What Happened at the Month-End Fix?
Posted by Colin Lambert. Last updated: July 5, 2022
The benefits of publishing a month-end London 4pm benchmark using a longer window were mixed for the June fixing, however, again, all currency pairs monitored by The Full FX saw potential savings from the Siren measurement, compared to the WMR.
While two huge numbers in the Scandies stand out, of most concern to anyone studying their market impact and execution cost was the massive $1,130 per million saving in EUR/USD – the busiest, and most liquid, currency pair in the FX market. Even at 60% correlation to the fixing flow – and the very fact that the market moves the way it does suggests a relatively small amount is correlated thus – there is a $226 per million saving available on that pair.
Conversely, there were relatively small savings available on Cable and NZD, of course that depends upon one’s view of whether $91 and $80 per million respectively are “small”.
| June 30 |
| CCY Pair | WMR 4pm Fix* | Siren Fix | 100%** | 80% | 70% | 60% |
| EUR/USD | 1.04545 | 1.04427 | $1,130 | $678 | $452 | $226 |
| USD/JPY | 135.855 | 135.906 | $375 | $225 | $150 | $75 |
| GBP/USD | 1.21445 | 1.21456 | $91 | $54 | $36 | $18 |
| AUD/USD | 0.68765 | 0.68794 | $422 | $253 | $169 | $84 |
| USD/CAD | 1.28995 | 1.29050 | $426 | $256 | $170 | $85 |
| NZD/USD | 0.62175 | 0.62170 | $80 | $48 | $32 | $16 |
| USD/CHF | 0.95735 | 0.95714 | $219 | $132 | $88 | $44 |
| USD/NOK | 9.87975 | 9.90044 | $2,090 | $1,254 | $836 | $418 |
| USD/SEK | 10.2474 | 10.25918 | $1,148 | $689 | $459 | $230 |
| Average | $665 | $399 | $266 | $133 |
*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 average saving of $665 per million is slightly below the $724.20 average of the 15 months since The Full FX started tracking data, however, as to be expected, EUR, NOK and SEK were significantly higher. In that period the average saving for EUR/USD has been $775.60; for USD/JPY it is $682.80; for Cable it is $693.33 and for USD/CHF it is $638.67.
Away from the majors, the average savings for AUD and NZD against the USD are $704.07 and $603.53 respectively, while USD/CAD averages a saving of $589.00. The average saving on USD/NOK is $1,009.87 and on USD/SEK $821.47.
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/MXN. Data is again provided by Raidne according to the same guidelines in place for the regularly reported currency pairs.
Very whiny price action in USD/MXN ahead of, and during the fixing window meant small savings from the longer window of $65 per million. This is the second smallest saving in the past 15 months and is significantly below the average over that period of $873.13.
