Ground rules

September 2024

Refinitiv Benchmark Services Limited

WMR FX Benchmarks
Spot, Forward, NDF and
Metals Rates
Methodology Guide
V24

Effective Date: September 2024
Last Review Date: January 26, 2024
Document Classification: Public

lseg.com/ftserussell

Contents

About this document ........................................................................................................................................................... 3
Chapter 1 Introduction ........................................................................................................................................................ 4
Chapter 2 WMR Spot rates ................................................................................................................................................. 7
Chapter 3 WMR Forward rates ......................................................................................................................................... 14
Chapter 4 WMR NDF rates ............................................................................................................................................... 18
Chapter 5 WMR Metals rates……………………………………………………………………………………………………..21
Chapter 6 WMR Policies and Prodedures ........................................................................................................................ 25
Chapter 7 Cross calculations ............................................................................................................................................ 28
Chapter 8 Glossary ........................................................................................................................................................... 31
Appendix 1 ........................................................................................................................................................................ 33

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About this document

Benchmark Description
As Administrator, Refinitiv Benchmark Services Limited “RBSL” provides an exchange rate service that publishes Spot,
Forward, Non Deliverable Forward and Metals benchmark rates at specified times throughout the global trading day.
RBSL is committed to publishing independent and transparent benchmark rates which, based on its methodology, itbelieves are reasonably designed to be reflective of the market at the time of each calculation. As part of its normal
business practices, RBSL routinely reviews its policies and practices against appropriate international foreignexchange ‘FX’ benchmark regulations and guidance.
To view the WMR FX Benchmark Statement please use the following link.
To view the WMR Metals Benchmark Statement please use the following link.

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Chapter 1

Introduction
1.

Intr oducti on

1.1

History
The WMR Closing Spot Rates service was introduced in 1994 to provide a standard set of currency
benchmark rates so that portfolio valuations could be compared with each other, and their performancemeasured against benchmarks without having any differences caused by exchange rates. These rates wereadopted by index compilers, the Financial Times and other users and became the de facto standard for
Closing Spot Rates on a global basis.
In 1997, the WMR Closing Forward Rates service was launched to complement the Closing Spot Rates
service.
In 2001, the WMR Intraday Spot Rate service was launched to extend the Spot rates product and meetcustomers’ growing requirements. This service has since expanded to provide hourly spot rates from
Monday 06:00 in Hong Kong/Singapore until Friday 22:00 in the UK.
In 2004, the WMR Intraday Forwards were launched at 08:00, 10:00, 12:00 and 14:00 UK time. Further
enhancements have since seen this extended to an hourly service from 06:00 – 21:00 UK time withadditional rates provided at 17:00 New York time, 10:00 and 16:00 Sydney time, 14:00 New Zealand time,
11:00 Singapore time, 11:00 Bangkok time and 10:00 Tokyo time.
In 2009, the WMR Non Deliverable Forwards (NDF) Rates were launched covering 12 currencies. The NDF
service provides both Closing and Intraday Rates.
In 2012, the WMR Intraday Spot Rates service was further enhanced by the introduction of half-hourly
benchmarks for the trade currencies only.
In 2014, the WMR Spot Rates service was enhanced to include the WMR Tokyo Benchmark
Service covering 24 currencies against JPY, USD, GBP and EUR. In 2018 this was extended to cover
31 currencies.
In 2024, the WMR Metals Rates service was introduced to include 4 Metals, against USD, GBP and EUR,
published hourly from Monday 06:00 in Hong Kong/Singapore until Friday 22:00 in the UK.

1.2

Use of the Rates
It is understood that the majority of the main equity and bond index compilers use the WMR exchange rates
in their calculations, and the original uses of the rates in portfolio valuations and performance measurement
are still very relevant. However, other uses of the rates have developed and are becoming increasingly
important. For example, many customers now use the rates as a benchmark for currencies in contracts ofdifferent kinds including the settlement of financial derivatives. Many banks will now provide a service totheir customers whereby they will guarantee to trade certain currency pairs at, or by reference to, the WMRrates which is useful for investment customers if they are making changes to a portfolio bench-marked
against an index that uses the WMR rates and seeks to minimize any reconciliation differences from foreignexchange. Corporate users will find that it is very useful to value currency holdings held globally at acommon rate, and if necessary, swap or trade them at the same rate. Using WMR rates in this way can
avoid using expensive resources to check the market continually. Auditors accept the WMR rates as
independently calculated and administered.

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1.3

Key Points
Benchmark Administration
RBSL is the benchmark administrator for the WMR rates and thus has primary responsibility for all aspectsof the benchmark determination process. This includes the development, determination and dissemination,
operation and governance of the Spot, Forward, Non Deliverable Forward and Metals Rate services. Thismethodology document provides a summary of the methodology (including the validation process andcertain tolerance checks applied therein) that RBSL uses to establish the benchmark rates. However,certain portions of the methodology and related intellectual property are proprietary and confidential and are
therefore not publicly disclosed.
Expert Judgement
The term Expert Judgement is used throughout this methodology, starting from Section 2.3 and refers towhen employees of RBSL may exercise discretion with respect to the use of data in determining abenchmark. The calculation of the benchmark rate includes a validation process whereby, among othersteps, employees of RBSL review data and calculated benchmark rates pursuant to certain pre-determined
tolerance checks. When applying tolerance checks, an employee has discretion (subject to internal policies
and procedures) to include or reject certain data from the calculation of the benchmark rate. Based on RBSL
experience interpreting market data, RBSL will use its own judgement when it believes it necessary with theintent of ensuring the quality and integrity of the benchmark rate. RBSL may rely on its own judgement more
frequently in an active albeit low liquidity market where transactions may not be consistently available.
RBSL has in place internal guidelines and quality control procedures that govern the application of Expert
Judgement and are intended to provide consistency and oversight to this process. Employees receive initialand on-going training in how to comply with these guidelines and procedures.
Active Market
RBSL recognises that to enable the publication of a meaningful benchmark a market in each currency/metal
pair represented by the benchmark must genuinely exist, and that market must be active. However, due tovariable economic factors the meaning of ‘active’ may differ across currencies, as market liquidity can vary
greatly from a liquid major currency to an extremely illiquid exotic currency for example, and at particular
times of the day. In certain cases, RBSL defines an active market as having only a ‘Single Source’. A list ofthese currencies can be provided upon request.
Data Sourcing
RBSL undertakes a periodic review of the appropriateness of using specific data suppliers to provide thedata used in the calculation and validation of the benchmark rates. This review is intended to, among otherthings, assist in ensuring that the benchmark rates are (i) based on reliable and observable market data thatreflect the economic realities of a given market, and (ii) that the benchmark rates themselves are reliable
representations of the foreign exchange market.
There is no solicitation process to obtain underlying data, either by panel or by polling in the benchmark
calculation process. RBSL uses transactional data entered into on an at arm’s length basis between buyers
and sellers in that market, where that data is available and reflects sufficient liquidity.
In a market where lower liquidity exists the benchmark may be based predominantly or exclusively on bid
and offer rates, or from prior transactions.
Validation of Data
All captured rates and calculated benchmark rates are subject to a number of tolerance checks with theintent of determining benchmark rates that are reflective of the underlying market at a given time. RBSL
performs tolerance checks at the time the data is sourced and again after the calculation of the benchmark
is complete to ensure the quality of the source data and the benchmark rates. Captured rates that do notsatisfy the tolerance checks and cannot be explained using Expert Judgement by wider market moves or
events may be rejected and replaced. Replacement rates are subject to the same tolerance checks.
If the rates collected during a window do not satisfy the tolerance checks, or if no rates are available for a
calculation based on a snapshot, benchmark rates will be determined using Expert Judgement. The use of

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Expert Judgement may include i) reference to earlier benchmark rates; ii) the use of alternative rates
derived using data from the respective data source(s) or iii) selecting alternative sources, (that may include
central bank rates where applicable).
Currency, metal and tenor specific systematic tolerances are reviewed periodically, annually as a minimum,by the Currency Review Group. This group supplements the routine monitoring and reporting of theprevailing market dynamics performed during the validation process by providing further scrutiny of the
inputs and ex-post analysis of trends and outliers. The Currency Review Group is tasked with effecting andmanaging the change process with the intent of reflecting underlying market conditions.
If, following further scrutiny, the current source(s) of rates is considered using Expert Judgement to be ofinadequate quality and a supplemental or replacement source of rates cannot be found, RBSL may initiate a
consultation with stakeholders on the viability of the currency, metal and tenor affected under the terms of
the Cessation Policy.
Governance and Transparency
RBSL is subject to a corporate risk framework which is based on three lines of risk management:
1. Business procedures and controls are designed to promote consistency throughout the process.
2. The corporate risk framework applies independent governance, reporting and risk management.
3. The Board of directors and relevant subcommittee are responsible for oversight of the benchmark rates,
including reviewing and advising on the policies and methodologies, by which RBSL calculates,
administers and publishes the benchmark.
A Benchmark Oversight Committee (the “Oversight Committee”) has been established to provide advice andchallenge to the Benchmark administrator executive. The Oversight Committee’s Terms of Reference
document provides details of the responsibilities of the Oversight Committee and its current members. The
terms of reference are available via the following link. The Oversight Committee comprises members
selected on the basis of their experience and knowledge.
RBSL performs periodic due diligence on third parties and data sources. RBSL welcomes all enquiries withregards to the determination of the benchmark.
Back Testing
EU BMR and Section 3 of the RBSL Internal Review Policy requires WMR to undertake regular backtesting. To enable a proportionate approach to testing, and in line with demonstrating compliance across all
benchmark regulations, WMR groups the benchmarks into benchmark families as follows: Spot/Metals
Trade currencies, Spot/Metals Non-Trade currencies and Forward/NDF currencies. These families haveconsistent data inputs and methodologies. Confirmation, that this methodology has been back-tested in linewith these requirements.

