Emerging markets (EM) currency pair volumes returned to near pre-COVID-19 levels for the first time since the crisis in the latter three weeks of June, according to data from FXLIQUIDITY, provided by Mosaic Smart Data, CLS and MUFG. In the previous report from the free foreign exchange data analytics service, EM currencies had been at +11% of pre-crisis levels.
G10 currency volumes remain elevated, at 17% above pre-COVID-19 levels, although dropping from 23% above in the previous report. Major currency pairs including EURUSD, USDJPY and AUDUSD saw the biggest individual daily changes in volume with drops of between USD 2-3 billion per day.
Liquidity remains significantly below pre-crisis levels. G10 currencies are at 72% of their pre-crisis levels while EM currencies are at 64%, meaning that full currency recovery is still a long way off. In the meantime, spreads have remained stable with a small amount of widening observed during London trading hours in G10 currencies, with current spread elevation scores for G10 and EM currencies at 36% and 109% respectively.
FXLIQUIDITY harnesses CLS’s robust, aggregated FX market data, MUFG’s aggregated FX order book data and Mosaic Smart Data’s advanced analytics software.
FXLIQUIDITY Volume Elevation Matrix: 10th June to 1st July 2020
Matthew Hodgson, CEO and Founder of Mosaic Smart Data, said: “Emerging market currency pair volumes are decreasing and have nearly reached their pre-COVID-19 levels, perhaps indicating a stabilisation of market sentiment. Volumes are dropping across the board for G10 currencies and this could be a sign of things to come for liquidity as volumes decline in the northern hemisphere during summer holiday period. The biggest mover in liquidity score was USD/JPY moving to 80% of pre-COVID-19 liquidity and up from 70% in the prior period. The drop in volumes seen of between USD 2-3 billion per day corrected some directional bias, creating a more stable environment for improved liquidity scores.”
The recent data shows analysis of liquidity, volume and spread changes in 11 of the world’s major Latam, APAC and EM currencies between 10th June to 1st July 2020. This has been compared to a pre-COVID-19 baseline of 1st June 2019 to 20th February 2020, and a COVID-19 peak of 21st February to 20th March 2020.
To see all the graphics with Natural Language Generation (NLG) commentaries, see https://mosaicsmartdata.com/fxliquidity/