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What makes an effective FX benchmark?

Shirley Barrow
Shirley Barrow
Global Head of Benchmarks and Indices

Market turmoil caused by the COVID-19 pandemic and subsequent emergency fiscal stimulus by central banks and governments has created opportunities and challenges in the FX market. In this environment, benchmark users need to be aware of the principal components that comprise an effective FX benchmark.

  1. The COVID-19 pandemic has led to unprecedented conditions in FX market. However, such conditions have provided opportunities and challenges for investment firms.
  2. Refinitiv WM/Reuters FX benchmarks address the opportunities and challenges with an accurate representation of the FX market at specific points in time.
  3. FX benchmark users need to be aware of the five key components of effective financial benchmarks: Data, methodology, governance, accessibility, and customer engagement.

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The COVID-19 pandemic has sparked volatility across financial markets, with foreign exchange (FX), in particular, experiencing unprecedented market conditions.

The current environment has seen increased activity and liquidity, such as fiscal stimulus from central banks and governments, and this can provide an opportunity for investment firms. However, with opportunity comes challenge, which in this case understanding FX levels in a volatile market.

WM/Reuters FX benchmark

Refinitiv is experienced in developing trusted benchmarks based on industry standard calculation methodologies. The company’s WM/Reuters FX benchmarks are well established, and incrementally updated to meet customer and market needs. More than 1,000 financial institutions rely on WM/Reuters FX rates for clarity when evaluating global markets.

WM/Reuters FX rates: Fully independent, objective, and unbiased sources for FX data

To underpin their integrity, the benchmarks are regulated. For example, WM/Reuters 4pm Spot Rates have been regulated under EU Benchmark Regulation since 2018 and were previously regulated by Market Abuse Regulation (MAR).

More broadly, all WM/Reuters FX benchmarks are now regulated by EU Benchmark Regulation that came into force in January 2020. This requires benchmark users to ensure they use only benchmarks issued by authorized administrators, and benchmark providers to adhere to the regulation’s aims of providing benchmarks that are robust and reliable, and which minimize conflicts of interest in benchmark-setting processes.

These factors have established Refinitiv’s FX rates as among the most trusted in the market for use cases such as indices, portfolio valuations, and financial contracts.

They also reflect Refinitiv’s commitment to delivering the five key components of effective financial benchmarks — data, methodology, governance, accessibility, and customer engagement.

Five key components of effective FX benchmarks


Refinitiv’s WM/Reuters FX benchmarks cover almost every currency in the world, including the 25 currencies of greatest market interest and 130 less liquid currencies.

Data for the top 25 currencies is sourced from three world-class trading platforms — Refinitiv FX Matching, the CME’s EBS, and State Street’s Currenex. The data sourced and sampled from these platforms and validated for use in benchmark calculations is actual transaction data resulting from trades executed in the market.

From a user perspective, the timeliness of this process ensures data is credible, transparent, and fit for the purpose of creating consistent and reliable benchmarks.

Quote data is used to calculate benchmarks for the 130 less liquid currencies. The data is sourced from financial institutions and brokers, and brought together in Refinitiv Eikon to offer a single source of access. Like transaction data, quote data is validated and processed to provide a single benchmark for each currency.


Methodology is central to the standing of any benchmark. Refinitiv publishes a transparent calculation methodology for WM/Reuters FX benchmarks that aligns with industry standards set out by the International Organization of Securities Commissions (IOSCO).

The same methodology is used for every calculation to provide consistent benchmarks that can be used for many purposes, such as portfolio valuation, performance tracking against indices and peers, and index and financial product creation.

This approach also avoids inconsistency in downstream workflows.

Benchmarks are published both intraday and at closing, with data on the top 25 spot currencies published every half-hour. Data for the remaining 130 currencies are published every hour.


As well as being regulated under EU Benchmark Regulation, WM/Reuters FX benchmarks have a governance wrapper in the shape of an independent oversight committee.

The committee is made up of representatives from the trading platforms used to source data and three independent subject matter experts (SMEs). It meets every six weeks to ensure the benchmarks are compliant with regulation, operating with integrity, and maintaining a methodology and production process that is fit for purpose.

The benchmarks are also part of Refinitiv Benchmark Services Limited (RBSL), which is designated as a benchmark administrator by the UK Financial Conduct Authority (FCA).


Refinitiv is atypical in the benchmark space in offering accessibility to its solutions with no limitations.

WM/Reuters FX benchmark data is available on Eikon, through Refinitiv’s financial data feeds, and via a growing group of third-party market data vendors, including Bloomberg, ICE, IHS Markit, and SIX.

Customer engagement

It is vital for banks and other market participants to have confidence in a standardized, quality controlled, and accurate representation of the FX market at specific points in time.

Refinitiv works with both sell-side and buy-side customers across the benchmark process to ensure user confidence. Its SMEs also work with customers to confirm the benchmarks are appropriate for all and discuss enhancements and changes. However, regulation requires that any proposed changes to the benchmarks must be put out for public consultation.

As in other areas of its business, Refinitiv plans to continue to build out its customer engagement and user groups to support further development of the WM/Reuters FX benchmarks.

Looking forward

With its FX benchmarks established in the market, Refinitiv is planning the next steps in the development of WM/Reuters FX benchmarks.

Among them are engagement on the benchmark methodology to ensure its appropriateness in a market moving towards more passive investment, a trading environment changing as a result of regulatory scrutiny; and a customer base pursuing digital transformation.

WM/Reuters FX rates: Fully independent, objective, and unbiased sources for FX data

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