October 11, 201 0 

www.cls-group.com 

....... I/~ - Assured. 

~ ~ 

~/ I\~ 

® CLS and the CLS Logo are registered trademarks of CLS UK Intermediate Holdings Ltd © 201 0 CLS UK Intermediate Holdings Ltd. 
» Summary highlights 

» Guidance notes 

» FX traded volume and value reports 

» Tenor 

» Trading location (US compared to non-US activity) 

» Participant type (CLS Member compared to third party activity) 

» Market segmentation 

>> Payment bank location (US compared to non-US activity) 

» Currencies 

>> Product type 

» Settlement and funding 

c:L•..!·a;: 2 
» 90%, of the traded FX value matures within three months, and over 75o/o within a week. 

In terms of volume, 95o/o is spot or earlier. 

» Spot represents 95%> of average daily volumes, and 44% of the values. FX swaps 

represent 2% of volume, but 47% of the values, submitted to CLS. 

» USD is involved in 90% of FX trades by value, and 81 °/o by volume. 

» US institutions are involved in half of the traded FX volumes and approximately onethird of the values. 

» US CLS Members (7) are involved with settlement of the payments for nearly half of 

the FX volume, and more than half of the FX values. 

» CLS settles payments for the two currency legs of a single FX trade simultaneously 

and on a gross basis. In contrast, funding requirements of CLS Members are 

calculated on a multilaterally netted basis. The payment netting efficiency is on 

average 96°/o of the gross value of FX trades. This means that only 4% of the 

aggregate FX value processed in CLS is required for funding to complete settlement 

each day. 

c:u• -a~· 3 
1. For these reports, information in the CLS system has been accumulated and presented based on 

the trade date. The payment banks, CLS Members, responsible for processing the payments 

relating to the trades have identified the trade details in the submitted payment message to CLS. 

2. For these reports, BIS reporting conventions have been used: (i) trade date; (ii) traded, not 

settled basis; (iii) with respect to swap values, only the far leg is included in the values (to avoid 

double-counting); and (iv) activity in currencies add up to 200°/o (to account for each leg of an FX 

trade). 

3. Industry adopted "best practice" is for CLS Members to submit payment instructions to the CLS 

system within two hours of trade execution. Most payments instructions are submitted within 

thirty minutes. These instructions include the economic details of the trade, which are matched by 

the CLS system to ensure settlement of payments for a single trade is performed accurately, and 

stored in the CLS system. The statistics provided are compiled from this underlying trade 

information. 

4. Payment instructions do not include any formal transaction indicator (e.g. spot, forward, swap, 

exercised option). Product level breakdown for swap activity is derived through the identification 

of equal and opposite FX spot and forward trades in the CLS system. 

5. Payment instructions are submitted by CLS Members for FX trades that are proprietary, affiliated 

or unaffiliated (third party) transactions. Where the FX trades relate to third party activity, the 

trading entity (and location) may vary from that of the CLS Member. 

6. USD equivalent values are derived using a market rate (Reuters) between the USD and countercurrency. 

c:::• 1 ; 4 
5 
Average daily volume traded in April 2010 by tenor 

500,000 

400,000 

300,000 

200,000 

100,000 

0 

>- ~ - ~ (/) en ..c:: 

"0 

ro 0 0. 

0 Q) 

Q) Q) Q) ~ ~ -c ..... 0 ..... en 0 ~ Q) Q) 

- 0 ~ ~ E E ~ 

N (") ~ 0 II 

- v II II II 

v v v 

en (/) en ..c:: ..c:: .c. -c c c 

0 0 0 

E E E 

N (") <D 

II II II 

v v v 

Volume of all products 

- currulative % of volurre 

100% 

80% 

60% 

40% 

20% 

0% 

(/) ..... ..... 

.c. ro ro 

c Q) Q) >- >-

0 ~ ~ 

E II 1\ 

0> v 

II 

v 

C:::L•.J•a;: - For purposes of tenor, "spot" relates to the market convention for settlement, nonnally but not always two days. 

