October 11, 2010 

www.cls-group.com 

........._ I/~ - Assured. _,. ~ 

~/ I\~ 

® CLS and the CLS Logo are registered trademarks of CLS UK Intermediate Holdings Ltd © 2010 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:::u• -a 2 
» 90°/o of the traded FX value matures within three months, and over 75% within a week. 

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

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

represent 2% of volume, but 4 7% of the values, submitted to CLS. 

» USD is involved in 90% of FX trades by value, and 81% 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% 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:LJI +5~ 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:l 1 e 

4 
5 
Average daily volume traded in April 2010 by tenor 

500,000 

400,000 

300,000 

200,000 

100,000 

0 

>- :l: - .::t:. en en ..c co 0 Q) .::t:. .::t:. 

"'0 0 0.. Q) Q) Q) -c ..... 0 ..... en 0 :l: Q) Q) 

- 0 :l: :l: E E ...... N (") ...... .9 II 

v II II II 

v v v 

en en en ..c ..c £ - - c c c 

0 0 0 

E E E 

N (") <.0 

II II II 

v v v 

Volume of all products 

- currulative % of volume 

100% 

80% 

60% 

40% 

20% 

0% 

en ..... ..... 

..c co co 

c Q) Q) >- >-

0 ...... ...... E II /\ 

0> v 

II 

v 

C:::L•.J-Ei•(/1) - For purposes of tenor, "spot" relates to the market convention for settlement, normally but not always two days. 

- Near leg of FX swaps included. 6 
Average daily Spot volume traded in April201 0 by tenor - Spot volurre 

--cumulative% of volurre 

5,000 100% 

4,000 80% 

3,000 60% 

2,000 40% 

1,000 20% 

0 0% >. 3: 0 ""' "' "' .s:: "' "' "' "' 0; 0; "' Q) ""' ""' "E .s:: .s:: .s:: .s:: ., E 0. Q) Q) Q) 0 "E "E "E "E Q) Q) 

.B 0 "' 3: Q) Q) E 0 0 0 0 >. >. 

E 3: 3: E E E E 

.B II N (") N (") co m II A 

II v v II II v II II II II v v v v v v 

c:u• -= 

Average daily FX Swap volume traded in April2010 by tenor - FX Swap volurre 

--cumulative % of volurre 

8,000 100% 

6,000 75% 

4,000 50% 

2,000 25% 

0 

-- 0% 

>- 3: 0 ""' "' "' = "' "' "' "' ~ ~ "' Q) ""' ., -" g c. Q) Q) Q) c: = = = = Q) Q) 

.9 "' 3: Q) Q) 0 c: c: c: c: >. >- 0 3: 3: E 0 0 0 0 

E N "' E E E E II 

.9 II N " "' co 0') v v II II II v v v II II II II v v v v 

- Near leg of FX swaps included. 

Average daily Outright Forward volume traded in April201 0 by tenor - Outright Forward volume 

--cumulative % of volurre 

5,000 100% 

4,000 80% 

3,000 60% 

2,000 I 40% 

1,000 I I I I 20% 

0 

- 0% 

>. 3: 0 -"' "' "' .s:::: "' "' "' "' Cii Cii "' Q) -"' -"' 'E = = = = "0 e c. Q) Q) Q) Q) Q) 

.E 0 "' 3: Q) Q) 0 c: c: c: c: >- >-

3: 3: E 0 0 0 0 

E N ('") E E E E II 

.9 " II v v II II II N ('") co "' v v v II II II II v v v v 

- For purposes of tenor, "spot" relates to the market convention for settlement, normally but not always two days. 7 
c::: 

Average daily value traded in April 2010 by tenor 

(/) 1,250 c 

£l 

iii 

0 1,000 

(/) 

::::> 

750 

500 

250 

0 

>- ~ - ~ (/) (/) 

co 0 Q) ~ ~ £ 

"0 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 

-c -c c - 0 0 0 

E E E 

N ('() <.0 

II II II 

v v v 

Value of all products 

-cumulative % of value 

100% 

80% 

60% 

40% 

20% 

0% 

(/) ..... ..... co co ..c 

- Q) Q) 

c >- >-

0 "<'""" "<'""" 

E II A 

0'> v 

II 

v 

- For purposes of tenor, "spot" relates to the market convention for settlement, normally but not always two days. 

