FX market impact has long been flagged as a concern when trading to the London 4pm fix for the WM/Refinitiv (WMR) benchmark. A research paper published by Australian investment manager QIC in March noted that the adverse costs of large volumes of trades moving in the same direction outweighed any claimed liquidity benefits.
If the market for GBP/USD is trading at $1.4000 and the majority of fix participants are buyers of GBP, the market will most likely fix substantially above that level, perhaps $1.4050.
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