- Near leg of FX swaps included. 6 
Average daily Spot volume traded in April2010 by tenor 

5,000 

4,000 

3,000 

2,000 

1,000 

0 ,., ~ 8. .>< .. ., .<: .. ... .>< .X c ~ ., ... .. ., 0 

0 3: .. ., E 

E 3: 3: 

.2 • N .., u v • • v v v 

c:::u• ·s· 

.. .. ., .<: 

c .<: c .<: c 0 

E ~ ~ N .., co u 

v ~ e 

Spot volurre 

--cunUalive % of volurre 

100% 

80% 

60% 

0% .. :;; :;; .s:: 

c .. ,., .. ,., 0 

E 

a> • A v u 

v 

----

Average daily FX Swap volume traded in April 2010 by tenor - FX SWap volurre 

- - currulalive % of volurre 

8,000 100% 

6,000 75% 

4,000 50% 

2,000 25% 

0 

-- 0% ,., 3: 0 .X ., ., £ ., "' ., .. a; ... .. CD .>< .>< £ £ £ £ .. "C g a. CD CD CD c: Cl> CD 

.2 ., 3: .. CD ~ c: c: c: c: >- >-

~ 3: 3: 0 ~ 0 

N .., E E ~ II A 

.2 • N (") (I) 0> v v II l1 a v v v II II II II v v v v 

- Near leg of FX swaps included. 

Average daily Outright Forward volume traded in April2010 by tenor ~Forward voklrre 

--CUIT\Jiative% of volutre 

5,000 100% 

4,000 80% 

3,000 60% 

2,000 40% 

1,000 20% 

0 0% 

>- 3: 0 ""' "' "' £ ., "' "' "' Cll Co Co CD .X .X £ £ "0 e c. CD CD CD c: .c £ <: Cl> Cl> 

.9 0 "' 3: Cl> CD 0 c: c: c: >- >-

3: 3: E 0 0 0 0 

E N ..., E E E E II 1\ 

.9 II v v II II II N ..., <0 <» 

v v v II II II II v v v v 

- For purposes of tenor, "spor relates to the market convention for settlement, normally but not always two days. 7 
Average daily value traded in April201 0 by tenor 

(/) 1,250 c: 

~ 

co 

0 1,000 

(f) 

::J 

750 

500 

250 

0 

>- $: - .::t:. (/) (/) 

m 0 Q) £ .::t:. .::t:. 

"U 0 a. Q) Q) Q) c 

0 ..... (/) $: ..... Q) Q) 0 

- 0 $: $: E E ...... N (") ...... 0 II 

- v II II II 

v v v 

(/) (/) (/) 

.£: .£: .£: 

- - - c c c 

0 0 0 

E E E 

N (") c.o 

II II II 

v v v 

Value of all products 

- currulative % of value 

100% 

80% 

60% 

40% 

20% 

0% 

(/) 

._ ._ 

.£: m m 

- Q) Q) 

c >- >-

0 ...... ...... E II A 

0> v 

II 

v 

c:::l-~1==·· -For purposes of tenor, "spor relates to the market convention for settlement, normally but not always two days. 

• & - Near leg of FX swaps included. 8 
Average daily Spot value traded in April201 0 by tenor 

., 50 c: 

0 

ffi 

c 

(/) 

40 

::::> 

30 

20 

10 

0 

>- ""' ~ 0 "' .. :6 "' <I) "' CD E Cl. CD ""' ""' c: .., .c .c .c CD CD CD g 0 ., ~ CD CD 0 c c c ~ ~ E 0 0 0 E N (') E E E 

g u 

v N (') co u u II 

v v v u u u v v v 

c:::• 1 • 

-

Average daily FX Swap value traded in April2010 by tenor 

.. 500 c: 

.2 

iii 

c 400 (/) 

::::> 

300 

200 

Spot vakJe 

--cum.Aalive% of value 100 

0 

100% -- - - 60% 

>- ~ 0 .X CD CD .c CD "' CD g Cl. CD .X ""' .., CD CD CD c -5 -5 

g "' ~ CD CD 0 c: c: 0 ~ ~ E 0 0 

E N (") E E 

g II N (") v II II II 

v v v II II v v 

40% - Near leg ofFX swaps included. 

20% Average daily Outright Forward value traded in April2010 by tenor 

0% 50 ;;; ;;; .. "' c: .c CD CD .2 c >- >- 0 ~ E II 1\ c 40 

0> v en 

::::> II 

v 30 

20 

10 

0 

>- ~ 0 ""' ., ., -5 ., ., "' e a. CD .X "" c: .., .c .r. CD CD g :B c c 0 II) 

~ CD 0 

~ ~ E 0 0 

E N C') E E 

g II 

v II u II N (') 

v v v II II v v 

• .c "' c 

0 

E 

co 

u 

v 

II) 

-5 

c: 

0 

E 

co 

u 

v 

- FX Swap value 

--cu111Jiative % of value 

100% 

80% 

60% 

20% 

0% 

"' = = .c CD CD c >- >- 0 

E II 1\ 

0> v 

II 

v 

Outright Forward value 

--currulalive % of value 

100% 

80% 

60% 

0% 

.. = (ij 

:6 CD CD c: >- >- 0 

E u 1\ 

0> v 

II 

v 

-For purposes of tenor, "spof relates to the market convention for settlement, normally but not always two days. 9 
Average daily traded volumes by booking location 

