CLS FX trading activity September 2018

18 October 2018

In September 2018:

The average daily traded volume submitted to CLS was USD1.729 trillion up 7.7 percent from USD1.605 trillion in August 2018.

Average daily traded volume submitted to CLS by product (USD trillion)*

Sept 2017

Aug 2018

Sept 2018

Swap

1.137

1.097

1.199

Spot

0.510

0.425

0.447

Forward

0.102

0.083

0.083

Total average daily traded volume submitted to CLS (USD trillion)

1.750

1.605

1.729

* Due to rounding, numbers presented throughout the document may not add up precisely to the totals provided and percentages may not precisely reflect the exact figures.

About CLS data

The data provided is based on executed trade volumes submitted to CLS. It is adjusted to equate to the same reporting convention used by the Bank for International Settlements (BIS) and the foreign exchange committees’ semi-annual FX volume surveys. These surveys only report one side of any trade, and only one of the four legs of FX swap trades, to avoid double counting the total amount of trades.

In September 2018, CLS enhanced its methodology for calculating the average daily traded volume data to reflect the impact of the FX compression service, triReduce CLS FX, on trade volumes submitted to CLS. This has resulted in a non-material change to the average daily traded FX forward volume figures of - 0.5%. The data above reflects this calculation.

Data is available for subscription through Quandl showing activity by hour, day or month. The data reports contain executed trade volume in terms of both the number of trades and the total value in USD. 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

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