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How November’s halt exposed fragile wiring of new futures-led market structure
Foreign exchange futures account for roughly 2% of total spot and outright forwards volume. Yet when CME Group’s futures exchange and the EBS spot venue went dark on November 28 last year, bid/offer spreads on the currency pairs with active futures contracts ballooned by two to four times their normal width – and for some non-bank liquidity providers, by as much as 124 times.
“It’s quite spectacular that CME futures’ temporary closure caused market spreads to balloon out by 2-4 times compared to
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