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Chapter 2

WMR Spot rates
2.

WM/FTSE s pot rates

2.1

Coverage
The rates are intended to cover the currencies for those countries that are included in a global or regional
stock market index or where there is sufficient liquidity in the currency market to provide accuratebenchmark rates. The addition of currencies not meeting these criteria will be at the discretion of RBSL, andin theory, any world currency may be included.
The coverage of the WMR rates is shown under section 2.6, Closing and Intraday, and 2.7, Tokyo
benchmarks.
The European legacy currencies (ATS, BEF, CYP, DEM, EEK, FRF, FIM, GRD, HRK, IEP, ITL, LTL, LUF,
LVL, MTL, NLG, PTE, ESP, SIT and SKK) are included, but these are derived from the fixed conversion
factor and the USD/EUR quote. An example of this calculation is included under section 0. The XEU(European Currency Unit — ECU) is also included, but this is equal to the euro value.
In addition to publishing rates at the hourly calculation times from Monday 06:00 Hong Kong/Singapore time
to Friday 22:00 UK time, there is also WMR Closing Spot Rates (4 p.m. UK time) history available since
1994 and the WMR Intraday History available since 2001.

2.2

Timing
The normal calculation times are hourly from Monday 06:00 Hong Kong/Singapore to Friday 22:00 in theUK, with half-hourly rates provided for the ‘trade currencies’ only. See Section 2.3 for details of these ‘tradecurrencies.’ The Tokyo benchmarks are calculated at 9.55JST (00:55GMT), see section 2.7 for details of thecurrencies covered.
Different calculation times may be used for reasons that include the following:– An earlier time is chosen by RBSL according to the policy on national holidays (see section 6.1).
– An earlier or later time is chosen by RBSL due to technical difficulties in receiving or failure in supply of
the source financial data.
– An earlier or later time is chosen by RBSL for particular currencies due to special market conditions.
RBSL ‘target for completion of calculation and publication of the service is 15 minutes after the
calculation time.
The rates published as at 4 p.m. UK time are the Closing Spot rates.

2.3

Sourcing
The LSEG Market Data System is the primary infrastructure and technology used to source spot foreignexchange (FX) rates from multiple, market participants to be used in the calculation of the rates. RBSL,
using Expert Judgement, determines the appropriate data sources to be used on a per currency basis. Thisis subject to the oversight of the governance process. Please refer to our Changes to the Methodology andService Policy for further information. Data sources are reviewed periodically and clients will be advised
prior to any material change being made.

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The criteria used for selecting the source of spot FX rates are the quality and representativeness of those
rates with respect to the wider market. The underlying rates used are those deemed to be the mostappropriate for foreign investment transactions.
All currencies within the spot rate benchmarks are referred to as “Trade Currencies” or “Non-trade
Currencies”.
For Trade Currencies, the data source (“Data Source”) to be used is determined by RBSL on a per currency
basis and based primarily on the liquidity available on the trading platform in said currencies. Such Data
Sources are reviewed periodically with respect to their quality and the representativeness of the FX rates
with respect to the wider market. Data Sources for the determination of the benchmarks are the following
highly liquid order matching platforms: LSEG Matching, EBS and Currenex. The benchmarks are not basedon the contribution of input data. Readily available input data for determination of the benchmarks fromthese platforms are either traded rates or order rates, with traded rates taking precedence where available
subject to the RBSL’s expert judgment.
All other currencies are referred to as “Non-Trade Currencies”. The Data Source for Non-Trade Currencies
is LSEG indicative quote data from multi contributor instrument codes. Wherever possible, a multicontributor source of rates is used in preference to a single contributor unless an “official” benchmark is
being used. Where data sufficiency is limited, RBSL, will use its own Expert Judgement to determine
representative and meaningful market rates. A different type of rate may be selected by RBSL for reasonsthat include the following:– Commercial interbank bid and offer rates are not available for a particular currency.
– An “official” benchmark is created that is more appropriate for foreign investment transactions.
RBSL has in place internal guidelines and quality control procedures that govern the application of Expert
Judgement and are intended to provide consistency and oversight to this process. Employees receive initialand on-going training in how to comply with these guidelines and procedures.
Trade Currencies
The following 25 currencies (AUD, CAD, CHF, CNH, CZK, DKK, EUR, GBP, HKD, HUF, ILS, INR, JPY,
MXN, NOK, NZD, PLN, RON, RUB, SEK, SGD, THB, TOF, TRY and ZAR) are referred to as “Trade
Currencies.” Bona fide arm’s length transactional Trade and Order rates are sourced from the following
highly liquid platforms; LSEG Matching, EBS and Currenex. The Trade and Order rates are used in thevalidation and calculation of these currencies.
The following 14 currencies have LSEG Matching as their source: CZK, DKK, HUF, ILS, INR, MXN, NOK,
PLN, RON, SEK, THB, TOF, TRY and ZAR. 8 currencies are sourced from LSEG Matching and EBS: AUD,
CAD, CNH, GBP, HKD, NZD, RUB and SGD. EUR, CHF and JPY are sourced from EBS, Currenex andLSEG Matching. Please refer to Appendix 1 which details fully the sources used across the global day for
the Trade Currencies.
The primary source of rates will be actual traded rates taken from LSEG Matching, EBS and Currenex, as
detailed above “Traded rates/Trades”.
The secondary source of rates will be the bid/offer rates on the order matching systems of LSEG Matching,
EBS and Currenex “Order rates/Orders”.
Bank quotes from RICs will be captured for instances where neither Trades nor Orders are available.
All other currencies not identified above as ‘trade’ currencies can be assumed to be ‘non trade’.
Base Currency
The “base” currency is either the US dollar or the Euro, depending on which base currency is predominant.
Presently, currencies which are predominantly based against the Euro are CZK, DKK, HUF, NOK, PLN,
RON and SEK. All other currencies are based against the US dollar. However, this may be changed forparticular currencies if RBSL believes that more appropriate or representative quotations are available
against a different base currency.

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Market Conventions
It is a convention in the FX markets that some currencies are quoted against the USD on an inverted basis.
Normally, a local currency is expressed per 1USD: for example, 1USD = x.xxxx CAD. An inverted currency
is expressed per local currency: for example, 1GBP = x.xxxx USD. Normally, a local currency amount would
be divided by the exchange rate to get a USD amount, but for inverted currencies, the local currency
amount is multiplied by the exchange rate to get a USD amount. This convention applies only to rates
quoted against the USD, not rates quoted against any other currency. These inverted currencies are GBP,
EUR, AUD, NZD, IEP, BWP, SBD, TOP, WST and XEU.
Certain rates are calculated from other currencies or from proportions of other currencies, for example, XDR(Special Drawing Rights).
All rates are published using standard market quotation conventions. ISO codes are used.
2.4

Calculation Method

2.4.1

Non-Trade Currencies
The FX market is constantly monitored by capturing rates every 15 seconds and performing continuous andinteractive validation.
The captured market data is subject to currency specific systematic tolerance checks which will identify
outlying data. Validation is performed on the outlying data by Operations Specialists, who will seek
corroboration, or rely upon their own judgement to determine the market level. The calculated benchmark isthen subject to further currency specific tolerance checks prior to publication. The use of Expert Judgement
may be appropriate to assess the validity of rates throughout this process, with quality control guidelines
and procedures governing each application of such judgement.
Over a five-minute period snapshots of the quoted rates are taken from FTSE. These are extracted at 15
second intervals from 2 minutes 30 seconds before to 2 minutes 30 seconds after the calculation time.
The median bid and offer rates are independently calculated from the individual snapshots for eachcurrency. These bid and offer rates are validated prior to publication, against currency specific thresholds
and this may result in Expert Judgement being applied.

