Mosaic Smart Data to publish weekly analysis of FX liquidity

Liquidity in the foreign exchange (FX) markets is returning to pre-COVID-19 levels for some of the G10 currencies, but emerging markets are not faring as well, according to data analysis from Mosaic Smart Data.

The London-based fintech has partnered with CLS, a market infrastructure group for the foreign exchange and payment sectors, and Mitsubishi UFJ Financial Group (MUFG) to create FXLIQUIDITY, a new service that provides currency market professionals with greater transparency, visibility and insights into liquidity and volatility in the FX market.

FXLIQUIDITY utilises CLS’s aggregated FX market data, MUFG’s aggregated FX order book data and Mosaic Smart Data’s advanced analytics software. The analysis will be published on a weekly basis, offering a data-driven view into liquidity changes across key currency pairs. The service is accessible via a dedicated portal and free of charge.

Improvements in liquidity are patchy. USD/JPY was largely shielded from disruption throughout the crisis, while EUR/USD liquidity has returned to nearly 80% of its pre-crisis level. However, the analysis reveals that other currency pairs are still stressed. In particular, liquidity falls off sharply outside of trading hours and it is still almost as poor as at the peak of the health crisis.

Additionally, the data indicates that spreads have narrowed from the peaks in JPY, AUD, CHF, ZAR and HKD currencies. However, they remain elevated for EUR, GBP, CAD, NZD, MXN and SGD.

“The economic consequences of the COVID-19 pandemic are truly staggering, and unlike anything experienced before,” said John Winter, CEO of MUFG Securities and Head of Global Markets and CIB at MUFG, EMEA.

“We wanted to provide a service to our corporate treasury and institutional clients to help them to better understand what is going on and how the situation is developing in as much detail as possible. Being able to access insights drawn from CLS’s broad view across the markets is a significant part of the solution in rapidly understanding how liquidity flows are evolving.”

“Advanced analytics and access to the right data are a prerequisite for operating at peak levels in the modern FX markets,” added Matthew Hodgson, CEO and Founder of Mosaic Smart Data.

“Access to timely and relevant insights into market behaviour is vital. The analysis we are providing through this project extracts unique and highly actionable insights from CLS’s executed FX trade data which participants will be able to use to navigate uncertain markets.”

“CLS provides a unique view of the market, offering an unparalleled opportunity to create new, innovative insights. With its advanced analytics and software architecture built specifically to manage the high volumes of FX data, Mosaic Smart Data was a great fit for this analysis,” said Masami Johnstone, Head of Information Services at CLS.