Source: CME Group data as of Sept. 2022 (Single-day volume record as of Sept. 14, single-day open interest record as of Sept. 8)

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The UMR framework is not the only potential catalyst for change coming from an evolving regulatory environment. Another theme getting increasing attention is the Standardized Approach to Counterparty Credit Risk (SA-CCR). These new rules governing how banks deal with counterparty credit risk is replacing the Current Exposure Methodology (CEM).

In this article, we explore the extent to which the new counterparty credit risk calculation for derivatives – SA-CCR – will drive participants toward cleared FX products to mitigate the expected impact on their bottom line.

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Increased participation from banks is catalyzing activity, on FX Link - the firm, liquid, and transparent pool for FX swaps. September activity set a new monthly record of 46K+ contracts, average daily volume (+197% vs September 2021) representing $4.1B notional with multiple days over $6B.

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Webinar replay: Listed FX block and EFRP trading – your questions answered

EFRPs allow asset managers and hedge funds to effectively utilize OTC relationships, lean on OTC liquidity, and ultimately benefit from centrally cleared FX positions with the notional excluded from the AANA calculation.

In our latest case study, we discuss how buy-side firms can use CME Group’s cleared FX products to manage the implications of being caught by uncleared margin rules and how futures and options on CME Globex, as well as blocks and EFRPs, can mitigate the impact.

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CME Group has a range of FX volatility data to help investors track the level of volatility. Live streaming CVOL Indices complement end-of-day CVOL Indices, giving users the powerful combination of an intra-day market pulse alongside up to eight years of daily historical data. Clients can monitor risk expectations in real time with CVOL, a robust measure of 30-day implied volatility derived from the world's most actively traded options on futures.

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Inflation is the ‘flavor of the year’ as economies swing into the aftermath of the pandemic. Central banks are tightening monetary policy to manage dips in their own currencies and curb the rise in inflation. This theme is particularly challenging for emerging market economies, as is the increasingly stronger U.S. dollar.

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The Q3 roll: September roll period was characterized by strong growth in quarterly roll volumes, increased roll spread volatility and substantial improvements in roll efficiency evidenced by increased transference of open interest across the G5 pairs. September roll activity was up across all G5 pairs, with average daily volume throughout the two-week roll period up +25% vs. the prior four roll periods.

September pace of roll

Displayed TOB execution cost, in ticks during RTH