300,000 

200,000 

100,000 

0 .... .... .... co co co co <» <» <» <» 

0 '=? 0 0 0 '=? 0 0 0 '=? 0 

~ :; .!. <': 

~ :; .!. .: .!. :; .!. u u "' Q. u ..., "' ..., 0 ..., ~ 0 0 ..., ..., ~ 

-·us· line includes all trades with at least one US counterparty 

C:::LI.J.Ei+' 

% 

us 

Non-US 

2007 

41 

58 

2010 

48 

52 

0 

~ 

<': 

"' ..., 

- us 

- Non-US 

0 0 

..- ~ 

~ :; 

..., <( 

Average daily traded volumes by booking location 

0 100,000 200,000 

54,017 

--~--

us 

168,186 

74.674 

Non-US 

183,314 

300,000 

Apr-07 10 

A pr- 10 
Average daily traded values by booking location 

"' 1,500 c: 

~ 

iD 

0 

(/) 

:::> 

1,000 

500 

0 ,... .... ,... 0 0 9 ...1. 

~ ;:) 0 ..., 0 

CZ) CZ) CZ) CZ) 

0 0 0 0 

C: 

~ ..... <3 ;:) Cl) ..., 0 ..., 

0> 0> 0> 0> 0 0 0 0 ...1. <3 C: ..!. ;:) Cl) 

~ ..., 0 ..., 

-uusD line includes all trades with at least one us counterparty 

% 2007 2010 

us 28 30 

Non-US 72 70 

c:l•..!-a;: 

- us 

- !Ibn-US 

0 0 0 T"" T"" T"" C: 

~ 3 "' ..., ..., 

Average daily traded values (USD billions) by booking location 

0 500 1,000 

307 

us 

438 

788 

Non-US 

1,006 

1 ,500 

A~-()7 11 

A~ 10 
Average daily traded volumes by participant type 

500,000 

400,000 

300,000 

200,000 

100,000 

~ "--

0 ,._ ,._ co co co co "' ,._ 9 9 0 9 9 0 0 C: 9 C: i "3 0 "3 0 "' ~ "' ..., 0 ..., ..., 0 ..., "' 0 "' 9 "' 0 

<3 .:. "3 

~ ..., 0 

Q.SM:!n'Der 

- Third Party 

- - 0 0 ~ 0 ~ 

C: i "3 "' ..., ..., 

- "CLS Member" includes trades where both parties are Members Average daily volumes by participant type 

c:L•.J·a;: 

% 

CLS Member 

Third Party 

2007 

84 

16 

2010 

92 

8 

CLSMember 

Third Parly 

0 100,000 200,000 300,000 400,000 

107,629 

321,603 

21,055 

29,811 

500,000 

Apr-07 12 

Apr-10 
Average daily traded values by participant type 

., 1,500 

,§ 

iii 

0 

tJ) 

:J 

1,000 

500 

0 .... .... 0 9 

~ "3 

...., 

.... co co co co 0 0 9 9 0 

i; c ~ "3 i; 

0 (II ...., 0 ...., 

(ll (ll (ll m 0 0 9 0 

c ~ "3 i; (II ...., 0 ...., 

a..s Werroer 

- Third Party 

0 0 0 ~ ~ ~ 

C: 

~ "3 as ...., ...., 

- "CLS Member" includes trades where both parties are Members 

% 2007 2010 

CLS Member 82 89 

Third Party 18 12 

c::• 1 • 

Average daily values (USD billions) by participant type 

0 500 

CLSWember 

200 

Third Party 

176 

1,000 

894 

1,268 

1,500 

Apr~7 13 

Apr-10 
Average daily traded volumes by counterparty type 

J! 

• 

1,000,000 

. 

u 

.ll 

E 

§ 

... 

E 10 0,000 ., 

E 

.il 

~ 

10,000 

1,000 

100 ..... ..... 

~ 

..... "' co co co 0 "' "' "' 0 0 0 9 0 0 0 

~ 0 ~ .L i; C: _._ i; C: .L 

Q. ::> CD a ::> CD Q. ::> 

<( --. 0 ..... <( --. 0 --. <( --. 

- "Bank" includes all inter-bank trades, "Fund" all trades with 

a fund as one counterparty, "Non-Bank Financial" all trades 

with a NBF counterparty, and "Corporate" all trades with a 

Corporate as one counterparty. 