2.4.2

Traded Rates
The FX market is constantly monitored by capturing rates every 15 seconds.
Over a five-minute period, actual trades executed and bid and offer order rates from the order matchingsystems are captured every second from 2 minutes 30 seconds before to 2 minutes 30 seconds after thetime of the calculation (e.g. hour and/or ½ hour). Trading occurs in milliseconds on the trading platforms andtherefore not every trade or order is captured, just a sample.
From each data source, a single traded rate will be captured each second– this will be identified as a bid oroffer depending on whether the Trade is a buy or sell. A spread will be applied to the Trade rate to calculate
the opposite bid or offer. The spread applied will be determined by the Order rate captured at the sametime. All captured Trades will be subjected to validation checks. This may result in some captured data
being excluded from the calculation.
Valid Trades from all sources captured during the time period will be “pooled” together. Subject to a minimum
number of valid Trades being present within this pool of data, using a threshold determined by RBSL based onExpert Judgement, the Trade rates will be used for the benchmark. A median Trade bid and Trade offer are
calculated independently, using data from the single pool of trades across data sources. The mid-rate is
calculated from the median Trade bid and Trade offer. A minimum “Standard Spread” is applied to the mid-rate
to calculate a new bid and offer. These bid, offer and mid rates will be validated prior to publication, against
currency specific tolerance thresholds, and this may result in Expert Judgement being applied.
Where the number of valid executed traded rates falls below the threshold determined by RBSL Expert
Judgement, then data from the order matching system(s) will be used in the calculation of the benchmark
rate. From each data source, the best bid and best offer rates will be captured simultaneously to the Tradedata from each data source. All captured Order rates will be subjected to validation checks. This may resultin some captured data being excluded from the calculation.

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Order rates from different sources will not be pooled together. Using valid Order rates, a median bid andoffer are calculated independently, for each data source. The mid-rate is calculated from the median Orderbid and Order offer. A minimum Standard Spread is applied to the mid-rate to calculate a new bid and offer.
The bid, offer and mid rates from the data source with the highest valid Orders over the time period will beselected as the rates for publication. Consequently, the data source to be used will be driven by the market.
These bid and offer rates will be validated prior to publication, against currency specific tolerance
thresholds, and this may result in Expert Judgement being applied.
In the event that two or more data sources have an equal number of valid Orders, then an average of the
mid-rate from these data sources will be used.
In the event that two or more data sources have a single Order only, the most up to date Order rates will
be used.
Bid, offer and mid rates are derived. Mid rates are calculated as the arithmetic mean of rounded bid andoffer rates. Bid and offer rates are published to four decimal places; the mid rates are published to fivedecimal places. Where a “5” is encountered, the convention is to round up.
Standard Spreads
In order to publish spreads which are reflective of currency markets, RBSL sets pre-defined minimum andmaximum spreads for each currency, at each calculation time. These are variable across currencies toreflect different market levels and changes in liquidity at different times of day.
In order to reflect actual market conditions, if the market dictates spreads which are greater than the predefined minimum spread and less than the pre-defined maximum spread, then these wider spreads will be
used in the benchmark calculation – up to the maximum spread as predefined in the system. In the eventthe market dictates spreads which are wider than the predefined maximum standard spreads, further
analysis will be undertaken.
2.4.3

Local Close Currencies
For currencies where offshore trading is not permitted, the spot rates are published in line with local market
levels. This means that when local markets are opened, the published spot rates will reflect activity in thatmarket. When the local market closes, the spot rates in each subsequent publication (hourly/½ hourly)
remain unchanged. This impacts the following currencies. Please note that the “Open Time” and “CloseTime” for each currency are subject to change.
ISO

Open time

Close timeCNY

01:15 GMT

09:00 GMT

IDR

01:15 GMT

08:00 GMT

INR

03:45 GMT

10:00 GMT

KRW

23:15 GMT

07:00 GMT

MYR

23:15 GMT

10:00 GMT

PHP

00:15 GMT

08:00 GMT

THB

00:15 GMT

10:00 GMT

TWD

00:15 GMT

07:00 GMT

BRL

12:00 GMT

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2.4.4

Cross Calculated Currencies
Section 2.3 details the currencies that are not captured against USD. All other currencies are captured andvalidated against USD.
Once the rates have been validated, cross rates to GBP and EUR are calculated. An example of thesecalculations is included under section 7.1
Cross rates to further base currencies may be published, and if so, these will be calculated using the same
principles.
T+1 Currencies
The following currencies follow the market convention where the spot date is T+1: CAD Canadian Dollar,
RUB Russian Rouble, TRY Turkish Lira and PHP Philippine Peso

No adjustment is made, and the calculation is performed as if both currencies are T+2.
Market Holidays
No adjustment is made in the cross calculation when market holidays are observed in either the primary, or
the crossing currency.
The method of calculating the rates is protected by a patent awarded in 2008, US serial 09/972,193.
The validation process used is protected by the patent detailed above.
2.5

Spot Rate Products– Closing Spot Rates– Historical Spot Rates– Intraday Spot Rates– Tokyo Spot Rates– 11am UK Intraday Spot Rates– 2pm CET Intraday Spot Rates– 12pm EST Intraday Spot Rates (CAD Noon)

2.6

Coverage of Closing and Intraday Spot Rates
Coverage is currently in the following 157 currencies,
EuropeAlbania Lek

