FX Volume Survey
The Survey of North American Foreign Exchange Volume, launched in October 2004, provides the market with frequent information on the size and structure of foreign exchange activity in North America.
In collaboration with the Foreign Exchange Joint Standing Committee in London, the FXC agreed to collect one month's foreign exchange turnover data covering customer, product, currency pair, and execution data in April and October. Twenty-one leading institutions active in the North American market participated in the most recent survey effort.
April 2023 Survey
Key findings from the 38th Survey of North American Foreign Exchange Volume include:
- Average daily volume in total over-the-counter (OTC) foreign exchange instruments (including spot, outright forward, foreign exchange swap, and option transactions) was $918.4 billion in April 2023.
- Average daily volume decreased from the October 2022 survey in spot, swap, and OTC options by 10.6, 1.9, and 19.4 percent, respectively, while forward transactions increased by 3.2 percent.
- Turnover declined across all counterparty types with volumes reported by “Reporting Dealers” down 7.1 percent, “Other Dealers” down 9.8 percent, “Other Financial Customers” down 2.6 percent, and “Nonfinancial Customers” down 2.4 percent since October 2022.
- Since the October 2022 survey period, the largest increases in volume across all instruments by currency pair occurred in USD/HKD ($4.0 billion increase) and USD/NZD ($3.0 billion increase). Year-over-year, USD/MXN saw the largest increase in transaction value for a single currency pair, with a yearly total increase of $8.3 billion across all instruments. The GBP/USD pair saw the largest decrease in volume on a survey-over-survey basis, declining by $20.3 billion in average daily volume, while EUR/USD saw the largest decline year-over-year ($16.6 billion).
Bank of America
Bank of Montreal
Canadian Imperial Bank of Commerce
Credit Agricole Corporate and Investment Bank
Deutsche Bank AG
Goldman Sachs & Co.
HSBC Bank USA
JP Morgan Chase Bank
Royal Bank of Canada
State Street Corporation
Sumitomo Mitsui Banking Corporation
Wells Fargo Bank N.A.
The Survey of North American Foreign Exchange Volume is designed to measure the level of turnover in the foreign exchange market.
Questions concerning the data can be directed to:
Justin McAvoy, Team Leader of the Government Securities Dealers Unit
The Survey of North American Foreign Exchange Volume is designed to measure the level of turnover in the foreign exchange market. The survey defines foreign exchange transactions as spot, forwards, swaps, and options that involve the exchange of two currencies. Turnover is defined as the gross value in U.S. dollar equivalents of purchases and sales entered into during the reporting period. The data cover a one-month period in order to reduce the likelihood that very short-term variations in activity might distort the data.
Turnover is measured in terms of nominal or notional amount of the contracts. No distinction is made between sales and purchases (for example, a purchase of $3 million against the U.S. dollar and a sale of $2 million against the U.S. dollar would amount to a gross turnover of $5 million). Nondollar amounts are converted using the prevailing exchange rate on the transaction date. Direct cross-currency transactions are counted as a single transaction.
Transactions passing through a vehicle currency are counted as two separate transactions against the vehicle currency (for example, if a bank sells $1 million against the euro and then uses the euro to purchase Japanese yen, the reported turnover would be $2 million). Transactions with variable nominal or notional principal amounts are reported using the principal amount on the transaction date.
The data collected for the survey reflect all transactions entered into during the reporting month, regardless of whether delivery or settlement is made during the month.
Average daily turnover was obtained by dividing the total volume by the number of trading days in the month. There were twenty-one reporting dealers in the April 2023 survey.
The survey covers all transactions that are priced or facilitated by traders in North America (United States, Canada, and Mexico). Transactions concluded by dealers outside of North America are excluded even if they are booked to an office within North America. The survey also excludes transactions between branches, subsidiaries, affiliates, and trading desks of the same firm.
The survey is divided into separate schedules by product type. If a transaction is composed of several component instruments, each part in principle is reported separately, if feasible.
Spot Transactions are single outright transactions that involve the exchange of two currencies at a rate agreed to on the date of the contract for value or delivery within two business days, including U.S. dollar-Canadian dollar (USD-CAD) transactions delivered within one day).
Outright Forwards involving the exchange of two currencies at a rate agreed to on the date of the contract for value or delivery at some time in the future (more than one business day for USD-CAD transactions or more than two business days for all other transactions). This category also includes forward foreign exchange agreement transactions (FXA), non-deliverable forwards, and other forward contracts for differences.
Foreign Exchange Swaps involve the exchange of two currencies on a specific date at a rate agreed to at the time of the conclusion of the contract, and a reverse exchange of the same two currencies at a date further in the future at a rate agreed to at the time of the contract. For measurement purposes, only the long leg of the swap is reported so that each transaction is recorded only once.
Currency Options are over-the-counter contracts that give the right or the obligation—depending upon if the reporter is the purchaser or the writer—to buy or sell a currency with another currency at a specified exchange rate during a specified time period. This category also includes exotic foreign exchange options such as average rate options and barrier options.
The survey covers four types of counterparties:
- reporting dealers participating in the survey,
- other foreign exchange dealers that do not participate in the survey,
- other financial customers that are end-users in the foreign exchange market, and
- nonfinancial customers for all other counterparties not defined above.
Transactions between two reporting dealers are reported twice, once by each dealer. The total figures are adjusted to avoid the double counting of such trades.
Turnover reported in forwards and swaps is further broken down by original contractual maturity using the following three splits:
- up to one month, including contracts having an original maturity of less than thirty-one calendar days,
- one month to one year, including contracts having an original maturity of thirty-one calendar days but no more than one year, and
- more than one year, including contracts with an original maturity of greater than one year.
Turnover reported for options are broken down by maturity using the following three splits:
- up to one month, including options with an expiration date of less than thirty-one days.
- one to six months, including options with expirations of 31 to 180 calendar days.
- more than six months, including options with expirations of more than 180 calendar days.
All transactions are also reported according to the execution method used to settle the transaction. Execution Method is broken down into the following five categories:
- interbank direct transactions between two dealers where both dealers participate in the semi-annual survey and are not intermediated by a third party (for example, executed via direct telephone communication or direct electronic dealing systems such as Reuters Conversational Dealing),
- customer direct transactions between the reporting dealer and customers or nonreporting dealers that are not intermediated by a third party (for example, executed via direct telephone communication or direct electronic dealing systems such as Reuters Conversational Dealing),
- electronic broking systems transactions that are conducted via an automated order matching system for foreign exchange dealers (for example, EBS and Reuters Matching 2000/2),
- electronic trading systems transactions that are conducted via multibank dealing systems and single-bank proprietary platforms which are generally geared toward customers (for example, FXAll, Currenex, FXConnect, Globalink, and eSpeed), and
- Voice Broker transactions that are conducted via telephone communication with a foreign exchange voice broker.
In addition, a separate item catching the total number of trades is reported for each currency pair and instrument type.
The London Foreign Exchange Joint Standing Committee
Singapore Foreign Exchange Market Commitee
Tokyo Foreign Exchange Market Committee
Canadian Foreign Exchange Committee
Australian Foreign Exchange Committee