High And Low rates In The Wholesale Foreign Exchange Market

March 30, 2018

The purpose of this notice is to provide information about how and when JPMorgan Chase & Co. and its affiliates (together, “J.P. Morgan”), where acting as a market maker on a principal basis in the wholesale foreign exchange market, may, from time to time, establish and use high and low rates for a spot currency pair.

In May 2017, the Global Foreign Exchange Committee published the FX Global Code¹ to provide global principles of good practice in the foreign exchange market. Principle 13 of the FX Global Code states that market participants “should understand how reference prices, including highs and lows, are established in connection with their transactions and/or orders.” By way of this notice, J.P. Morgan seeks to provide additional clarity on how J.P. Morgan establishes and uses high and low rates.

J.P. Morgan’s High and Low Rates

J.P. Morgan may choose to, but is under no obligation to, establish a high or low rate for a spot currency pair at a particular point in time. J.P. Morgan may rely on various factors including, but not limited to, transactions executed by J.P. Morgan on its wholesale market making electronic platforms and third-party platforms, transactions executed by J.P. Morgan’s voice traders, and high and low rates published in the primary market, in each case for the relevant currency pair or cross currency pair, in order to establish a high or low rate. The primary market for each currency pair is determined by J.P. Morgan, in its sole discretion. There may be circumstances where a transaction has been executed at a rate subsequently determined to be outside of the high or low rate established by J.P. Morgan.

If J.P. Morgan, in its sole discretion, establishes a high or low rate, it will not rely on information related to orders that are unexecuted or cancelled at the time such high or low rate is established.

Use of High and Low Rates

J.P. Morgan, in its sole discretion, may use its high and low rates to attempt to fill trade requests including, but not limited to, take profit orders, stop loss orders, algorithmic orders, and barrier options. Clients should have no expectation that J.P. Morgan will execute any or all of a client’s trade request, including where J.P. Morgan or any other source establishes a high or low rate for a currency pair at or through a client’s trade request level.

J.P. Morgan does not publicly publish high and low rates.

Prior to submitting a trade request, you should review this notice, J.P. Morgan’s Disclosure to Wholesale Fixed Income, Currency, Commodities and Equities Products Clients (the “FICC/EDG Disclosure”) and any relevant trading agreement, operating procedures, or terms of use under which you submit trade requests to J.P. Morgan (“Terms of Service”). Each trade request will be handled according to the standards set forth in this notice, the FICC/EDG Disclosure, and the relevant Terms of Service. To the extent there is any inconsistency between this notice, the FICC/EDG Disclosure, and the relevant Terms of Service, this notice will govern.

This notice and the FICC/EDG Disclosure are also available at www.jpmorgan.com/disclosures and may be updated from time to time without notice to reflect changes to J.P. Morgan’s practices and services. Please contact your J.P. Morgan representative if you have any questions.

1. FX Global Code, May 2017, available at https://www.globalfxc.org/fx_global_code.htm.