FXliquidity

Understand liquidity profiles under stressed market conditions (COVID-19)

Observe major shifts in liquidity profiles between normal and stressed (COVID-19) market conditions for different currency pairs. All chart analysis is delivered utilising Mosaic Smart Data’s Natural Language Generation (NLG) technology. Before reading this analysis please read our disclaimer.

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—.PRE-COVID: 1st June 2019 – 20th February 2020.....—.RECENT: 13th October – 3rd November.....–.–.COVID PEAK: 21st February – 20th March

Summary: 13th October to 3rd November, 2020

G10 spreads have continued to narrow, with the largest benefit seen in Tokyo hours. The G10 spread elevation index now sits at +8% (vs. pre-COVID level), down 3% on the week
EM spreads narrowed considerably, down from the elevated levels we have seen in the last few weeks on the back of COVID concerns. Spread elevation now sits at +54%, down from 71% last week
Volumes saw slight improvements in early hour London hours but then dropped off in the afternoon for a number of G10 currencies

Overall volumes increased in both G10 and EM, with the elevations now at +12% (from 3%) and -4% (from -12%) respectively
The improvement of both the spreads and volumes saw our liquidity scores tick higher in both G10 (+3%) and EM (+2%) indices.

FXLIQUIDITY MATRIX

PRE-COVID: 1st June 2019 – 20th February 2020
RECENT: 13th October – 3rd November

This matrix shows the liquidity scores for various currency pairs for the periods, pre-COVID and recent. The scores are scaled between 0 and 1, with higher liquidity scores being better.

SPREAD ELEVATION MATRIX: Shows the % change in the spread levels between the recent period and the pre-covid period.

VOLUME ELEVATION MATRIX: Shows the % change in volume settled at different hourly buckets between recent period and pre-covid period.