WM/Reuters (WMR) has increased the frequency at which it publishes spot FX benchmark fixings for a basket of 21 trade currencies – a selection of the FX pairings with the USD that have the most liquidity in the market.
WMR will now publish the spot fixings for the currencies every 30 minutes in addition to every hour, in a move the company says will increase transparency in the market by ensuring that patterns of risk-on/risk-off in the market do not distort the values of managed financial product portfolios.
The basket of trade currencies consists of AUD, CAD, CHF, CZK, DKK, EUR, GBP, HKD, HUF, ILS, JPY, MXN, NOK, NZD, PLN, RON, SEK, SGD, TRY, USD and ZAR.
WM Company managing director Beverly Doherty says the firm decided to add 30-minute fixings for the basket of 21 trade currencies because it recognizes that volatility in global financial markets is making it more difficult for clients to manage portfolio risk.
“The addition of 30-minute fixes will help mitigate this risk in client currency transactions by providing additional transparency using our published methodology,” says Doherty. “WM/Reuters will now provide the market with a broader offering of timely foreign exchange rates that are independently produced, accurate and reliable.”
Established in 1994, the WMR foreign-exchange rates benchmarks are a joint venture between the Edinburgh-based WM Company – which is owned by State Street – and financial information company Thomson Reuters.
The FX benchmarks are delivered daily to 1,400 client locations in 40 countries.
The WMR spot FX fixings are the predominant benchmark in the currencies market, providing index compilers and other users with a standard set of currency rates that can be used to compare the value of one financial product portfolio with another.
WMR’s range of spot FX fixings or intraday and closing rates are calculated hourly from Monday at 7am in Sydney to Friday at 10pm in the UK.
In June, FTSE – the global index provider – and Cürex Group, an FX technology firm, teamed up to create a new tradable market for spot FX indices, providing daily benchmarks to help grow FX investment products.
The FTSE Cürex FX indices fixings and the WMR fixings differ in that FTSE Cürex creates a way for a sell-side trading desk to decide if it wants to be on the other side of a benchmark execution or pass it off to the market because it is an executable benchmark.
With WMR, if a sell-side trading desk wants to execute on one of the company’s benchmarks, then it has to take the other side of the fixing because there is no execution.
WMR typically only changes the timings for publication of the rates if there is a national holiday in at least two of the main global financial centres of Germany, Japan, the UK or the US or if technical difficulties slow WMR’s ability to receive or supply the source financial data.
However, the company has always reserved the right to publish the fixings at an earlier or later time “for particular currencies due to special market conditions”, according to WMR’s methodology document governing the benchmarking.