion in October 2020. This figure was up 5 percent from the ADV metric in the year before, which was reported at $889 billion.

In addition, the average daily volume was 22 percent higher than the $764 billion reported back in the April 2020 survey.

This semi-annual FX survey is taken every six months to provide the market with frequent information on the size and structure of the FX markets in their respective regions.

The uptick in the FX turnover in North America was broad-based and was reported across most currency pairs, instrument types, counterparty types and execution methods.

One of the primary culprits of the recent rise in October 2020 was attributed to a notable increase in swaps turnover, which came in at $330 billion and thus gained nearly 22 percent since the survey of October 2019.

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This was accompanied by another rise in turnover across spot trades by a factor of 4 percent from the previous year, which came in at $372 billion. Additionally, the average daily turnover in OTC options climbed by 24 percent in October 2020.

Meanwhile, the forwards volume was the only loser in this survey, having dropped by 4.6 percent, or $8.9 billion to $184 billion.

Euro, Yen, and Pound Retain Top Positions

In terms of specific FX pairs across the spot market, EUR/USD turnover rose 13 percent in the six months to October 2020, having yielded $85 billion per day compared to $75 billion in October 2019. USD/JPY was the next most commonly traded pair, totaling $46 billion, which is down -8 percent on a year-over-year basis from $50 billion.

Rounding out the top three trading pairs was the GBP/USD, which saw a 10 percent fall in daily volume by 6 percent from $43.6 billion in the 2019 survey, coming in at $38.6 billion.

The Foreign Exchange Committee (FXC) surveys provide market participants with developments in the North America FX market. In conducting the survey, the Federal Reserve of New York provides technical assistance in collecting and processing the data of respective respondents.

Similar surveys are also carried out in the UK, Singapore, Canada and Australia.

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