- Near leg of FX swaps included. 8 
I 

Average daily Spot value traded in April 201 0 by tenor 

"' 50 c 

~ 

l'li 

0 40 Cll 

::::> 

30 

20 

10 

0 

>- :: 0 "' e -o c. .9 0 t/) 

E 

.9 

-"' t/) t/) .r:: Q) 

Q) -"' Q) -"' Q) c 

:: Q) Q) 0 

;;: ;;: E 

II N ("") 

v II II II v v v 

t/) t/) t/) 

£ .r:: £ c: c c: 0 0 0 

E E E 

N ("") <D 

II II II v v v 

Average daily FX Swap value traded in April2010 by tenor - FX Swap value 

--currulative % of value 

"' 500 100% c 

~ 

In 

0 400 80% Cll 

::::> 

300 60% 

200 40% 

- spot value 

--currulative % of value 100 20% 

100% - • 0 - - - 0% 

>- :: 0 -"' t/) t/) .r:: t/) t/) t/) t/) (ij (ij 

80% "' e c. Q) -"' -"' c £ £ £ £ Q) Q) -o Q) Q) Q) 

.9 0 t/) :: Q) Q) 0 c: c: c: c: >- >-

:: :: E 0 0 0 0 

E N ("") E E E E II 

.9 II N ("") <D " "' v 60% v II II II v v v II II II II v v v v 

4o% -=-!\lear leg ofFX swaps mclu<leC. 

20% Average daily Outright Forward value traded in April201 0 by tenor - Outright Forward value 

--currulative% of value 

0% 

t/) (ij (ij .r:: Q) Q) 

c >- >- 0 

E II " "' v 

II 

"' 50 c 

~ 

l'li 

0 40 Cll 

::::> 

100% 

80% 

v 30 60% 

20 40% 

10 

0 I 20% 

I -- - 0% 

>- :: 0 -"' (/) t/) 

"' Q) -"' -"' -o e c. Q) Q) Q) 

.9 0 t/) :: Q) Q) 

E :: ;;: 

.9 II N ("") 

v II II 

.r:: t/) t/) t/) t/) (ij (ij c .r:: .r:: .r:: .r:: Q) Q) 

0 c c c c >- >- E 0 0 0 0 

E E E E II " II N ("") <D "' v 

v v v II II II II v v v v 

- For purposes of tenor, "spot'' 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 

.... .... .... 00 00 00 00 

9 0 0 0 9 0 "' 0 "' 0 "' 9 "' 0 0 ..!. C: ..!. C: ..!. l5. :; .!. :; 

~ :; t) t) til 

~ t) til <l: ...., 0 ...., ...., 0 ...., ...., 0 

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

C:LJI •a 

% 

us 

Non-US 

2007 

41 

58 

2010 

48 

52 

- us 

- Non-US 

0 0 0 ~ ~ ~ 

C: 

~ :; ' til ...., ...., 

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 

~ Apr-10 
Average daily traded values by booking location 

(/) 1,500 1:: 

~ 

as 

0 

(j) 

::J 

1,000 

500 

0 ,.._ ,.._ 0 0 

~ ...L 

::J 

--, 

(X) ,.._ (X) (X) (X) 

9 0 0 0 0 

t3 -5 t5 C: .!. 

0 "' ~ --, --, 0 

en en en en 0 0 0 0 ...L C: .,!. 

~ ::J (.) "' --, --, 0 

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

% 2007 2010 

us 28 30 

Non-US 72 70 

- us 

- Non-US 

0 0 0 ~ ~ ~ 

C: 

~ -5 "' --, --, 

Average daily traded values (USD billions) by booking location 

0 500 1 ,000 

307 

us 

438 

Non-US 

1,006 

1,500 

Apr-07 11 

Apr-10 
Average daily traded volumes by participant type - CLSMember 

- Third Party 

500,000 

400,000 

300,000 

200,000 

100,000 

0 

~ - '--- - - t'- t'- 00 0 0 00 00 00 0'> 0'> 0'> 0'> t'- 0 C? 0 0 0 0 0 0 0 C? 0 ~ ~ 0 <'; C: 

~ "5 <'; C: ~ :; <'; C: 

~ :; 

~ :; 

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

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

C:LJI +5 

% 

CLS Member 

Third Party 

2007 

84 

16 

2010 

92 

8 

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

107,629 

CLS Member 

321,603 

Third Party 

500,000 

Apr-07 12 

Apr-10 
Average daily traded values by participant type 

"' 1,500 c 

g 

iii 

Cl 

CJ) 

:::;) 

1,000 

500 

0 

.... .... .... 0 9 0 

t; ~ "S 

-, 0 

"" "" "" "" 0 9 9 0 

C: ..!. 

