FX Blending for NDFs

Launched in February 2018, FX blending reduces notional amounts and line items for trades with varying trade prices, notional amounts and direction (but otherwise contain matching attributes).

Core Principles for FX Blending

  • Reduces number of line items or gross notional
  • Blending may occur across buys and/or sells
  • Decimal precision of the resulting trade price is in line with market standards

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About CME Group

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