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FX volumes drop substantially across all currency groups, as market recovery slows

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FX volumes dropped by between 10 and 25 per cent across all currency groups last week (22-26 June), according to data from FXLIQUIDITY, provided by Mosaic Smart Data, CLS and MUFG. Volumes remained elevated over the previous two weeks (8th to 19th June), but these advances were offset by last week’s decline. This led to FXLIQUIDITY’s three-week average tracker staying flat over the period.

 
The data indicates that all currency groups experienced a sharp drop in volumes over the past week. The EUR/USD pair has suffered the greatest decrease in absolute terms, with a drop of 11 per cent, equating to USD5.5 billion less trading per day. However, GBP/USD volumes held relatively steady, with just a 3 per cent drop.
 
Meanwhile, currency spreads still appear ‘stuck’ with similarly sized spreads since the peak of the coronavirus outbreak. G10 spreads are 35 per cent wider than before the coronavirus crisis (before 21 February) while emerging markets are 113 per cent wider over the three-week period measured by FXLIQUIDITY (3-24 June 2020).
 
FXLIQUIDITY harnesses CLS’s robust, aggregated FX market data, MUFG’s aggregated FX order book data and Mosaic Smart Data’s advanced analytics software.
 
Matthew Hodgson, CEO and Founder of Mosaic Smart Data, says: “The recovery of the FX market, following the peak of the Covid-19 pandemic, has been slow. This most recent set of findings shows that we are still far from seeing the market return to pre-COVID normality, notably with volumes falling across all currencies in the last week. In addition, liquidity recovery has completely stalled across the market and it shows that business as usual remains elusive. With uncertainty looking set to continue, the recovery of the market is still a long way off.”
 
The recent data shows analysis of liquidity, volume and spread changes in 11 of the world’s major Latam, APAC and EM currencies between 3-24 June 2020. This has been compared to a pre-Covid-19 baseline of 1 June 2019 to 20 February 2020, and a Covid-19 peak of 21 February to 20 March 2020.

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