What Happened at the Month-End Fix?
Posted by Colin Lambert. Last updated: March 13, 2025
A pattern is emerging in the month-end fixes with, for the third successive month, the average savings sitting above $300 per-million from using the Siren FX methodology over the WM.
There was a decent disparity within the nine pairs covered, with AUD/USD actually producing the same fixing rate over 20 minutes as it did the five-minute WM window. There was also a low potential saving in USD/CHF, while in EUR/USD and Cable it was above recent averages.
The last two month-end fixes have provided the largest market impact in EUR/USD since December 2023. This month, at $461 per million, it is significantly above the 2024 average of $179 per million – something that may be a concern given the sheer size of the flows through the pair.
Likewise, Cable, at $429 per million, was also above its 2024 average of $288 per million, but USD/JPY, at $318 per million was lower ($489 per million). The identical fixes in AUD/USD is only the second time this has happened – the first being in EUR/USD in November 2024.
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”. As noted, the rates used for the WM column are calculated using a higher frequency data set from New Change FX, however The Full FX endeavours to check that they are a reasonable reflection of those published by the LSEG-owned business.
| February 28 |
| CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
| EUR/USD | 1.03999 | 1.04047 | $461 | $277 | $185 | $92 |
| USD/JPY | 150.698 | 150.746 | $318 | $191 | $127 | $64 |
| GBP/USD | 1.25912 | 1.25966 | $429 | $257 | $171 | $86 |
| AUD/USD | 0.62181 | 0.62181 | $0 | $0 | $0 | $0 |
| USD/CAD | 1.44056 | 1.44109 | $368 | $221 | $147 | $74 |
| NZD/USD | 0.56035 | 0.56057 | $392 | $235 | $157 | $78 |
| USD/CHF | 0.90228 | 0.90227 | $11 | $7 | $4 | $2 |
| USD/NOK | 11.24334 | 11.23925 | $364 | $218 | $146 | $73 |
| USD/SEK | 10.73516 | 10.72877 | $596 | $357 | $238 | $119 |
| Average | $327 | $196 | $131 | $65 |
*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
In honour of at least one leg of the 2025 Trade of the Year, this month’s major markets chart is USD/SEK, which saw typical price action associated with hedging ahead of the Fix. The pair rose some 200 points in two legs leading into the WM window, before initially spiking and then trading sideways before exiting around the same levels as it entered.
Source: Siren FX
Perhaps reflecting the size of the flow, and how it would have perhaps overwhelmed the market in a five-minute window, post-Fix USD/SEK drifted lower but largely traded sideways for the next 30 minutes.
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/ILS. Data is again provided by Siren FX according to the same guidelines in place for the regularly reported currency pairs.
Interestingly, while there was general dollar buying in the majors, in USD/ILS it was the opposite, with the pair dropping in the five minutes leading into the WM window, but then, reflecting the nature of the flow, continuing lower through the next five minutes. The pair then exited the WM window at the low.
Source: Siren FX
Whilst the flow suggests that there was natural dollar selling, there also appears to have been some speculative activity, for once the WM window was closed, there was a pullback to the levels the pair entered the window. This was followed by further buying over the next 30 minutes to leave the pair largely where it had traded up until 3.30 GMT.
