MT300 – FX traffic analysis
April 2014
Objective of project
• Develop FX market tracker
– Building on RMB tracker
• http://www.swift.com/products_services/renmin...
SWIFT data source
• SWIFT can extract MT300 currency and value data at
aggregate level for market analysis purposes
– Stri...
Data cleansing
• Data cleansing applied to improve quality of data
– Convert monthly traffic to average daily, allowing fo...
Areas of analysis
• Currency trends
– Location of trading – ‘corridors’
– Currency internationalisation – ‘offshore tradin...
Sample analytics
BIS triennial survey context
FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT
PERMISSION - SWIFT © 2014
7
MT...
TOP10 Emerging Currency pairs
FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT
PERMISSION - SWIFT © 2014
8
Inter Group: Daily average traffic volumes evolution – MT300 main NON CLS
currencies (TOP-15) - average (Q1-2011) = 100
TO...
Intra Group : Daily average traffic volumes evolution – MT300 main NON CLS
currencies (TOP-15) - average (Q1-2011) = 100
T...
Turkish Lira: Daily number of trades – Daily average value of trades
FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITH...
CLS data vs MT300 Correlations
FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT
PERMISSION - SWIFT © 2014
12...
Main countries and pairs for TRY
> 500
200 – 500
< 200
Daily Average MT300
Volume Traffic
FX BI – CONFIDENTIALITY: NO DIST...
Main countries and pairs for BRL
FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014
...
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MT300 Data Analysis

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Presentation from SWIFT Compliance Day 2014 in Frankfurt

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MT300 Data Analysis

  1. 1. MT300 – FX traffic analysis April 2014
  2. 2. 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 2 FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014
  3. 3. 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 3 FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014
  4. 4. 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) FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 4
  5. 5. 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 5 FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014
  6. 6. Sample analytics
  7. 7. BIS triennial survey context FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 7 MT300 - Foreign Exchange Confirmation (daily average volumes) BIS survey monthBIS survey month
  8. 8. TOP10 Emerging Currency pairs FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 8
  9. 9. 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 FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 9
  10. 10. 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 FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 10
  11. 11. Turkish Lira: Daily number of trades – Daily average value of trades FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 11
  12. 12. CLS data vs MT300 Correlations FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 12 Correlation is 92 % 60 70 80 90 100 110 120 MT300 daily avg volume CLS daily average volume
  13. 13. Main countries and pairs for TRY > 500 200 – 500 < 200 Daily Average MT300 Volume Traffic FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 13
  14. 14. Main countries and pairs for BRL FX BI – CONFIDENTIALITY: NO DISTRIBUTION ALLOWED WITHOUT SWIFT PERMISSION - SWIFT © 2014 14
  15. 15. Thank you!

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