MAY 2022

The FX Report

FX Futures | FX Options | FX Link

In this edition, keep up with our latest product developments, learn about the forces driving them. Stay connected to the changes in our market and the wider FX marketplace.

  • 25 Jan 2022
  • By CME Group

Another tick cut, another efficiency enabled: CHF MPI reduction on May 2

Over the last four years, we have reduced the minimum price increment (MPI) six times: EUR calendar spreads (0.5 to 0.2), JPY calendar spreads (0.5 to 0.2), GBP calendar spreads (1.0 to 0.5), CAD calendar spreads (0.5 to 0.2), AUD outrights (0.5 to 0.2), NZD outrights (1.0 to 0.5), and on trade date Monday, May 2 – CHF outrights also were reduced from one tick (1.0) to a half of a tick (0.5) on CME Globex.

The result: enhanced price discovery and a potentially reduced cost of trading for end-user customers.

Trading at finer increments – focus on NZD and AUD

    Orderbook Statistics
Pair Cut Date Pre-Cut
(in MPI)*
(in MPI)*
% of Time
at MPI
AUD/USD Nov ‘20 1.12 0.67 40% 83%
NZD/USD Aug ‘21 1.30 0.86 34% 57%

*Post-cut: The full six months post the MPI cut date. Pre-cut: The full six months preceding the cut date. Pre- and post-cut average depth stats compare pre-cut TOB depth to post-cut depth at the top two levels of the order book.

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Growth in clearing: over 180% growth in FX clearing via blocks and EFRPs

As more participants have recognized the potential benefits of cleared, listed FX products, we have seen a significant rise in activity via blocks and EFRPs as an OTC-like complement to the firm, transparent liquidity in the Globex central limit order book.

The year 2022 is becoming characterized by unprecedented adoption of blocks and EFRPs, which enable end-user customers to leverage OTC relationships and lean on OTC liquidity to access centrally cleared listed FX products across major and emerging market currency pairs and FX options.

  Q1 22 ADV YoY %
FX Futures Blocks 6,972 83%
FXO Blocks 5,502 202%
EFRPs 7,764 408%
Total Ex-Pit 20,238 183%

*Source: CME Group

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Excell with Options: leveraging exposure to JPY and MXN with FX options

Inflationary pressures and macroeconomic events have led to a pick-up in FX volatility in Q1 2022. Find out what a seasoned options practitioner is looking at to navigate these markets in Rich Excell’s report here, featuring analysis of JPY and MXN options strategies.

The beauty of blocks: OTC-style execution, CME-style clearing

Blocks enable participants to negotiate their trade ‘off exchange’ with their chosen executing broker on a disclosed, OTC basis. As such, this trade type allows clients to use their OTC relationships and lean on OTC liquidity while accessing a cleared FX position, which can provide capital, margin, and operational efficiencies for both the client and the liquidity provider. In response to growing client demand, combined with the potential benefits of clearing, over 20 firms are now willing to facilitate block and/or EFRP trades in CME listed FX products. 

View block market markers

Don’t just take our word for it: Hear from key liquidity providers

Find out why BNP, Morgan Stanley, Optiver, Santander, SIG, and Societe Generale support blocks and/EFRPs, and why they feel there is growing demand from buyside customers: Block by block, we’re building a cleared FX marketplace for asset managers and hedge funds.

Read more

Market is seeking capital efficiencies: turning to CME FX

Macro regulatory impacts in UMR and SA-CCR are acting as further catalysts for cleared, listed FX products to help customers optimize their trading activities.

The calculation period (AANA) for phase six of Uncleared Margin Rules (UMR) is taking place during March, April, and May of 2022. It includes gross notional on bilateral (or intermediated/prime brokered) trades across a range of asset classes, including FX forwards, NDFs, and options.

Any eligible firms above the $/EUR 8B threshold will be impacted starting this September. Participants can use our products to remove those exposures from the calculation as cleared positions are exempt.

OpenGamma has calculated CME listed FX products could deliver up to 86% in margin efficiencies. 

Read the analysis

SA-CCR impacts

SA-CCR, meanwhile, has some headline characteristics that make it very different from its predecessor (CEM). The impacts of these model differences can make cleared, listed products more efficient by virtue of the netting and margin offsets in particular. Our previous analysis on SA-CCR showed that the potential impacts vary a lot between bank entities, with our simplified modeling on 20 bank entities showing the impact of moving from CEM to SA-CCR ranging from a 44.5% increase in the capital requirement to a 20.5% decrease.

  • SA-CCR is more risk-sensitive and less focused on gross notional.
  • SA-CCR allows netting benefits – and so benefits the migration of risk to one counterpart.
  • SA-CCR improves recognition of collateral/recognizes margin as offsetting to counterparty risk – and this includes client margin on cleared trades for FCMs.
  • SA-CCR mandates a margin period of risk (MPOR) of 10 days for direct member cleared trades, and while the floor for bilateral is the same, it rises to 20 days for CSAs with more than 5,000 transactions.

Read the analysis

Familiarize yourself: block & EFRP rulebooks

Our block and EFRP rulebook is specific, from reporting times to qualification criteria. Use our quick reference guide to ensure you and your internal network are informed, knowledgeable, and ready to benefit from this type of execution modality.

Keep up with what is happening in the FX markets with this monthly report
highlighting monthly data, new products, and more.

View an archive of the FX Report

Return of volatility – expressed across our markets

ADV: $83.9B notional in Q1

Open Interest: record quarterly avg. OI of 2.79M contracts in Q1 ($274.4B)

Large Open Interest Holders (LOIH): 1,240 – highest ever Q1, up 6% YoY

FX Options Open Interest: +42% YoY, $80.2B

FX Link: +43%, $1.84B per day – record volume in the quarter, record volume in March of $2.2B; record trading in NZD of $469M on April 28.

FX Link’s strong growth is being driven by increased customer adoption amid a need for a capital-efficient, firm liquidity pool for FX swaps, especially during the UMR Phase 6 AANA calculation period. Interest rate differentials between currencies have become more volatile as central banks have begun diverging in policy. FX Link provides a cleared and transparent mechanism to observe and act upon FX swap pricing.

View FX swap pricing using the FX Swap Rate Monitor. 

View tool

The Q1 roll

The Q1 roll was characterized by an improvement in volumes from end users and asset managers (+8% vs. previous 4Q) and an increase in roll efficiency, expressed by increased transference of open interest across a majority of G5 FX pairs (+3% vs prior 20 roll periods).

March Pace of Roll

Pair OI Rolled (MAR 2022) OI Rolled (Prior 20Q) Chng. Vs. Avg.
EUR/USD 84% 78% +6%
JPY/USD 83% 72% +11%
GBP/USD 73% 73% +0%
AUD/USD 62% 70% -8%
CAD/USD 75% 70% +5%

View tool

Displayed TOB execution cost, in ticks during RTH

  Pair   MAR 2022 % OF TIME AT MPI
EUR/USD 0.21 97%
JPY/USD 0.23 90%
GBP/USD 0.51 98%
AUD/USD 0.23 90%
CAD/USD 0.22 93%


Data as of March 31, 2022, unless otherwise specified

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