More than $210bn held across all currency pairs, including $121.2bn in EUR/USD
Minimum Price Increment (MPI) reductions of 50-60% in the G5 currency pairs have helped grow record levels of open interest combined with elevated levels of risk transference during the September roll – with EUR/USD leading the trend, breaking through its open interest barrier for the 10th time in 2020 and reaching more than $121bn.i
This surge in open interest has been underpinned by the largest-ever net long positions by asset managers in both EUR and JPY against the US dollar.ii
Focus on the September roll: Impact of minimum price increment reductions
Buy-side customers have benefitted from improved price discovery and meaningful cost reductions during the roll period, which was coupled with further use of calendar spreads by dealers as a capital- efficient complement to bilateral FX swaps. This led to an 18% increase in bank participation and a 25% increase in participation from asset managers and other end users in EUR/USD calendar spreads.iii
Performance metrics from the September rolliv