~ "S () ro -, -, 0 

- CLS tvlember 

- Third Party 

"' "' "' "' 0 0 0 0 0 9 0 ~ ~ 

C: t; C: 

~ "S ~ "S ro -, 0 ro -, -, -, 

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

C:::l•..!-E5•~ 

% 

CLS Member 

Third Party 

2007 

82 

18 

2010 

89 

12 

Average daily values (USD billions) by participant type 

0 500 

CLS Member 

Third Parly 

1,000 

894 

1,268 

1,500 

Apr-07 13 

Apr-10 
Average daily traded volumes by counterparty type 

~ 1,000,000 .. 

0 

., 

.!.! 

E 

~ .. 

C) 100,000 .2 

(I) 

E 

.2 

~ 

10 ,000 

100 .... .... .... CXl CXl CXl CXl m m m 0 0 0 0 0 0 0 0 0 0 

.!. ...L i; C: .!. ...L i; C: .!. ...L 

::J ::J ::J c. --, 0 .. c. --, 0 .. c. --, <( --, <( --, <( 

- "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. 

% 

Bank 

Fund 

NBF 

Corporate 

2007 

96 

1 

3 

2010 

95 

1.5 

3.5 

--Bank 

- Fund 

Non-Bank Financial 

- corporate 

m 

0 0 0 ~ 

i; c: .!. ...L 

::J 

0 "' c. --, --, <( 

Average daily volumes by counterparty type 

0 100 ,000 200,000 

123,241 

Bank 

300 ,000 

L---------------------------~ 

1,022 

Fund 

1 5,611 

Non-Bank 

4 ,3 16 

Financial 1 12,829 

116 

Corporate 317 

400,000 

332,655 

Apr-07 14 

Apr-10 
Average daily traded values by counterparty type 

..S1 rl 10,000,000,000,000 ---------------- -- (/) 

0 

.E 

.<: 

'E 

- Bank 

- Fund 

Non-Bank Financial 

- Corporate 

"' 

~ 1,000,000,000,000 ...r..L."""""'~"""-~-:-~ ...... ~-~-~:::::-::-~ ............. ::: ........ __ ........ ~-~ ............ ~~"'::'"'::'~-::::~ Q) 

:::> 

a; 

> 

0 

(/) 

::> 100,000,000,000 

10,000,000,000 

1,000,000,000 

-

1'-

0 

i 

1'- 1'- CXl 0 0 0 

-5 "i> c ..., 0 "' ..., 

CXl CXl CXl 0> 0> 0> 

0 0 0 0 0 0 

i -5 "i> c i ...1. 

:::> ..., 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 95 94 

Fund 1.5 3.5 

NBF 3 2 

Corporate 0.5 0.5 

0> 0 0 0 0 "<"" i :;:: "i> c :::> 

0 "' ..., ..., 

~ 

Average daily values (USD billions) by counterparty type 

0 500 1,000 

1,044 

Bank 

~----------------------------~ 17 

Fund 

1 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 

t; 

~ 

:J 

...., 

g:j 

~ 

:J 

...., 

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

% 

US CLS Member 

Non-US CLS Member 

2007 

31 

69 

2010 

44 

56 

8 

~ 

:J 

...., 

- US CLS Member 

- Non-US CLS Member 

8 

8 0 

...., 

~ 0 

~ ~ ~ 

:J 

...., 

Average daily volumes by payment bank's location 

US CLS Member 

Non-US CLS 

Member 

0 100,000 

66,431 

62,260 

r 

105,400 

~ & l -I .,_. -) 

200,000 300,000 

246,101 

Apr-07 16 

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

~ 1,000 

~ 

~ 750 

500 

250 

0 

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

- US CLS l\llember 

- Non-US CLS l\llember 

8 

8 0 

...., 

~ 0 

~ 

0 

...., 

~ 

Average daily values (USD billions) by payment bank's location 
Share of average daily traded volume by currency 

100% 

80% 

60% 

40% 

20% ..... 

0% 

I'- I'- I'- fg 00 fg 00 

0 0 0 0 0 I I ..!,. I I I ..!,. ,_ "'S () c ,_ "'S () 

~ -, 0 Cll ~ -, -, 0 

- 8 0') 

0 8 8 I ..!.. ...!. ..!,. c :::J () Cll 

~ -, 0 ...., 

-

0 

...... I 

c 

Cll 

...., 

- uso - EUR 

- JPY 

GBP 

other 

~___. 

