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FX and equity futures activity ramps up, according to CME Group data

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An all-time record number of market participants are holding large open interest positions in FX futures, while interest in equity futures is growing strongly 100 days out from the final phase of the Uncleared Margin Rules (UMR), according to data from CME Group.

As of 10 May, CME Group saw a record in holders of large open positions in FX futures of 1,312, which followed the all-time level of open interest in FX futures and options of over three million contracts (~$290 billion notional) earlier in the month. Asset manager adoption led the growth surge, with their positions growing by two thirds (60%) since the end of Q2 2020. Buyside accounts held the most open interest positions in cleared, listed EUR/USD FX futures (60%), with hedge funds and dealers also holding significant positions at 15.4% and 24.1% respectively. 

On the equity futures side, Adjusted Interest Rate Total Return futures (AIR TRFs), designed to provide a total return exposure with an overnight floating rate built in, are trading roughly 5,000 contracts per day in 2022 YTD (up over 250% vs 2021 ADV). Dividend futures are trading at 4,348 contracts per day in 2022 YTD (up 49% vs. 2021). E-mini S&P 500 futures are trading at 1.9m contracts per day in 2022 YTD (up 19% vs 2021). While Q1 2022 ADV for Sector futures traded at 16,200 contracts per day (up over 24% vs Q4 2021). 

Market participants have been subject to increasing margin requirements ahead of the final phase of UMR in September, which forces major changes to the way collateral is posted as initial margin (IM) for OTC derivatives. OTC Equity Index Derivatives and FX options demand higher initial requirements because of how ISDA SIMM is applied.

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