ALL

Austrian Schilling

ATS

Belarus Ruble

BYN

Belgian Franc

BEF

Bosnia Herzegovina MarkBAM

Bulgarian Lev

BGN

Croatian Kuna

HRK

Cyprus Pound

CYP

Czech Koruna

CZK

Danish Krone

DKK

Estonian Kroon

EEK

ECU

XEU

Euro

EUR

Finnish Markka

FIM

French FrancFRF

Deutsche Mark

DEM

Greek Drachma

GRD

Hungarian Forint

HUF

Iceland Krona

ISK

Irish Punt

IEP

Italian Lira

ITL

Latvian Lat

LVL

Lithuanian Litas

LTL

Luxembourg Franc

LUF

Macedonia Denar

MKD

Maltese Lira

MTL

Moldova Leu

MDLDutch Guilder

NLG

Norwegian Krone

NOK

Polish Zloty

PLN

Portugese Escudo

PTE

Romanian Leu

RON

Russian Ruble

RUB

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Europe
Slovakian Koruna

SKK

Slovenian Tolar

SIT

Spanish Peseta

ESP

British Pound

GBP

Swedish Krona

SEK

Swiss Franc

CHF

Turkish New Lira

TRY

Ukraine Hryvnia

UAH

Serbian Dinar

RSD

Special Drawing Rights

XDR

Africa & Gulf
Algerian Dinar

DZD

Angola Kwanza

AOA

Bahrain Dinar

BHD

Botswana Pula

BWP

Burundi Franc

BIF

Central African Franc

XAF

Comorian FrancKMF

Congo Dem. Rep. Franc

CDF

Cote D’Ivorie Franc

XOF

Egyptian Pound

EGP

Ethiopia Birr

ETB

Gambian Dalasi

GMD

Ghana Cedi

GHS

Guinean Franc

GNF

Kenyan Shilling

KES

Israeli Shekel

ILS

Jordanian Dinar

JOD

Lesotho Loti

LSL

Kuwaiti Dinar

KWD

Lebanese Pound

LBP

Mauritanian Ouguiya

MRU

Malagasy Ariary

MGA

Malawi Kwacha

MWK

Mozambique Metical

MZN

Mauritius Rupee

MUR

Moroccan Dirham

MAD

Omani Rial

OMR

Namibia Dollar

NAD

Nigerian Naira

NGN

Saudi Arabian Riyal

SAR

Qatar Rial

QAR

Qatar Rial Offshore

QOF

Rwanda Franc

RWF

South African Rand

ZAR

Seychelles Rupee

SCR

Sierra Leone

SLE

Tanzania Shilling

TZS

Tunisian Dinar

TND

Swaziland Lilangeni

SZL

Ugandan Shilling

UGX

Yemen RialYER

UAE Dirham

AED

New Zambian Kwacha

ZMW

Zimbabwe Gold

ZWG

Australian Dollar

AUD

Azerbaijan Manat

AZN

Bangladesh Taka

BDT

Bhutan Ngultrum

BTN

Brunei Dollar

BND

Chinese R. Yuan

CNY

Chinese R. Yuan HK

CNH

Fiji Islands Dollar

FJD

Georgia Lari

GEL

Hong Kong Dollar

HKD

Indian Rupee

INR

Kazakhstan Tenge

KZT

Indonesian Rupiah

IDR

Japanese Yen

JPY

Malaysian Ringgit

MYR

Kyrgyzstan Som

KGS

Macao Pataca

MOP

Nepal Rupee

NPR

Maldives Rufiyaa

MVR

Mongolia Tugrik

MNT

Pakistani Rupee

PKR

New Zealand Dollar

NZD

Pacifique FrancXPF

Samoa Tala

WST

Papua NG Kina

PGK

Philippine Piso

PHP

South Korean Won

KRWSingapore Dollar

SGD

Solomon Islands Dollar

SBD

Thai Baht

THB

Sri Lanka Rupee

LKR

Taiwan Dollar

TWD

Uzbekistan Som

UZSThai Baht Offshore

TOF

Tonga Pa’angaTOP

Vanuatu Vatu

VUVVietnam Dong

VND

Asia-Pacific

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Americas

2.7

Argentine Peso

ARS

Aruba Guilder

AWG

Bahamas Dollar

BSD

Barbados Dollar

BBD

Belize Dollar

BZD

Bermudan Dollar

BMD

Bolivian Boliviano

BOB

Brazilian Real

BRL

Canadian Dollar

CAD

Cayman Islands Dollar

KYD

Chilean Peso

CLP

Colombian Peso

COP

Costa Rica Colon

CRC

Cuba Peso

CUP

Dominican Republic Peso

DOP

East Caribbean Dollar

XCD

Ecuadorian SucreECSEl Salvador Colon

SVC

Guatemala Quetzal

GTQ

Haiti Gourde

HTG

Honduras Lempira

HNL

Jamaica Dollar

JMD

Mexican Peso

MXN

Netherlands Antilles Guilder

ANG

Nicaragua Gold
Cordoba

NIO

Panama Balboa

PAB

Paraguay Guarano

PYG

Peru New Sol

PEN

Surinam Dollar

SRD

Trindad & Tobago Dollar

TTD

Uruguay PesoUYU

US Dollar

USD

Venezuelan Soberano

VES

Coverage of Tokyo Spot Rates
Coverage is currently in the following 31 currencies:
EuropeCzech Koruna

CZK

Danish Krone

DKK

Euro

EUR

Hungarian Forint

HUF

Norwegian Krone

NOK

Polish Zloty

PLN

Romanian Leu

RON

Russian Rouble

RUB

Sterling

GBP

Swedish Krone

SEK

Swiss FrancCHF

New Turkish Lira

TRY

Israeli Shekel

ILS

Kuwaiti Dinar

KWD

Saudi Arabian Riyal

SARSouth African Rand

ZAR

UAE Dirham

AED

Australian Dollar

AUD

Chinese R. Yuan HK

CNH

Hong Kong Dollar

HKD

Indian Rupee

INR

Indonesian Rupiah

IDR

Japanese Yen

JPY

New Zealand Dollar

NZD

Singapore Dollar

SGD

S. Korean Won

KRW

Taiwan Dollar

TWD

Thai Baht

THB

CAD

Mexican Peso

MXN

US Dollar

USD

Africa & Gulf

Asia-Pacific

Americas
Canadian Dollar

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Chapter 3

WMR Forward rates
3.

WM/FTSE forwar d rates

3.1

Coverage
The rates are intended to cover the currencies for those countries where a significant level of forward
trading exists in the country’s currency and where forward quotes are reliably available on RBSL.
The coverage is presently 80 currencies and is periodically reviewed as more information is made available
in the market.
Bid, offer and mid rates against the USD, GBP and EUR are provided. A list of currencies covered is under
section 3.6.
The time periods covered for the forward rates are:
– ON Overnight– TN Tomorrow Next
– SW Spot Week (One Week)– 1M One Month– 2M Two Months– 3M Three Months– 6M Six Months– 9M Nine Months– 1Y One Year
– 2Y Two Years (Some Currencies Only)– 5Y Five Years (Some Currencies Only)

3.2

Timing
The rates are intended to be “intraday and closing” rates. The normal calculation times are hourly from06:00 to 21:00 UK time Monday to Friday. In addition, RBSL publishes at 17:00 hours New York time, 10:00
hours Sydney time, 14:00 hours New Zealand time, 10:00 Tokyo time, 11:00 hours Singapore time, 11:00
Bangkok time and 16:00 hours Sydney time.
A different calculation time may be used for reasons that include the following:– An earlier time is chosen by RBSL according to the policy on national holidays (see section 6.1).
– An earlier or later time is chosen by RBSL due to technical difficulties in receiving or failure in supply of
the source financial data.
– An earlier or later time is chosen by RBSL for particular currencies due to special market conditions.
Target time for the publication of the service is 30 minutes after the calculation time.
The rates published as at 4 p.m. UK time are the Closing Forward rates.

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3.3

Sourcing
The LSEG Market Data System is the sole infrastructure and technology system used to source the forward
FX rates from multiple, market participants to be used in the calculation of the rates. Other sources may be
used by exception where the appropriate rates are not available on the RBSL architecture.
As far as possible, the underlying rates used are those deemed to be the most appropriate for foreign
investment transactions. These will normally be commercial interbank bid and offer premiums or discounts.
A different type of rate may be selected by RBSL if commercial interbank bid and offer rates are notavailable for a particular currency.
RBSL, using Expert Judgement determines the appropriate data sources to be used on a per currency
basis, subject to the oversight of the governance process please refer to our RBSL Benchmark Methodology
Change and Cessation Policy. Data sources are reviewed periodically and clients will be advised prior to
any material change being made.
The criteria used for selecting the source of forward FX rates are the quality and representativeness of
those rates with respect to the wider market. The “base” currency for rates selected from the Market Data
System will normally be the US dollar. However, this may be changed for particular currencies if RBSL
believes that more appropriate or representative quotations are available against a different base currency.
The choice of rates for any particular currency lies with RBSL and other market sources are used by RBSL
for quality control purposes.
For some currencies, forward rates are not available, and the market uses Non-Deliverable Forward (NDF)
rates instead. The premium/discount NDF currencies included in the Forwards services are ARS, BRL, CLP,
COP and PEN. Also, due to there being distinct “onshore” and “offshore” forward rates for SGD, we provide
offshore rates. For Thailand, we provide both onshore rates, THB, and offshore rates, TOF.
Where data sufficiency is limited, RBSL, will use its own judgement to determine representative andmeaningful market rates.
RBSL also provides outright NDF Rate services, detailed in section 4.

3.4

Calculation Method
The FX Forward market is constantly monitored by capturing rates every 2 minutes and performing
continuous and interactive validation. The captured market data is subject to currency specific systematic
tolerance checks which identify outlying data. Validation is performed on the outlying data by Operations
Specialists, who will seek corroboration, or rely upon their own judgement to determine the market level. On
the hour a snapshot of quoted rates is taken for each tenor, and considered the benchmark rate, subject tofurther currency specific tolerance checks prior to publication.
The use of such judgement may be appropriate to assess the validity of rates throughout this process, withquality control guidelines and procedures governing each application of such judgement.
Once the rates have been validated, premiums and discounts to GBP and EUR are calculated using theoutright forward rates; an example of this is under section 7.3, with further information on the calculation of
the cross rates detailed in Section 2.4.4. Legacy currency premium/discounts are calculated using the fixed
euro conversion rates; an example is shown under section 7.4. Further base currencies may be published,
and if so, these will be calculated using the same principles.
All forward rates are published using premiums or discounts that can be directly added to the spot rate toprovide an outright forward rate. Note that ON and TN premiums/discounts should be subtracted from the
spot rate to calculate an outright forward rate. ISO codes are used.
All forward rates (bid, offer and mid) are rounded to six decimal places after the decimal point. Where a “5”is encountered, the convention is to round up.

