What Happened at the Month-End Fix?
Posted by Colin Lambert. Last updated: May 8, 2024
April continued to relatively subdued start to 2024 when it comes to market impact at the month-end Fix, notwithstanding which, the potential savings from using the 20-minute Siren FX methodology over the WM five-minute, were still substantial. Also in April, there appears to have been a strange WM print in NZD/USD.
Across the portfolio of currency pairs, the average saving was a significant $355 per million, with USD/CHF in particular proving troublesome, providing a massive $1,080 per million saving using the longer calculation. This pair was the only market in which the savings in April were above the 37-month average since The Full FX started publishing data – elsewhere things were quiet.
Cable in particular had a quiet month, at $16 per million saving (which is still something an executing party would complain about away from the Fix), this is the lowest in the pair since September 2023. Elsewhere, EUR/USD saw $206 per million and USD/JPY – fresh off the back of Bank of Japan intervention, saw potential savings of $102 per million.
To provide more context, the table below 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”. The Full FX verifies monthly that the WM rates used here are a reasonable reflection of that fixing, however in April there was a notable deviation in NZD, as we discuss in this story.
April 30 |
CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
EUR/USD | 1.06924 | 1.06946 | $206 | $123 | $82 | $41 |
USD/JPY | 157.364 | 157.348 | $102 | $61 | $41 | $20 |
GBP/USD | 1.25217 | 1.25219 | $16 | $10 | $6 | $3 |
AUD/USD | 0.64934 | 0.64951 | $262 | $157 | $105 | $52 |
USD/CAD | 1.37388 | 1.37425 | $269 | $162 | $108 | $54 |
NZD/USD | 0.59162 | 0.5916 | $34 | $20 | $14 | $7 |
USD/CHF | 0.91725 | 0.91626 | $1,080 | $648 | $432 | $216 |
USD/NOK | 11.07402 | 11.06809 | $536 | $321 | $214 | $107 |
USD/SEK | 10.97692 | 10.96936 | $689 | $414 | $276 | $138 |
Average | $355 | $213 | $142 | $71 |
*According to Siren FX 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
USD/CHF has a recent history of providing high market impact execution costs around the Fix, and this month was no different. Having ended 2023 with two successive cost savings above $1,400 per million, a quarter of quieter month ends came to an end with the $1,080 potential savings from using the longer 20-minute calculation.

Source: Siren FX
There was strong evidence of hedging ahead of window, with dollar buying starting some 10 minutes before the WM window opened. In this time, USD/CHF rose some 35 pips, to enter the latter window towards the high of the day. There was another burst of buying in the early moments of the WM window, before a reversal, and continued low-key selling into the close. From there on, the pair traded sideways to the London close.
Every month, The Full FX is selecting an emerging market currency pair at random, and before the data is available, to broaden the analysis – this month the selected pair is USD/HUF. Data is again provided by Siren FX according to the same guidelines in place for the regularly reported currency pairs.

Source: Siren FX
The price action in USD/HUF was very similar to that is USD/CHF in that sustained dollar buying cut in around 10 minutes before the WM window, albeit it was not the straight line that was seen in the Swissy, followed by further buying at the start of the WM calculation, and the subsequent sell off, which extended slightly beyond 4.02:30 UK time. Again, post-Fix price action was flat.
This resulted in potential savings from using the WM window of $547 per million, almost half the 36-month average, but also the highest thus far in 2024 for the selected EM pair. Even at 60% correlation to the flow, the savings for USD/HUF were $109 per million.