Transcription of FX Benchmarks - Final Report and attachments - 30Sep2014
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FX Benchmarks - Final Report and attachments - 30Sep2014
30 September 2014. Foreign Exchange Benchmarks Final Report Content Page Executive Summary .. 1. Summary of 3. 1. Introduction to the foreign exchange fix' problem .. 5. 2. The construction of foreign exchange fixes .. 7. a. WM/Reuters .. 8. Trade Currencies .. 8. Non-trade Currencies .. 10. Forward and NDF Currencies .. 11. b. ECB .. 11. 3. How the market uses foreign exchange fixes .. 12. a. Asset Managers .. 12. b. Non-financial corporates .. 14. c. Index providers .. 15. 4. Observed characteristics of market price movements .. 16. Data Analysis .. 16. Trading Patterns during the Day .. 16. Trading Patterns around the WMR 4pm London Fixing 18. 5. Considerations of alternative fix calculations .. 20. 6. IOSCO assessment of 21. 7. Recommendations .. 23. a. Benchmark calculation .. 24. b. Recommendations from the IOSCO 26. c. Foreign exchange reference rates set by central banks .. 26. d. Market infrastructure.
Executive Summary In 2013, concerns were raised about the integrity of foreign exchange (FX) rate benchmarks. These concerns stemmed particularly from the incentives for potential market malpractice
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