% 2007 2010 

Bank 96 95 

Fund 1 1.5 

NBF 3 3.5 

Corporate 

c:• 1 • 

-

Bank 

- Fund 

Non-Bank Financial 

Corporate 

-

21 0 0 0 ~ ~ 

u c: ~ .L 

.. Q. ::> 

0 --. <( ..... 

Average daily volumes by counterparty type 

0 100,000 200,000 

123,241 

Bank 

1,022 

Fund 

1 5,611 

Non-Bank 4,316 

Financial 12,829 

116 

Corporate 317 

300,000 400,000 

332,655 

Apr-07 14 

Apr-10 
Average daily traded values by counterparty type 

Sl 

~ 10,000,000.000,000 ., 

.!l 

E 

.r::: 

"" ia 

j 

~ a; 

> 

0 

en 

:> 

1,000,000,000,000 

10,000,000,000 

1,000,000,000 

-

.... 

0 

~ 

:t 

~ 

.... .... "" "" 0 0 0 0 3 7; c -, 0 -, "' ~ 

"" "" 0> 0> 0> 

~ '=? 0 0 0 

3 u c. ~ ...L 

"' :I -, 0 -, -, 

- MBank" includes all inter-bank trades, "Fund" all trades with 

a fund as one counterparty, "Non-Bank Financial" all trades 

with a NSF counterparty, and "Corporate" all trades with a 

Corporate as one counterparty. 

% 2007 2010 

Bank 95 94 

Fund 1.5 3.5 

NSF 3 2 

Corporate 0.5 0.5 

c:• 1 • 

-

Bank 

- Fund 

Non-Bank Fnancial 

Corporate 

-.,....,-

0> 0 0 0 0 ~ i ..... 7; c. 3 

0 "' -, -, 

Average daily values (USD billions) by counterparty type 

0 500 1,000 

1,044 

Bank 

17 

Fund 52 

Non-Bank 29 

Financial 25 

5 

Corporate 8 

1,500 

1,359 

Apr-07 15 

Apr- 10 
Average daily traded volumes by payment bank's location 

400,000 

300,000 

200,000 

100,000 

0 

s 

..J. 

:> 

..., 

- "US" line includes all trades with at least one US Member 

% 2007 

US CLS Member 31 

Non-US CLS Member 69 

2010 

44 

56 

us a.s Merrber 

- Non-US a.s Merrber 

0 

t .., 

..., 

0 

~ 

0 

..., 

~ 

Average daily volumes by payment bank's location 

US CLS Member 

Non-USCLS 

Member 

0 100,000 

66,431 

62,260 

105,400 

200,000 300,000 

246,101 

Apr-07 16 

Apr-10 
Average daily traded values by payment bank's location 

~ 1,000 

m 

~ 750 

500 

250 

0 

-·us· line includes all trades with at least one US Member 

% 2007 2010 

US CLS Member 52 55 

Non-US CLS Member 48 45 

c::• t • 

-

US CLS llllerrber 

- Non-US CLS llllerrber 

0 0 

.., 

~ ; 

.., 

Average daily values (USD billions) by payment bank's location 

0 250 500 

568 

US CLS Member 

527 

Non-USCLS 

Member 645 

750 1,000 

794 

Apr-07 17 

Apr-10 
Share of average daily traded volume by currency 

100% 

80% 

60% 

40% 

20% 

0% 

~ I 

"'S 

...., 

~ ..!. 

0 

0 

~ I 

c 

ro 

...., 

g3 

..,!. 

0 

0 

8 I 

c 

ro 

...., 

8 

...!. 

:::J 

...., 

0 

...... I 

c 

ro 

...., 

USD 

- EUR 

JPY' 

GBP 

other 

0 

...... 

~ 

0 

...... I 

:::J 

...., 

c::I-!+Ei•-Total will add up to 200% as each trade involves two currencies. 

• + - "Other" refers to remaining currencies (AUD, CAD, CHF, DKK, HKD, ILS, KRW, MXN, NOK, NZD, SEK, SGD & ZAR). 18 
Average daily traded volumes by currency 

500,000 

400,000 

300,000 

200,000 

100,000 

0 

~ 

,__ ,__ 0 0 8 8 8 .!. ..1. is t .!. ..1. 

~ ~ "' ~ ~ ..., 0 ..., ..., 8 ~ ~ ~ ~ 

is c .!. 3 is 

0 ..., "' ~ ..., 0 

0 

..... 

c 

"' ..., 

USD 

- B.R 

Jp( 

GBP 

other 

0 0 .... .... .!. ..1. 

