Exclusive: Refinitiv examines changes to key daily FX fixing window

6/9/2021 9:09:00 AM

Exclusive: Refinitiv examines changes to key daily FX fixing window

Exclusive: Refinitiv examines changes to key daily FX fixing window

LONDON : Refinitiv is considering a series of changes to its daily foreign exchange (FX) fixing, including lengthening the trading window used to calculate it, a senior company executive said, amid industry concerns over the global benchmark which used to value trillions of dollars of assets.The 27-year-o

The WM/R is by far the most popular benchmark and baked into contracts such as those used by U.S. fund managers wanting to buy European stocks, who would sell dollars and buy euros at exchange rates set at the fixing.Unusual price swings at the fixing were reported during 2020 when the COVID-19 pandemic raised currency market volatility, and most recently on July 27 when sterling suddenly surged alongside a spike in trading volumes.

Concerns about the fixing and whether investors were getting a good deal have existed for years but resurfaced during the pandemic, encouraging Refinitiv to assess its options.By widening the window, large buy or sell orders should have less market impact as transactions can be spread out, making it harder for algorithms, or so-called algos, to track investor order flows.

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LinkedIn LONDON : Refinitiv is considering a series of changes to its daily foreign exchange (FX) fixing, including lengthening the trading window used to calculate it, a senior company executive said, amid industry concerns over the global benchmark which used to value trillions of dollars of assets.Consuming walnuts daily also reduced the number of LDL particles, a predictor of cardiovascular disease risk.Taliban's takeover last month..

The 27-year-old WM/R benchmark, which is calculated by its owner Refinitiv, has a five-minute trading window, known as the"fix", at 4:00 p.m. Walnuts are a rich source of omega-3 fatty acids (alpha-linolenic acid), which have been shown to have a beneficial effect on cardiovascular health. in London each weekday when investors and banks flood the market with buy and sell orders. Qatar has helped reopen the airport, which closed for several days after the United States-led airlift of its citizens, Afghans and other nationals ended last month. The WM/R is by far the most popular benchmark and baked into contracts such as those used by U. One of the reasons is that they lower LDL-cholesterol levels, and now we have another reason: they improve the quality of LDL particles," said study co-author Emilio Ros, MD, PhD, director of the Lipid Clinic at the Endocrinology and Nutrition Service of the Hospital Clinic of Barcelona in Spain.S.

fund managers wanting to buy European stocks, who would sell dollars and buy euros at exchange rates set at the fixing. Research has shown that small, dense LDL particles are more often associated with atherosclerosis, the plaque or fatty deposits that build up in the arteries," Ros explained. One concern among some asset managers, who move billions of dollars through the window, is that more nimble hedge funds can spot and trade off large transactions, leaving investors with worse exchange rates. A European Central Bank-organised FX group said in April 2020 its members were concerned that concentrating end-of-month trading at particular FX fixings was"likely to create additional volatility and pressure on market functioning". In a sub-study of the Walnuts and Healthy Aging study, a large, two-year randomised controlled trial examining whether walnuts contribute to healthy ageing, researchers evaluated if regular walnut consumption, regardless of a person's diet or where they live, has beneficial effects on lipoproteins. Unusual price swings at the fixing were reported during 2020 when the COVID-19 pandemic raised currency market volatility, and most recently on July 27 when sterling suddenly surged alongside a spike in trading volumes. "We are very focused on making sure (the benchmark) evolves, and aligns with changes in the market structure," Shirley Barrow, Global Head of Benchmarks and Indices at Refinitiv, said, adding that it was open to lengthening the window, but had not decided what was"insufficiently wide". Story continues Participants were randomly divided into two groups: active intervention and control.

Beyond expanding the trading window, Barrow said other possible improvements include sourcing trading data from more than the current three platforms, Refinitiv Matching, EBS and Currenex, which could make prices more representative of the US$6.6-trillion-a-day FX market. After two years, participants' cholesterol levels were tested, and the concentration and size of lipoproteins were analysed by nuclear magnetic resonance spectroscopy. Concerns about the fixing and whether investors were getting a good deal have existed for years but resurfaced during the pandemic, encouraging Refinitiv to assess its options. Refinitiv began gathering data on the benchmark's performance and asking clients for feedback on potential changes last year, Barrow told Reuters. The two-year study had a 90 per cent retention rate (632 participants completed the study). This revealed that some users want the window widened to address concerns, including that computer-driven algorithmic traders are taking advantage of slower-moving asset managers.

By widening the window, large buy or sell orders should have less market impact as transactions can be spread out, making it harder for algorithms, or so-called algos, to track investor order flows. Among key findings of all study participants: 1. However, some asset managers say the current system works well and that lengthening the window would solve little because when putting a large order through a defined period, there will always be a 'market impact' others can spot. These managers say there are already measures the funds can take, such as not executing the whole order within a single window.3 mg/dL, and total cholesterol was lowered by an average of 8. "You are going to have impact whether it's a 20-minute window or a five-minute window. There's a cost to trading," said Mike Eyre, Global Head of FX trading at asset management giant Vanguard. 2.

"There are some orders where the best outcome is to take more time, to do the order over multiple days." Refinitiv will publish a white paper this month asking for more feedback on a list of possible improvements, Barrow said.3 per cent and small LDL particles by 6. "Our focus is on getting that optimal, the size of the window versus still having our objective of a price at a specific point in time," she said. Refinitiv is owned by the London Stock Exchange Group and is the largest customer of Reuters News. These changes in LDL particle concentration and composition are associated with a lower risk of cardiovascular disease. Thomson Reuters, the parent company of Reuters News, holds a minority stake in the LSE.

The fix has become more important in recent years, with more currency trading coalescing around it, possibly as equity market turnover is concentrated towards the end of the trading day. Intermediate Density Lipoprotein (IDL) cholesterol also decreased. Some rivals have sought to capitalise on concerns and in April a benchmark called Siren was launched by Raidne, a company which provides analytics and trade surveillance. This is calculated using an algorithm over a 20-minute window. In the last decade, IDL cholesterol has emerged as a relevant lipid cardiovascular risk factor independent of LDL cholesterol. Raidne says it will save users execution costs compared with"the legacy 4 p.m. LDL cholesterol changes among the walnut group differed by sex; in men, LDL cholesterol fell by 7.

fix", claiming the longer window and its algorithm can limit the adverse impact on prices that users get when they transact big orders. Unlike stocks, currencies are traded across dozens of platforms, making the market highly fragmented.6 per cent. Hedge funds and high-frequency traders deploying so-called algos are particularly active on platforms that feed into WM/R. Barrow said WM/R offered a series of regulated benchmarks that fix at different times, adding that investors who use the 4 p. "However, as expected in an elderly population, close to 50 per cent of participants were being treated for both high blood pressure and hypercholesterolemia.m.

window and are worried should"consider other times". "For individuals with high blood cholesterol levels, the LDL cholesterol reduction after a nut-enriched diet may be much greater. (Editing by Sujata Rao and Alexander Smith) Source: Reuters .