What Happened at the Month-End Fix?
Posted by Colin Lambert. Last updated: December 5, 2024
The November month-end FX Fix saw something remarkable – the first time it has occurred in the nearly-four years that The Full FX has been tracking market activity – amidst what was a very mixed bag in terms of market impact around the crucial benchmark setting.
There has been one occasion previously when the rate published for WM was better than that for Siren FX, but not until the end of November have the two published rates – one calculated over 20 minutes, the other over five – been exactly the same. Sources spoken suggest that flows at month-end were lighter than expected in EUR/USD, which may explain the apparent absence of hedging ahead of the WM window, but it remains a little surprising given there was market impact and hedging activity in two loosely correlated pairs, Cable and USD/CHF.
What a flat month-end Fix looks like Source: Siren FX
It should be noted that the rates used for calculation are based upon a higher-frequency sample of the WM window using New Change FX rates, however The Full FX understands that the actual WM Fix was within a fraction of 1.05619, thus reinforcing the sense that flows were light.
The average potential saving from using the longer calculation window at $261 per million was slightly below the 2024 average of $319 per million, but very much in line with recent months. Only NZD/USD and USD/CAD were above their long-term 44-month average, however Cable and USD/CHF were both above their 2024 average.
The actual savings may have been slightly smaller in USD/CAD and NZD/USD as The Full FX understands that the WM Fix was closer to the Siren FX rate than calculated using the higher frequency data, however the opposite was true in AUD and USD/JPY (WM was 0.5 of a pip further away for both), Cable (1.4 pips further away), and USD/SEK, which was some 20 pips away.
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.
| November 29 |
| CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
| EUR/USD | 1.05619 | 1.05619 | $0 | $0 | $0 | $0 |
| USD/JPY | 150.19 | 150.21 | $133 | $80 | $53 | $27 |
| GBP/USD | 1.27091 | 1.27033 | $457 | $274 | $183 | $91 |
| AUD/USD | 0.6514 | 0.65132 | $123 | $74 | $49 | $25 |
| USD/CAD | 1.40022 | 1.40087 | $464 | $278 | $186 | $93 |
| NZD/USD | 0.59148 | 0.59184 | $608 | $365 | $243 | $122 |
| USD/CHF | 0.88099 | 0.88138 | $442 | $265 | $177 | $88 |
| USD/NOK | 11.05453 | 11.05539 | $78 | $47 | $31 | $16 |
| USD/SEK | 10.91684 | 10.91639 | $41 | $25 | $16 | $8 |
| Average | $261 | $156 | $104 | $52 |
*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/CAD exhibited classic signs of hedging ahead of the Fix, albeit only from about five minutes out from the WM window opening. The market dropped some 20 pips, before trading sideways at the start of the window and exiting the five-minute Fix roughly where it entered. Post-WM, USD/CAD drifted higher for the rest of the hour, but still finished lower than where the pre-hedging started.
Source: Siren FX
At $464 per million, the potential savings were largely in line with the 44-month average of $432 per million, but well above the 2024 average of $279 per million. It was also the third highest potential saving this year.
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/ZAR. Data is again provided by Siren FX according to the same guidelines in place for the regularly reported currency pairs.
Source: Siren FX
As was the case with USD/CAD there was a classic hedging ahead of the WM window move, although it was in the opposite direction, with the market buying dollars this time. The pair moved some 350 pips higher into the five-minute window, before extending the rally slightly and then drifting into the WM close. Again, there was largely sideways price action in that window, but after, USD/ZAR fell back close to where the hedging ahead of WM started.
At $698 per million, the potential saving was slightly lower than the 2024 average of $785 per million and well below the 43-month average of $1,087 per million. Interestingly, sources suggest that USD/HUF, another pair monitored as part of this analysis, exhibited similar price action to the ZAR, with a surge ahead of the window, sideways activity during, and a sell-off afterwards.
