What Happened at the Month-End Fix?
January 8, 2022
The last month-end London 4pm Fix of 2021 saw more subdued activity after the blow out in November, with sources… Read More »
The last month-end London 4pm Fix of 2021 saw more subdued activity after the blow out in November, with sources… Read More »
The latest analysis of “what happened at the month-end Fix” places the potential cost of a shorter FX fixing window… Read More »
Although FX markets were undoubtedly more volatile in November, it cannot be said they were in any way overly so, thus the activity in the period leading up to the London 4pm WMR Fix potentially represents a warning as to what could happen if, as many expect, FX markets do get busier in 2022.
The Cable chart below highlights just how influential the period leading up to the Fix is when a day with a 50-point range suddenly saw a more that 160-point shift. Indeed Cable headlines the potential savings this month, with a massive $3,127 per million saving using the Siren methodology.
The data tables offer a comparison with data delivered by Raidne, which owns the Siren Fix. The Full FX has independently verified that the WMR data, which is calculated from New Change FX data by Raidne, reasonably reflects the month-end rates delivered by WMR. Where there are significant differences, the WM rate is adjusted to reflect the actual month-end Fix as cited by industry sources.
| November 30 |
| CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
| EUR/USD | 1.1256 | 1.12828 | $2,375 | $1,425 | $950 | $475 |
| USD/JPY | 113.548 | 113.458 | $793 | $476 | $317 | $159 |
| GBP/USD | 1.3230 | 1.32715 | $3,127 | $1,876 | $1,251 | $625 |
| AUD/USD | 0.70950 | 0.71067 | $2,280 | $1,386 | $912 | $456 |
| USD/CAD | 1.28277 | 1.28065 | $1,655 | $993 | $662 | $331 |
| NZD/USD | 0.6787 | 0.67961 | $1,339 | $803 | $536 | $268 |
| USD/CHF | 0.92554 | 0.92352 | $2,187 | $1,312 | $875 | $437 |
| USD/NOK | 9.11380 | 9.10519 | $946 | $567 | $378 | $189 |
| USD/SEK | 9.07850 | 9.06781 | $760 | $456 | $304 | $152 |
| Average | $1,718 | $1,031 | $687 | $344 |
*According to Raidne calculation using NewChange FX data
** Savings are in dollars per million by percentage of correlation to the Fix flow. Blue cells signify a projected saving using Siren, Red cells a saving using WMR
The View is very simple. At what stage are users of the WMR Fix going to wake up to the money they are effectively leaving on the table? Equally, at what stage is Refinitiv going to wake up and realise they are not best serving their customers?The fact that their customers are not complaining is irrelevant, if doctors find something wrong, they don’t wait for the patient to come to the same conclusion, they act.
The Siren methodology seems to be very much proving itself, and the fact that these spectacular potential savings are not in the peripheral currencies, but in EUR/USD USD/JPY and Cable – the three biggest FX markets – should at least lead Fix users to have a conversation.
Inaction now is only likely to lead to action later – legal action. This cannot be best execution by any reasonable measure.
To provide more context, the table also presents projected dollars per million savings across a portfolio of different pairs using a correlation with the Fix calculation, depending upon how much flow was in the direction of the market, or “with the wind”.
Across the board, most of the savings are the highest since The Full FX started publishing this data after the end of April Fix. Only USD/JPY, USD/NOK and USD/SEK are not at new highs.
Every month The Full FX is selecting an emerging market currency pair at random to broaden the analysis – this month, with events in Turkey triggering extreme moves in the lira, we thought it would be interesting to see how the two Fix mechanisms compare amidst the market mayhem. Therefore the selected pair is EUR/TRY. Data is again provided by Raidne according to the same guidelines in place for the regularly reported currency pairs.
The savings of $2,625 per million at 100% correlation are significant, obviously, and it is interesting that even amidst the thin conditions in EUR/TRY, with the lira in apparent freefall, the impending 4pm Fix saw the market reverse significantly, before resuming its upward path post-rate setting.
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