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SWIFT support for the FX Market – Measuring your FX activity share by instrument

SWIFT support for the FX Market – Measuring your FX activity share by instrument

29 November 2018

The newly enriched FX data service from SWIFT uses real transactions to measure activity share and competitive position on an instrument-by-instrument basis.

  • FX market liquidity providers lack a reliable, transaction-based source of data
  • Existing information sources lack the granularity needed for informed management decision making
  • The updated SWIFT FX-PI service enables users to measure activity share by instrument
  • FX-PI uses data from millions of confirmation messages across a range of recent transactions
  • The service is initially available in the form of a secure monthly PDF or CSV report

Getting to the heart of the problem

FX market liquidity providers have traditionally relied on surveys to find out how effectively they are operating. However, a common challenge with this approach is getting reliable and up-to-date facts about FX transactions that have already occurred. 

If you are running an FX business you want to know how well you are performing in each instrument, in each geography and among each client group, as well as benchmark against your peers. Ideally, you should be able to do this benchmarking on the basis of the largest, deepest and most recent set of transactional data as frequently as possible – because your relative position changes all the time. 

The SWIFT data set is truly a representative sample of global activity in the FX markets.

The best-known survey currently on the market is the triennial survey of foreign exchange and OTC derivatives trading conducted by the Bank for International Settlements (BIS). There are also surveys based on underlying trade data. Settled transactions are collected from asset managers and corporates, broken down in a variety of ways, and accompanied by qualitative feedback on service levels. 

Another major source of FX market data is provided by the CLS. This covers the FX spot, swap and outright forward markets in aggregate and at a currency pair level for all trade data for the supported 18 currencies submitted in operation of their settlement and aggregation services.   

Solutions of this kind help banks understand whether or not their customers appreciate what they do. It also provides them with useful ammunition for marketing and communications. However, they fall short in that they cover only a fraction of the market. The data is collected once and is always out-of-date and backward-looking.

SWIFT FX Performance Insights – meeting the challenge

To enable FX liquidity providers to understand their competitive position more clearly, SWIFT has launched an enhanced version of our FX Performance Insights (FX-PI) service

FX-PI is not based on a survey, but on the MT 300 FX confirmation messages sent directly over SWIFT. This data enables firms to gauge their share of the market in terms of:

  • Clients (banks, broker-dealers, central banks, asset managers, corporates)
  • Currency pairs (there are more than 900) and 
  • Transaction volumes (in a market with rising volumes, some will grow their market share faster than others).

Above all, it allows FX providers to measure their activity share on SWIFT by instrument (spot, forwards and swaps).

 Several million FX messages are carried by SWIFT every day between up to 10,000 users. One in five of these is a real money end-using corporate or asset manager.

The full picture

For the first time it is now possible for SWIFT to show the relative percentage breakdown of instrument type for the global FX market. The following tables compare the breakdown estimated by the BIS for the market in April 2016, to what is now available from SWIFT’s own metrics, and to those publicly published by CLS in their monthly market reports.

Foreign exchange instrument amount values percentage share
FX Global Market by Instrument BIS triannual survey (04/2016) CLS 10/2018¹  SWIFT 10/2018 Combined SWIFT & CLS 10/2018
FX forwards & non-deliverable forwards 13% 5% 17% 11%
FX spot 33% 28% 37% 32%
FX swaps 47% 68% 41% 54%
FX options / other 5% N/A 6% 3%

It is interesting to note that the combined SWIFT and CLS percentage share by instrument correlates closely to the shares published by BIS back in 2016. SWIFT estimates that this combined share equates to approximately two thirds of the daily traded value of the entire global FX marketplace.

In addition, we can now show the underlying net number of trade transactions behind each instrument type as shown in the table below.

Foreign exchange instrument transactions and percentage share confirmed over SWIFT
FX Global Market by Instrument

SWIFT 08/2018
Number of Transactions per Day (K)
(Adjusted net figures²)

Percent of SWIFT Total
FX forwards & non-deliverable forwards 60 17%
FX spot 268 76%
FX swaps 22 6%
FX options / other 4 1%
Total SWIFT 08/2018 354 100%

How can I access the data?

At present, the FX-PI reports are available in PDF or CSV form only, delivered by secure email on a monthly basis. 

The reports include indications of areas of relative weakness and strength, giving users reliable information to make management decisions about which currencies, countries, regions and instruments they need to reinforce or leave alone.

A select number of firms are currently working with SWIFT under a Design Partner approach to identify and maximise the value in this dataset. The enhanced FX-PI service will be available early next year, and from the middle of next year users will also be able to access and download the enhanced FX data information online via the SWIFT Watch Banking Analytics Premium Solution

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¹ CLS Analytics: Monthly Market Report - October 2018 available via the CLS website
² Adjusted net figures mean that all total numbers of confirmations are first divided by two as normally there is an exchange of confirmations by two parties for each trade, and then Swaps and Non-Delivery Forwards are further divided by two to take account of just the closing leg of these types of instruments.