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3.4.1

Local Close Currencies
For currencies where offshore trading is not permitted, the forward rates are published in line with local
market levels. This means that when local markets are opened, the published forward rates will reflect
activity in that market. When the local market closes, the forward rates in each subsequent publication(hourly) remain unchanged.
This impacts the following currencies. Please note that the “Open Time” and “Close Time” for each currency
are subject to change.
ISO

Open time

Close timeCNY

01:15 GMT

09:00 GMT

IDR

01:15 GMT

08:00 GMT

INR

03:45 GMT

10:00 GMT

KRW

23:15 GMT

07:00 GMT

MYR

23:15 GMT

10:00 GMT

PHP

00:15 GMT

08:00 GMT

THB

00:15 GMT

10:00 GMT

TWD

00:15 GMT

07:00 GMT

The method of calculating the rates is protected by a patent awarded in 2008, US serial 2002–0042765.
3.5

Forward Rate Products– Closing Forward Rates– Historical Forward Rates– Intraday Forwards Rates

3.6

Coverage of Forward Rates
Coverage is currently in the following 79 currencies:
EuropeAustrian SchillingATS

Belgian Franc

BEF

Bulgarian Lev

BGN

Croatian Kuna

HRK

Cyprus Pound

CYP

Czech Koruna

CZK

Danish Krone

DKK

Estonian Kroon

EEK

Ecu

XEU

Euro

EUR

Finnish Markka

FIM

French FrancFRF

Deutsche Mark

DEM

Greek Drachma

GRD

Hungarian Forint

HUF

Iceland Krona

ISK

Irish Punt

IEP

Italian Lira

ITL

Latvian Lat

LVL

Lithuanian Litas

LTL

Maltese Lira

MTL

Dutch Guilder

NLG

Norwegian Krone

NOK

Polish Zloty

PLN

Portuguese Escudo

PTE

Romanian Leu

RON

Russian Rouble

RUB

Serbian Dinar

RSD

Slovakian Koruna

SKK

Slovenian Tolar

SIT

Spanish Peseta

ESP

British Pound

GBP

Swedish Krone

SEK

Swiss FrancCHF

New Turkish Lira

TRY

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Africa & Gulf
Bahrain Dinar

BHD

Botswana Pula

BWP

Ghana Cedi

GHS

Israeli Shekel

ILS

Jordanian Dinar

JOD

Kenyan Shilling

KES

Kuwaiti Dinar

KWD

Moroccan Dirham

MAD

Omani Rial

OMR

Qatar Rial

QAR

Nigerian NairaNGNSouth African Rand

ZAR

Tunisian Dinar

TND

Saudi Arabian Riyal

SAR

Ugandan ShillingUGX

New Zambian Kwacha

ZMW

UAE Dirham

AED

Australian Dollar

AUD

Chinese R. Yuan

CNY

Chinese R. Yuan HK

CNH

Hong Kong Dollar

HKD

Indian Rupee

INR

Indonesian Rupiah

IDR

Japanese Yen

JPY

Kazakhstan Tenge

KZTMalaysian Ringgit

MYR

New Zealand Dollar

NZD

Pakistani Rupee

PKR

Philippine Piso

PHP

Singapore Dollar

SGD

S. Korean Won

KRW

Sri Lanka Rupee

LKR

Taiwan Dollar

TWD

Thai Baht

THB

Thai Baht Offshore

TOF

Vietnam Dong

VND

Asia-Pacific

Americas
Argentine Peso

ARS

Brazilian Real

BRL

Canadian Dollar

CAD

Chilean Peso

CLP

Colombian Peso

COP

Mexican Peso

MXN

Peru New Sol

PEN

US Dollar

USD

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Chapter 4

WMR NDF rates
4.

WM/FTSE NDF r ates

4.1

Coverage
The rates are intended to cover the currencies that do not allow offshore entities to trade with thelocal market.
The coverage is presently 11 currencies and is periodically reviewed as more information is made available.
Bid, offer and mid outright rates are published against USD, GBP and EUR. A list of currencies covered isunder section 4.6.
The time periods covered for NDF rates are:
– SW Spot Week (One Week)– 1M One Month– 2M Two Months– 3M Three Months– 6M Six Months– 9M Nine Months– 1Y One Year
– 2Y Two Years (Some Currencies Only)– 5Y Five Years (Some Currencies Only)

4.2

Timing
The rates are intended to be “intraday and closing” rates. The normal calculation times are hourly from06:00 to 21:00 UK time Monday to Friday. In addition, we publish at 17:00 hours New York time, 10:00
hours Sydney time, 14:00 hours New Zealand time, 10:00 Tokyo time, 11:00 hours Singapore time, 11:00
Bangkok time and 16:00 hours Sydney time.
A different calculation time may be used for reasons that include:– An earlier time is chosen by RBSL according to the policy on national holidays (see section 6.1).
– An earlier or later time is chosen by RBSL due to technical difficulties in receiving or failure in supply of
the source financial data.
– An earlier or later time is chosen by RBSL for particular currencies due to special market conditions.
RBSL’s target for completion of calculation and publication of the service is 30 minutes after the
calculation times.
The rates published as at 4 p.m. UK time are the Closing NDF rates.

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4.3

Sourcing
The LSEG Market Data System is the sole infrastructure and technology system used to source the NDF FX
rates from multiple, market participants to be used in the calculation of the NDF rates. Other sources may
be used by exception where the appropriate rates are not available on the RBSL architecture.
As far as possible, the underlying rates used are those deemed to be the most appropriate for foreign
investment transactions. These will normally be commercial interbank bid and offer NDF.
RBSL, using Expert Judgement determines the appropriate data sources to be used on a per currency
basis, subject to the oversight of the governance process please refer to our Benchmark Methodology
Change and Cessation Policy. Data sources are reviewed periodically and clients will be advised prior to
any material change being madeThe criteria used for selecting the source of NDF FX rates are the quality and representativeness of those
rates with respect to the wider market. The “base” currency for rates selected from the Market Data System
will normally be the US dollar. However, this may be changed for particular currencies if RBSL believes
more appropriate or representative quotations are available against a different base currency.
The choice of rates for any particular currency lies with RBSL and other market sources are used by RBSL
for quality control purposes. Where data sufficiency is limited, RBSL, will use its own judgement todetermine representative and meaningful market rates.

4.4

Calculation Method
The FX Non Deliverable Forward market is constantly monitored by capturing rates every 2 minutes andperforming continuous and interactive validation. The captured market data is subject to currency specificsystematic tolerance checks which identify outlying data. Validation is performed on the outlying data by
Operations Specialists, who will seek corroboration, or rely upon their own judgement to determine themarket level. On the hour a snapshot of quoted rates is taken for each tenor, and considered the benchmark
rate, subject to further currency specific tolerance checks prior to publication.
The use of RBSLsell own judgement may be appropriate to assess the validity of rates throughout thisprocess, with quality control guidelines and procedures governing each application of such judgement.
Once the rates have been validated, outright rates to GBP and EUR are calculated; an example of this isunder section 7.5. Further information on the use and calculation of cross rates is detailed in Section 2.4.4.
All NDF rates (bid, offer and mid) are rounded to six decimal places after the decimal point. Where a “5” isencountered, the convention is to round up.
The method of calculating the rates is protected by a patent awarded in 2008, US serial 2002-0042765.

4.5

NDF Rate Products– Closing NDF Rates– Historical NDF Rates– Intraday NDF Rates

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4.6

Coverage of NDF Rates
Coverage is currently in the following 12 currencies:
EuropeRussian Rouble

RUBNDF

Ukraine Hryvnia

UAHNDF

EGPNDF

Nigerian NairaNGNNDF

Chinese R. Yuan

CNYNDF

Indian Rupee

INRNDF

Indonesian Rupiah

IDRNDF

Kazakhstan Tenge

KZTNDF

Malaysian Ringgit

MYRNDF

Philippine Piso

PHPNDFSouth Korean Won

KRWNDF

Taiwanese Dollar

TWDNDF

Africa & Gulf
Egyptian Pound

Asia-Pacific

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Chapter 5

WMR Metals Rates
1.

WM/FTSE NDF r ates

5.1

Coverage
The rates are intended to reflect the underlying trading market for Spot Gold, Spot Silver, Spot Platinum andSpot Palladium as shown under section 5.6 below

5.2

Timing
The normal calculation times are hourly from Monday 06:00 Hong Kong/Singapore to Friday 22:00 in theUK.
Different calculation times may be used for reasons that include the following:•
An earlier time is chosen by RBSL according to the policy on national holidays (see section
6.1).
•
An earlier or later time is chosen by RBSL due to technical difficulties in receiving or failure insupply of the source financial data.
•
An earlier or later time is chosen by RBSL for due to special market conditions.
RBSL target for completion of calculation and publication of the service is 15 minutes after the
calculation time.
The rates published as at 4 p.m. UK time are the Closing Metals rates.

5.3

Sourcing
The LSEG Market Data System is the primary infrastructure and technology used to source metal spot rates
from multiple, market participants to be used in the calculation of the rates. RBSL, using Expert Judgement,
determines the appropriate data sources to be used on a per currency basis. This is subject to the oversightof the governance process. Please refer to our Changes to the Methodology and Service Policy for further
information. Data sources are reviewed periodically and clients will be advised prior to any material change
being made.
The criteria used for selecting the source of metal spot rates are the quality and representativeness of those
rates with respect to the wider market. The underlying rates used are those deemed to be the mostappropriate for foreign investment transactions.
All metals in the WMR Metal benchmarks are referred to as “Trade Metals” or “Non-trade Metals”.
For Trade Metals, the data source (“Data Source”) to be used is determined by RBSL on a per currency
basis and based primarily on the liquidity available on the trading platform in said currencies. Such Data
Sources are reviewed periodically with respect to their quality and the representativeness of the rates withrespect to the wider market. Data Source for the determination of the benchmarks is the EBS ordermatching platform. The benchmarks are not based on the contribution of input data. Readily available input
data for determination of the benchmarks from the platform is either traded rates or order rates, with traded
rates taking precedence where available subject to the RBSL’s expert judgment.

