MT300 – FX traffic analysis

April 2014

Objective of project

• Develop FX market tracker

– Building on RMB tracker

• http://www.swift.com/products_services/renminbi_reports

– With emphasis on non-CLS currency pairs

• Cf BIS quarterly review https://www.bis.org/publ/qtrpdf/r_qt1312.htm

• FX and derivatives markets in emerging economies and the

internationalisation of their currencies

• FX market trends before, between and beyond Triennial Surveys

• Enable banks to overlay their own business on the general

market

• Identify currency gaps and anomalies

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SWIFT data source

• SWIFT can extract MT300 currency and value data at

aggregate level for market analysis purposes

– Strict confidentiality restrictions!

• SWIFT MT300 market share for non-CLS currency pairs

estimated at ~75%

– Based on BIS 2013 survey

– Hence MT300 data is an excellent proxy for market trends

• Following analysis driven by

– The number of MTs for given currency pairs

– The values contained therein

– And source and destination countries

• extracted from sending & receiving BICs

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Data cleansing

• Data cleansing applied to improve quality of data

– Convert monthly traffic to average daily, allowing for business

days per month

– Allow for 2 MT300s for Spot, Forward, NDF and 4 for FX

Swap

– Adjust values for New / Amend / Cancel

– Distinguish between:

• Inter and intra group trades

• CLS and non-CLS eligible currency pairs

• underlying product (Spot, forward, NDF, Swap)

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Areas of analysis

• Currency trends

– Location of trading – ‘corridors’

– Currency internationalisation – ‘offshore trading’

– Currency pairs

– Average value per trade

• Correlations between CLS & non-CLS trade volumes

• Correlation between trade volumes and external events

– Interest rate changes

– Monetary policy

• Trends by counterparty type

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Sample analytics

BIS triennial survey context

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MT300 - Foreign Exchange Confirmation (daily average volumes)

BIS survey month BIS survey month

TOP10 Emerging Currency pairs

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Inter Group: Daily average traffic volumes evolution – MT300 main NON CLS

currencies (TOP-15) - average (Q1-2011) = 100

TOP 5 growing currencies: INR, RUB, CNY, BRL, MYR

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Intra Group : Daily average traffic volumes evolution – MT300 main NON CLS

currencies (TOP-15) - average (Q1-2011) = 100

TOP 5 growing currencies: CNY, RUB, THB, BRL, CLP

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Turkish Lira: Daily number of trades – Daily average value of trades

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CLS data vs MT300 Correlations

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Correlation is 92 %

60

70

80

90

100

110

120

MT300 daily avg volume CLS daily average volume

Main countries and pairs for TRY

> 500

200 – 500

< 200

Daily Average MT300

Volume Traffic

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Main countries and pairs for BRL

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Thank you!