~ ~ ..., 

- "Other" refers to remaining currencies (AUD, CAD, CHF, DKK, HKD, ILS, KRW, MXN, NOK, NZD, SEK, SGD & ZAR), 

Average daily volwnes by currency 

0 100,000 200,000 300,000 

99,847 

USD 285,6 02 

54,463 

EUR 149,170 

37,146 

JPY 87,793 

22,239 

GBP 54,060 

43,696 

other 126,204 

400,000 

Apr-07 

Apr-10 

19 
Share of average daily traded USD value by currency 

100% 

USD 

- BJR 

JPY 

GBP 

other 

------~4#~-----~~~~------~------~~ ------------------------===---------------

80% 

60% 

40% 

20% 

0% ,...._ ,...._ ,...._ co (X) co co 0) 0) 0) 0) 0 0 0 

0 0 0 0 0 0 0 0 0 0 0 ...... ...... ...... .!.. ' .,!. ' I I .,!. I I ' .,!. I ' I 

:; () c ..... :; () c ..... :; () c .... :; 

~ ...., 0 ca ~ ...., 0 ca ~ ...., 0 ca ~ ...., ...., ...., ...., 

~~~ • - TotaiiNill add up to 2000/o as each trade involves two currencies. 

? -"Other" refers to remaining currencies (AUD, CAD, CHF, DKK, HKDI I LSI KRW, MXN, NOK, NZDI SEK, SGD & ZAR). 20 
Average daily traded values by currency 

~ 2 ,000 

m 

~ 1,500 

1,000 

500 

0 0 

-, 

~ 

uso - B..R 

0 

-, 

~ 

JP'I' 

GBP 

other 

- "Other" refers to remaining currencies (AUD, CAD, CHF, DKK, HKD, ILS, KRW, MXN, NOK, NZD, SEK, SGD & ZAR), 

Average daily values (USD billions) by currency 

0 500 1,000 

1.000 

USD 

426 

EUR 605 

185 

JPY 251 

204 

GBP 204 C::L•.J-:;:· 375 

other 531 

1,500 

1,297 

Apr-07 21 

Apr- 10 
Average daily traded volumes by product 

10,000 

1,000 ,.... ,.... ..... 0 9 0 

~ "'5 <3 ...., 0 

c:L• s· s·· 

<D CX) CX) <D 0 0 9 9 C: .:. "'5 0 .. ft ...., 0 ...., 

% 

Spot 

FX Swap 

Outright Forward 

(I) 

0 

C: 

.. ...., 

(I) 

0 

~ 

2007 

94.0 

3.1 

2.9 

a> 

9 

"'5 

...., 

(I) 

0 

<3 

0 

Spot 

- FXSwap 

Outright Forward 

0 

~ 0 ~ ~ 

C: 

~ -3 .. ...., ...., 

Average daily volumes by product 

2010 

94.6 

2.0 

3.4 

Spot 

FX.Swap 

Outright Forward 

0 100,000 200,000 300,000 400,000 500,000 

3,928 

7,082 

3 ,795 

11,746 

120.973 

332,587 

Apr-07 22 

Apr-10 
Average daily traded values by product 

.. 1,000 c 

,g 

if! 

0 

en 

:::> 750 

500 

250 

0 

..... ..... ..... 0 0 0 

i ...... 

~ ..:; ...., 0 

a) a) a) a) 

0 0 0 0 

c .!. ...... 

~ ..:; "' ~ ...., 0 ...., 

% 

Spot 

FXSwap 

Outright Forward 

0> a> 0 0 c .!. ...., "' ~ 

2007 

38 

53 

9 

a> 

0 

...... 

~ ...., 

0> 

0 

..:; 

0 

Spot 

- FXSWap 

Outright Forward 

0 0 0 

t ~ 

~ i ~ "' ...., ...., 

Average daily values (USD billions) by product 

0 250 500 

2010 413 

Spot 

44 

47 

9 

FXSwap 

104 

Outright Forward 

128 

750 1,000 

635 

sn 

681 

Apr-07 23 

Apr-10 
24 
Gross value of trades setUed in April 2010 and corresponding 

funding requirement resulting from multilateral net 

Gross value of trades settled 

• M.Jitilateral net funding requirerrent 

(/) 6,000 c:: 

~ 

ill 5,000 0 

(/') 

:::> 

4,000 

3,000 

2,000 

1,000 

0 

96% payment netting benefrt (liquidity efficiencies) 

• - - • • • • • • • • • • ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ 

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ 

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ~NM~~m~~mo~NM~~m~~mo~NM~~m~romo 

OOOOOOOOO~~~~~~~~~~NNNNNNNNNNM 

25