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The Data Source for Non-Trade Metals is LSEG indicative quote data from multi contributor instrument
codes. Where data sufficiency is limited, RBSL, will use its own Expert Judgement to determine
representative and meaningful market rates. A different type of rate may be selected by RBSL if the Bid andoffer rates are not available for a particular metal spot rate. RBSL has in place internal guidelines and quality
control procedures that govern the application of Expert Judgement and are intended to provide consistency
and oversight to this process. Employees receive initial and on-going training in how to comply with theseguidelines and procedures.
Trade Metals
The following 2 Metals (XAG AND XAU) are referred to as “Trade Metals.” Bona fide arm’s lengthtransactional Trade and Order rates are sourced from the EBS platform. The Trade and Order rates areused in the validation and calculation of these currencies.
The primary source of rates will be actual traded rates taken from EBS, as detailed above “Traded
rates/Trades”.
The secondary source of rates will be the bid/offer rates on the order matching systems of EBS “Orderrates/Orders”.
Metal spot rate quotes from RICs will be captured for instances where neither Trades nor Orders areavailable.
All other Metals not identified above as ‘trade’ Metals can be assumed to be ‘non trade’.
Base Currency
The “base” currency is the US dollar. However, this may be changed for particular currencies if RBSL
believes that more appropriate or representative quotations are available against a different base currency.
5.4

Calculation Method

5.4.1

Non-Trade Metals
The Metals spot rate market is constantly monitored by capturing rates every 15 seconds and performing
continuous and interactive validation.
The captured market data is subject to specific systematic tolerance checks which will identify outlying data.
Validation is performed on the outlying data by Operations Specialists, who will seek corroboration, or rely
upon their own judgement to determine the market level. The calculated benchmark is then subject to further
specific tolerance checks prior to publication. The use of Expert Judgement may be appropriate to assess
the validity of rates throughout this process, with quality control guidelines and procedures governing eachapplication of such judgement.
Over a five minute period snapshots of the quoted rates are taken from the LSEG Market Data platform.
These are extracted at 15 second intervals from 2 minutes 30 seconds before to 2 minutes 30 seconds after
the calculation time.
The median bid and offer rates are independently calculated from the individual snapshots for eachcurrency. These bid and offer rates are validated prior to publication, against currency specific thresholds
and this may result in Expert Judgement being applied.

5.4.2

Traded Rates

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The Metals spot rate market is constantly monitored by capturing rates every 15 seconds.
Over a five-minute period, actual trades executed and bid and offer order rates from the EBS order matchingsystem are captured every second from 2 minutes 30 seconds before to 2 minutes 30 seconds after the timeof the calculation (e.g. hour and/or ½ hour). Trading occurs in milliseconds on the trading platform andtherefore not every trade or order is captured, just a sample.
From the data source, a single traded rate will be captured each second and this will be identified as a bid oroffer depending on whether the Trade is a buy or sell. A spread will be applied to the Trade rate to calculate
the opposite bid or offer. The spread applied will be determined by the Order rate captured at the same time.
All captured Trades will be subjected to validation checks. This may result in some captured data being
excluded from the calculation.
Subject to a minimum number of valid Trades being present within this pool of data, using a thresholddetermined by RBSL based on Expert Judgement, the Trade rates will be used for the benchmark. A
median Trade bid and Trade offer are calculated independently, using data from the EBS trades. The midrate is calculated from the median Trade bid and Trade offer. A minimum “Standard Spread” is applied tothe mid-rate to calculate a new bid and offer. These bid, offer and mid rates will be validated prior to
publication, against currency specific tolerance thresholds, and this may result in Expert Judgement being
applied.
Where the number of valid executed traded rates falls below the threshold determined by RBSL Expert
Judgement, then data from the EBS order matching system will be used in the calculation of the benchmark
rate. The best bid and best offer rates will be captured simultaneously to the Trade data. All captured Orderrates will be subjected to validation checks. This may result in some captured data being excluded from thecalculation.
The mid-rate is calculated from the median Order bid and Order offer. A minimum Standard Spread isapplied to the mid-rate to calculate a new bid and offer. These bid and offer rates will be validated prior to
publication, against currency specific tolerance thresholds, and this may result in Expert Judgement being
applied.
Bid, offer and mid rates are derived. Mid rates are calculated as the arithmetic mean of rounded bid andoffer rates. Bid and offer rates are published to four decimal places; the mid rates are published to fivedecimal places. Where a “5” is encountered, the convention is to round up.
Standard Spreads
To publish spreads which are reflective of metal spot rate markets, RBSL sets pre-defined minimum andmaximum spreads for each metal, at each calculation time. These are variable across the metals to reflect
different market levels and changes in liquidity at different times of day. In order to reflect actual market
conditions, if the market dictates spreads which are greater than the pre-defined minimum spread and lessthan the pre-defined maximum spread, then these wider spreads will be used in the benchmark calculation –up to the maximum spread as predefined in the system. In the event the market dictates spreads which arewider than the predefined maximum standard spreads, further analysis will be undertaken.
5.5

Metals Rates Products– Closing Metals Rates– Historical Metals Rates– Intraday Metals Rates

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5.6

Coverage of Metals Rates
Coverage is currently in the following 4 spot rates:
MetalsGold

XAU

SilverXAG

Palladium

XPD

Platinum

XPT

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Chapter 6

WMR Policies and Procedures
2.

6.1

The spot & forward rates

Policy on National Holidays
The benchmark rates will be produced on all weekdays of the year, subject to the policy detailed below.
For further information, there is a schedule available that covers the service alterations up to five years
in advance.
Click here to view
On national holiday dates, the principle is that the rates should be calculated at the normal times up to thelatest calculation time possible without compromising the quality of the rates.
In practice, national holidays in the following four financial centres will be monitored in advance: US, UK,
Germany and Japan. WMR Closing Spot and Forward Rates will be produced as normal if two or more ofthese centres are open. WMR Intraday Spot and Forward Rates may not be produced on any day if one ormore of these financial centres are closed.
If only one centre is open, the normal policy will be that no benchmark rates will be produced. When the
WMR rates are not produced; benchmark rates from the previous/last published time would be used.
However, if such a situation occurs on a month- end, then further analysis will be carried out as to othermarkets that are open and a decision taken as to whether or not to produce benchmark rates.
Special circumstances may arise on the last weekdays prior to Christmas and New Year’s where althoughmarkets are open, they may close early and therefore be illiquid at some normal calculation times. Under
these circumstances, RBSL may take a decision to revert to an earlier calculation time with the intent of
ensuring the integrity of the rates.
Please note the 12pm EST (CAD Noon) Intraday Spot rate service observes the statutory holidays adopted
by Canada and therefore these particular benchmark rates will not be published on the market holiday
dates. Click here to view
On the occasions when the WMR services are being published as normal but specific market holidays resultin no liquidity for particular currencies/metals; the WMR benchmarks will continue to provide the last
published benchmark rate for those currencies/metals.

6.2

Disruption to Service
RBSLhas robust controls and resilience architecture in place and where necessary, RBSL will invoke thesecontrols to minimise any disruption to the service. RBSL has procedures in place to minimise the impact of apotential failover, but in exceptional circumstances it may not be possible for RBSL to produce an accuratebenchmark rate. When this arises RBSL will notify clients as early as possible. Following any such incident,
RBSL will undertake a full investigation and consider any remediation steps identified.

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6.3

Disruption to FX/Metals Rates
RBSL appreciates that economic realities could from time to time disrupt normal market conditions andcould create unusually illiquid or fragmented markets. When this occurs RBSL will use reasonable effort toprovide an email notification to clients advising the nature and impact of the disruption. If you wish to receive
these notifications, please contact: wmr.sales@lseg.com.
In the event that a disruption prevents reliable benchmark rates from being determined, RBSL will
endeavour to re-publish the most recent benchmark rates until the disruption has ended, or changes
implemented. Reliability of benchmark rates following a disruption will be determined using Expert
Judgement.
Where the disruption extends into the longer term, RBSL will use commercially reasonable efforts to identify
additional solutions to provide a benchmark rate which is representative of the market.

