This article assesses how buy-side firms can use the cleared CME FX products to manage the implications of being caught by Uncleared Margin Rules (UMR), now that the AANA (Average Aggregate Notional Amount) calculation assessment window for this year has closed.

Top Line

The annual AANA calculation window has closed for another year. This process will determine whether clients previously captured by UMR will continue to be impacted and whether other firms are brought into the requirements for the first time. The threshold for compliance with UMR remained $8B (€8B for European firms) total gross notional of uncleared derivatives across in-scope asset classes, including those held by a Prime Broker.

Optimizing the impacts

Uncleared FX forwards, NDFs, swaps, and options all count towards the AANA threshold on a gross basis along with the notional of OTC positions in other asset classes such as equity swaps. In contrast, CME FX futures and options contracts are exempt from the AANA calculation by virtue of being centrally cleared instruments.

In other words, moving exposure from OTC FX to CME FX products is a straightforward and cost-efficient method to reduce uncleared notional and potentially avoid being caught above the threshold.

Which is all well and good for when the AANA calculation window reopens again next year. But what role can cleared FX products play for optimizing the impacts of UMR for firms directly impacted by its requirements this year? 

Follow the trend, utilize the unique liquidity and clear benefits of CME FX products to optimize the impacts of UMR

This year has already seen an all-time record for volumes in cleared CME FX products (with $296B traded in one day), and this goes hand in glove with records for open interest (OI) as well as numbers of client adoption. As of the end of February 2023, buy-side customers were the largest customer segment in the CME FX market in terms of open positions – with hedge funds and asset managers holding 49.3% of OI in EUR/USD, for example.

The catalysts behind the growth in customer usage of CME FX products are varied, with drivers including the ability to reduce their gross notional for the annual AANA calculation, trade without the need for an ISDA, as well as the potentially material initial margin benefits brought to those captured by UMR. CME FX futures and options present a highly liquid and operationally robust solution, with support across major and emerging market currency pairs for all customer types.

Independent analysis by OpenGamma1 shows that a portfolio of CME FX futures and options could be up to 86% more margin efficient than the equivalent OTC portfolio held bilaterally and subject to UMR. FX futures and options traded at CME may also bring cross-asset margining benefits to positions held in rates and equities2, on top of the efficiencies described in the OpenGamma analysis.

Follow the trend, benefit from the flexibility

Customers choosing to access cleared FX futures and options have flexibility on how they trade – be that for originating a position, rolling an existing trade, or exiting risk. FX futures and options can be traded via the unique liquidity available 23 hours a day in the all-to-all Central Limit Order Book (CLOB), which can be accessed via multiple front-end trading platforms and offers firm, no last look, and credit agnostic pricing on a truly all-to-all basis. For more information, read the recent article on liquidity and price discovery.

Alternatively, both futures and options can be traded on a disclosed basis as “Blocks,” an OTC-style trading workflow that leverages existing relationships with liquidity providers and potentially opens the door to many more. For more information, read the Block by Block3 article. Blocks are offered by over 20 major liquidity providers (directory of supporting names here), including many of the top-tier banks and multiple non-bank market making specialists. Simply trade with your chosen liquidity provider(s) as you would an OTC forward or option, but gain the benefits of centrally cleared products.4

Trading via the CLOB or via Blocks offer different potential execution benefits, but both mechanisms ultimately generate the same post-trade efficiencies and potential margin savings. And, of course, both can materially reduce the gross notional exposures that count towards your AANA thresholds when the window rolls around again next year.

In addition, many liquidity providers now offer “EFRP” trades which allow transfer of risk from OTC to centrally cleared or vice versa. A growing ecosystem of users has seen volume via this workflow increase over 200% in 2022 versus the prior year. Whether swapping existing risk or a newly entered position, EFRPs allow you to obtain the benefits of centrally cleared FX in a straightforward and efficient manner.5 A case study for how EFRPs can be used to transition existing risk held in OTC FX positions in to cleared FX positions can be found here.

Bottom Line

  • The centrally cleared CME FX products are exempt from the yearly AANA calculations.
  • Using CME FX products instead of OTC could bring you below the threshold for UMR rules. 
  • If you are above the threshold and directly impacted by UMR, your firm can still utilize CME FX products to achieve potentially material (up to 86%) margin savings as well as operational efficiencies. 

Record volumes of cleared CME FX products are trading, with customers using the unique liquidity in the CLOB combined with OTC-style trading with over 20 liquidity providers.


All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.

Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors who are Eligible Contract Participants (ECPs) within the meaning of Section 1a(18) of the Commodity Exchange Act. Futures and swaps each are leveraged investments and, because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for either a futures or swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles and only a portion of those funds should be devoted to any one trade because traders cannot expect to profit on every trade.

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The information within this communication has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this communication are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and superseded by official CME, CBOT, NYMEX and COMEX rules. Current rules should be consulted in all cases concerning contract specifications.

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