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

..!.. I 

"'S 

~ ...., 

~~~J-Eit 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 

t; ,.._ ,.._ a) a) a) 0 0 0 0 0 ~ .!. s u C:: .!. s u ~ ctl ~ 0 ~ ~ ~ 0 

en en en 0 0 0 8 

C:: i s ..!. 

ctl u 

~ ~ 0 

0 

..... 

C:: 

ctl 

~ 

0 

..... 

.!. 

- uso - EUR 

- JPY 

GBP 

other 

0 

..... 

::; 

~ ~ 

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

Average daily volumes by currency 

USD 

EUR 

JPY 

GBP 

other 

0 100,000 200,000 300,000 

99,847 

285,602 

~--------------------------~ 

--........ 54,463 

22,239 

54,060 

43,696 

126,204 

400,000 

Apr-07 

Apr-10 

19 
Share of average daily traded USD value by currency 

100% 

- uso - EUR 

- JPY 

GBP 

other 

------~~~------~~ ~------~----~~~ --~---------------------~-------------- 80% 

60% 

40% 

20% 

0% 

['... ['... ['... co co co co (j) (j) (j) (j) 0 0 0 

0 0 0 0 0 0 0 0 0 0 0 ...... ...... ...... I I ..!. I I I ..!. I I I ..!. I I I 

,__ "'5 () c ,__ "'5 () c ,__ "'5 () c ,__ "'5 

~ ....., 0 co ~ ....., 0 co ~ ....., 0 co ~ ....., ....., ....., ....., 

_._. e - 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). 20 
Average daily traded values by currency 

~ 2 ,000 

~ 

~ 1,500 

1,000 

500 

0 

~ --6. i£..fo ---. ¥ • .,::.. LU-~ ~ 

1:; 1:; 1:; :g :g :g :g ~ 

~ ~ 8 ~ ~ ~ ..!. ..., ..., ..., ~ 8 ..., 

W1 zS 

~ ~ ~ 0 

~ ~ ..., 8 ..., 

~ 

- uso 

--B.JR 

--JP'I' 

GBP 

other 

---= 

0 0 

J ; 

..., 

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

c:• t ~ 

-

Average daily values (USD billions) by currency 

0 500 

USD 

EUR 605 

JPY 

GBP 204 

375 

other 531 

1,000 

1,000 

1,500 

Apr-07 21 

Apr-10 
Average daily traded volumes by product - spot 

- FXSwap 

- Outright Forward 

10,000 :;:::::r::: 

1,000 

1'- 1'- 1'- 0 9 0 

~ ""5 t; --, 0 

c:L• s-s 

co co co co 0 0 9 0 

t': .!. ""5 t; 

"' ~ --, --, 0 

% 

Spot 

FX Swap 

Outright Forward 

Cl) 

0 

t': 

"' --, 

Cl) 

0 

~ 

2007 

94.0 

3.1 

2.9 

Cl) 

9 

""5 

--, 

Cl) 

0 

t; 

0 

2010 

94.6 

2.0 

3.4 

0 

t': 

"' --, 

0 0 

~ 

~ ""5 

--, 

Average daily volumes by product 

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

Spot 

! 3,928 

FXSwap ,. 7,082 

Outright Forward 

3,795 

1 11 ,746 

120.973 

332,587 

Apr-07 22 

• Apr-10 
Average daily traded values by product 

Ul 1 ,000 c 

~ 

iii 

0 

Cl) 

::J 750 

250 

0 ~ 

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

~ ...L 

:l 

-, 

..... co 0 0 

t5 c': 

0 "' -, 

co co co 0 0 0 

~ ...L 

:l t5 -, 0 

% 

Spot 

FXSwap 

Outright Forward 

en 

0 

c': 

"' -, 

en 

0 

~ 

2007 

38 

53 

9 

en 

0 

...L 

:l 

-, 

- Spot 

- FXSwap 

- outright Forward 

en 0 0 0 0 .... .... .... t5 c': 

~ ...L 

:l 

0 "' -, -, 

Average daily values (USD billions) by product 

2010 

44 

47 

9 

0 

Spot 

FXSwap 

Outright Forward 

250 500 

413 

104 

128 

750 

635 

681 

1,000 

Apr-07 23 

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

funding requirement resulting from multilateral net 

• Gross value of trades settled 

• Multilateral net funding requirerrent 

Ill 6,000 c: 

~ 

05 5,000 0 

C/) 

::> 

4,000 

3,000 

2,000 

1,000 

0 

96% payment netting benefit (liquidity efficiencies) 

.I_ I_ • • • • • • • • • • • • • • • • • • • ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ 

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

~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ N M v ~ ~ ~ ro m o ~ N M v ~ ~ ~ ro m o ~ N M v ~ ~ ~ ro m o 

0 0 0 0 0 0 0 0 0 ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ N N N N N N N N N N M 

25