6.4

Cessation
RBSL accepts that it may be necessary to terminate the calculation and publication of a benchmark,currency, metal or forward tenor currently provided within the WMR service. This may be due to external
factors beyond RBSL control, for example a market structure change or to a deterioration of data
sufficiency. RBSL will consult with subscribers and work to identify whether a credible alternative which
continues to represent the underlying interest can be identified.
If a credible alternative is identified then RBSL will endeavour to assess the viability of that alternative fully,
again consulting with subscribers, as appropriate. If cessation is unavoidable RBSL will endeavour to assist
subscribers in the selection process of an alternative benchmark. Contracts and other financial instrumentsthat reference a benchmark need robust contingency provisions in the event of material changes to, or
cessation of, the referenced benchmark. Please refer to our RBSL Benchmark Methodology Change andCessation Policy.

6.5

Complaints Procedure
Clients are invited to raise price challenges or other queries or complaints through our mailbox
wmr.ops@lseg.com. Each price challenge will be investigated in line with our RBSL Complaints, Operational
Enquiries & Price Challenges Handling Policy. Other inquiries and complaints will be addressed pursuant tothe appropriate internal guidelines or policies.

6.6

Republication of Rates
Under exceptional circumstances, it may be necessary to amend the rates for one or morecurrencies/metals after publication. This will be determined by RBSL, after consultation with key users, if
appropriate. Under no circumstances will the WMR Spot, Forward or Metals Rates for one day be amended
after the publication of the following weekday’s rates at the same publication time.
All material evidence will be retained as part of our Republication of the WMR FX Benchmark Rates Policy

6.7

Changes to Methodology and Service
RBSL shall review the methodology in accordance with the RBSL Benchmark Internal Review Procedures.
A review may suggest a material change to the methodology, including the validation process, or to changes
to the tolerances used in the validation process. A material methodology change is defined as a change
which fundamentally alters the process by which a benchmark rate is calculated. A review may also suggest
a service change, defined as an amendment to coverage or to the availability of particular benchmark rates.
Changes to the methodology shall be made in accordance with the RBSL Benchmark Methodology Change
Procedures. A service change shall be treated as a methodology change.

6.8

Potential Limitations of the Methodology
The ability of RBSL to determine and publish the WMR Benchmarks in accordance with this methodology
depends on (i) activity in each currency/metal on a case by case basis and for all tenors including spot and(ii) the quality and representativeness of the rates available to RBSL for the calculation of the Benchmarks.

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If any reduction of quality in the rates or fragmentation of activity is identified or foreseen, RBSL shall review
the methodology and its effectiveness in determining suitable benchmarks given conditions in the underlying
markets. Such reviews shall be in accordance with the procedures described in the Changes to
Methodology and Service section of this methodology.
6.9

Delivery Methods
All services are available directly from RBSL on an hourly or daily basis utilising Web-based technology.
These delivery methods range from e-mail to faster methods for time-critical applications. Services are alsoavailable through LSEG applications such as Eikon and Datastream.
Also, the services are available via a range of data distributors. These are subject to change but currently
include (in alphabetical order):– Bloomberg– Enfusion– Enverus– FactSet Digital Solutions– FIS– ICE Data Services– Markit– Morningstar– Nomura Research Institute– NTT Data Financial– Rimes Technologies– SIX Financial Information– SS&C Technologies Inc.
– StatPro Canada Inc.

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Chapter 7

Cross calculations
3.

7.1

Cross c alc ulati ons

Crossed Spot Rates
For currencies where the market convention is for the spot date to be T+1, no adjustment is made and thecalculation is performed as if both currencies are T+2.
T+1 Currencies
The following currencies follow the market convention where the spot date is T+1:
CAD Canadian Dollar, RUB Russian Rouble, TRY Turkish Lira and PHP Philippine Peso
No adjustment is made and the calculation is performed as if both currencies are T+2.
Likewise no adjustment is made in the cross calculation when market holidays are observed in eitheror the crossing currency. Cross rates to further base currencies may be published, and if so, these will becalculated using the same principles.

7.2

For Currencies Quoted in Units to USD (For Example, CAD)
Sterling Cross Calculation
GBP/CAD bid=(USD/CAD bid)*

(GBP/USD bid)

GBP/CAD offer=(USD/CAD offer)*(GBP/USD offer)Euro Cross Calculation

7.3

EUR/CAD bid=(USD/CAD bid)*

(EUR/USD bid)

EUR/CAD offer=(USD/CAD offer)*(EUR/USD offer)

For Currencies Quoted in USD per Unit (For Example, AUD)
Sterling Cross Calculation
GBP/AUD bid=(GBP/USD bid)/

(AUD/USD offer)

GBP/AUD offer=(GBP/USD offer)/(AUD/USD bid)

Euro Cross Calculation

7.4

EUR/AUD bid=(EUR/USD bid)/

(AUD/USD offer)

EUR/AUD offer=(EUR/USD offer)/(AUD/USD bid)

For Currencies Quoted in Units to EUR (For Example, SEK)USD Cross Calculation
USD/SEK bid=(EUR/SEK bid)/

(EUR/USD offer)

USD/SEK offer=(EUR/SEK offer)/(EUR/USD bid)

Sterling Cross Calculation
GBP/SEK bid=(USD/SEK bid)*

(GBP/USD bid)

GBP/SEK offer=(USD/SEK offer)*(GBP/USD offer)

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7.5

EMU Legacy Spot Rates
The same principle applies for all legacy currencies. DEM is used in the formulas below:
USD/DEM Bid Rate Calculation
Invert the EUR/USD offer rate; this now becomes the USD/EUR bid.
Then:
USD/DEM bid=

USD/EUR bid*

EUR fixed conversion rate

USD/DEM Offer Rate Calculation
Invert the EUR/USD bid rate; this now becomes the USD/EUR offer rate.
Then:
USD/DEM offer =7.6

USD/EUR offer*

EUR fixed conversion rate

Crossed Forward Rates
For currencies where the market convention is for the spot date to be T+1, no adjustment is made and thecalculation is performed as if both currencies are T+2.
T+1 Currencies
The following currencies follow the market convention where the spot date is T+1: CAD Canadian Dollar,
RUB Russian Rouble, TRY Turkish Lira and PHP Philippine Peso
No adjustment is made, and the calculation is performed as if both currencies are T+2.
Likewise no adjustment is made in the cross calculation when market holidays are observed in eitheror the crossing currency. Cross rates to further base currencies may be published, and if so, these will becalculated using the same principles.
Example of How to Calculate the GBP/CAD 1M (One Month) Bid Premium/DiscountUse the bid rate for all of the following calculations:– Add the USD/CAD 1M premium/discount to the USD/CAD spot rate = the USD/CAD 1M outrightforward rate
– Add the GBP/USD 1M premium/discount to the GBP/USD spot rate. = the GBP/USD 1M outrightforward rate
– Multiply these two outright forward rates together = the GBP/CAD 1M outright rate
– GBP/CAD 1M outright forward rate – GBP/CAD spot rate = GBP/CAD 1M premium/discount Therefore:– USD/CAD 1M premium/discount bid + USD/CAD spot bid = USD/CAD 1M outright rate bid– GBP/USD 1M premium/discount bid + GBP/USD spot bid = GBP/USD 1M outright rate bid– USD/CAD 1M outright rate bid * GBP/USD 1M outright rate bid = GBP/CAD 1M outright rate bid– GBP/CAD 1M outright rate bid – GBP/CAD spot bid = GBP/CAD 1M premium/discount bid

7.7

EMU Legacy Forward Rates
Example of How to Calculate the USD/DEM 1M Bid Premium/Discount– Add the EUR/USD 1M ask premium/discount to the EUR/USD ask spot rate = the EUR/USD 1M outrightask forward rate
– Invert EUR/USD; this ask figure now becomes the bid = USD/EUR 1M outright bid forward rate
– Multiply the newly created USD/EUR bid rate and the EUR/DEM fixed conversion rate = the USD/DEM
1M outright bid rate

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– USD/DEM 1M outright bid rate – USD/DEM spot bid rate = USD/DEM 1M bid premium/discount rate
Therefore:– EUR/USD 1M premium/discount ask + EUR/USD spot ask = EUR/USD 1M outright rate ask– USD/EUR * EUR/DEM conversion rate = USD/DEM 1M outright bid– USD/DEM 1M outright rate bid – USD/DEM spot bid rate = USD/DEM 1M bid premium/discountforward rate
7.8

Crossed NDF Rates
Example of How to Calculate the GBP/CNYNDF 1M Bid Outright Use the bid rate for all of the following
calculations:– Add the GBP/USD 1M premium/discount to the GBP/USD spot rate = the GBP/USD 1M outrightforward rate
– Multiply USD/CNYNDF 1M outright bid * GBP/USD 1M outright bid = GBP/CNYNDF 1M outright rate
Therefore:– GBP/USD 1M premium/discount bid + GBP/USD spot bid = GBP/USD 1M outright bid– USD/CNYNDF 1M outright rate bid * GBP/USD 1M outright bid = GBP/CNYNDF 1M outright rate bid

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Chapter 8

Glossary
4.

Gloss ary

– Administration – Includes all stages and processes involved in the production and dissemination of a Benchmark,including:– Collecting, analysing and/or processing information or expressions of opinion for the purposes of thedetermination of a Benchmark;– Determining a Benchmark through the application of a formula or another method of calculating the information
or expressions of opinions provided for that purpose; and– Dissemination to users, including any review, adjustment and modification to this process.
– Administrator – An organisation or legal person that controls the creation and operation of the Benchmark
Administration process, whether or not it owns the intellectual property relating to the Benchmark. In particular, it
has responsibility for all stages of the Benchmark Administration process, including:– The calculation of the Benchmark;– Determining and applying the Benchmark Methodology; and– Disseminating the Benchmark.
– Arm’s Length Transaction – as defined by the IOSCO Principles, this refers to a transaction between two parties
that is concluded on terms that are not influenced by a conflict of interest.
– Benchmark – a standard against which foreign exchange rates may be measured.
– Benchmark Oversight Committee – established to perform oversight of the WMR spot, forward and nondeliverable forward rate Benchmarks and RBSLs’ role as administrator of the Benchmark Rates. It will also be
responsible for reviewing and advising on the policies and methodologies by which RBSL calculates, administers
and publishes the Benchmark Rates, including for the avoidance of doubt, any cessation of Benchmark Rates.
– Bona Fide – as defined by the IOSCO Principles, this refers to data where the parties submitting the data haveexecuted, or are prepared to execute, transactions generating such data and the concluded transactions were
executed at arm’s length from each other.
– Closing Rate – RBSL defines 4pm London as the Closing Rate benchmark rates.
– Economic Realities – the appreciation that the availability, depth and quality of market data will vary from one
market to another depending on the evolution and liquidity available within that market.
– Interbank – conducted between or involving two or more banks.
– Intraday Rate – RBSL produces benchmark rates throughout the day; all rates except the Closing Rates arereferred to as Intraday.
– Inverted – when a currency’s market quotation is shown as the number of US dollars required to buy one unit offoreign currency, also known as ‘American terms’ or ‘Direct’.
– Non Inverted – when a currency’s market quotation is shown as the number of foreign currency required to buy one
USD. Also known as ‘European terms’ or ‘Indirect’

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– Methodology – The written rules and procedures according to which information is collected and the Benchmark is
determined.
– IOSCO Principles – ‘The Principles for Financial Benchmarks’ as at July 2013, published by The Board of theInternational Organization of Securities Commissions.
– Local Close Currencies – currencies identified by RBSL where offshore trading is not permitted. Rates are only
published during local market opening hours, with no further updates permitted to the benchmark rate once thatmarket closes.
– Metal/Metals - a precious metal spot rate.
– Multi Contributor Rate – a composite feed from RBSL which is typically updated by more than one contributor.
– Official Benchmarks – a daily exchange rate for a local currency based on market conditions, usually withinvolvement from the Central Bank.
– Offshore – a market where non domestic banks can participate.
– Onshore – a market which is accessible to domestic banks only.
– Single Source – where currency markets are restricted or illiquid, the data inputs maybe limited to a primary
provider.
– WMR Currency Review Group – the group within RBSL responsible for the periodic review of currency, metals
and tenor specific systematic tolerances which enables the effective monitoring and scrutiny of pre-publication
monitoring, as well as ex post analysis of trends and outliers.

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Appendix 1

Source of WMR Spot benchmark rates – Traded Currencies
ISO

LSEG Matching

EBS

AUD

Included in all benchmark rate
calculations

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

CAD

Included in all benchmark rate
calculations

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

CHF

Included in all benchmark rate
calculations

Included in all benchmark rate calculations

CNH

Included in all benchmark rate
calculations

Included in all benchmark rate calculations

CZK

Included in all benchmark rate
calculations

DKK

Included in all benchmark rate
calculations

EUR

Included in all benchmark rate
calculations

Included in all benchmark rate calculations

GBP

Included in all benchmark rate
calculations

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

HKD

Included in all benchmark rate
calculations

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

HUF

Included in all benchmark rate
calculations

ILS

Included in all benchmark rate
calculations

INR

Included in all benchmark rate
calculations when the local markets are
open

JPY

Included in all benchmark rate
calculations

MXN

Included in all benchmark rate
calculations

NOK

Included in all benchmark rate
calculations

NZD

Included in all benchmark rate
calculations

PLN

Included in all benchmark rate
calculations

RON

Included in all benchmark rate
calculations

RUB

Included in all benchmark rate
calculations

FTSE Russell

Included in all benchmark rate calculations

Currenex

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

Included in all benchmark rate
calculations

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

Included in all benchmark rate calculations

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Source of WMR Spot benchmark rates – Traded Currencies
ISO

LSEG Matching

SEK

Included in all benchmark rate
calculations

SGD

Included in all benchmark rate
calculations

THB

Included in all benchmark rate
calculations when the local markets are
open

TOF

Included in all benchmark rate
calculations

TRY

Included in all benchmark rate
calculations

ZAR

Included in all benchmark rate
calculations

EBS

Currenex

Included in all benchmark rate calculations,
except from 9pm to 12am UK Inclusive

If you would like to learn more about the WMR Rates Service, please visit our website or contact us by telephone ore-mail. A service representative will be available 24 hours a day from Monday 06:00 Hong Kong/Singapore until Friday
22:00 UK time.
Client Subscriptions:
UK Toll Free: 0800 023 4130
International: + 44 (0) 0131 376 0007
Email: wmr.sales@lseg.com

Operations:
UK Toll Free: 0800 028 2551
International: + 44 (0) 131 376 0004
Email: wmr.ops@lseg.com

WMR FX Benchmarks | LSEGFTSE Russell

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”) (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
and (9) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL, and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”,“ICB®”, “Refinitiv”, “Beyond Ratings®”, “WMR™”, “FR™” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service
marks owned or licensed by the applicable member of LSEG or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI
Europe, WOFE, RBSL, RL or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator. Refinitiv Benchmark
Services (UK) Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by LSEG, from sources believed by it to be accurate andreliable. Because of the possibility of human and mechanical inaccuracy as well as other factors, however, such information and data is provided "as is" without warranty of any kind.
No member of LSEG nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly,
either as to the accuracy, timeliness, completeness, merchantability of any information or LSEG Products, or of results to be obtained from the use of LSEG products, including but notlimited to indices, rates, data and analytics, or the fitness or suitability of the LSEG products for any particular purpose to which they might be put. The user of the information assumes
the entire risk of any use it may make or permit to be made of the information.
No responsibility or liability can be accepted by any member of LSEG nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or inpart caused by, resulting from, or relating to any inaccuracy (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing,transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of LSEG is advised in advance of the possibility of such damages, resulting from the use of, or inability to use,such information.
No member of LSEG nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in this document should be taken as constituting
financial or investment advice. No member of LSEG nor their respective directors, officers, employees, partners or licensors make any representation regarding the advisability ofinvesting in any asset or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any
information herein. Indices and rates cannot be invested in directly. Inclusion of an asset in an index or rate is not a recommendation to buy, sell or hold that asset nor confirmation thatany particular investor may lawfully buy, sell or hold the asset or an index or rate containing the asset. The general information contained in this publication should not be acted upon
without obtaining specific legal, tax, and investment advice from a licensed professional.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index and/or rate returns shown may not represent the results of theactual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index or rate inception date is back-tested
performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index
or rate was officially launched. However, back-tested data may reflect the application of the index or rate methodology with the benefit of hindsight, and the historic calculations of anindex or rate may change from month to month based on revisions to the underlying economic data used in the calculation of the index or rate.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate.
Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of LSEG
nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise,
without prior written permission of the applicable member of LSEG. Use and distribution of LSEG data requires a licence from LSEG and/or its licensors.

About FTSE Russell
FTSE Russell is a leading global provider of benchmarks, analytics and data solutions with multi-asset capabilities, offering a precise view of themarkets relevant to any investment process. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks havechosen FTSE Russell indexes to benchmark their investment performance and create investment funds, ETFs, structured products and index-based
derivatives. FTSE Russell indexes also provide clients with tools for performance benchmarking, asset allocation, investment strategy analysis andrisk management.

To learn more, visit lseg.com/en/ftse-russell; email info@ftserussell.com; or call your regional Client Service team office:
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Asia-PacificHong Kong +852 2164 3333
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