FTSE Russell Factsheet

Accessing WMR FX
Benchmark Rates Via
Bloomberg
To view a list of all WMR FX Benchmark services available, please refer to the homepage on
Bloomberg which can be found by typing in “WMCO <GO>”.
The homepage details the page numbers specific to each WMR FX Benchmark service andbase currencies as follows:
WMR service
1Options

Daily spot rates– Spot rates current daily fixing

USD based
GBP based
EUR based

2

Daily spot rates and historical– Spot rates current and historical daily fixings

USD based
GBP based
EUR based
Tokyo fixing

3

Intraday hourly and half-hourly spot rates– Intraday spots hourly and half-hourly

Hourly USD based
Hourly GBP based
Hourly EUR based
Half-hourly USD/GBP/EUR based

4

Daily forward rates– Forward rates daily fixings

USD based
GBP based
EUR based

5

Daily forward rates and historical– Forward rates current and historical daily fixings

USD based
GBP based
EUR based

6

Intraday forward rates (factored)– Intraday forward pages

USD based
GBP based
EUR based

7

Intraday forwards digital (non-factored)– Intraday forwards digital

USD based
GBP based
EUR based

89Daily and intraday non- deliverable forward rates

Intraday USD/GBP/EUR based– Non-deliverable forward rates

Daily USD/GBP/EUR based

Contact information– WMR contacts

Contact details
To request information

10Pricing sources– WMR pricing sources

11

AFMA/NZFMA spot rates– Hedge settlement fixing rates

AFMA/NZFMA spot rates

Up to date as of January 2020

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Accessing WMR FX Benchmark Rates Via Bloomberg

NB: Page WMAU also provides WMR daily at 10 a.m. and 4 p.m. Australian Easter Standard
Time (AEST), and at 2 p.m. New Zealand Standard Time (NZST). It uses the New ZealandFinancial Markets Association (NZFMA) reference rates.
The option to view and download the WMR rates is available. When downloading using
Bloomberg’s API system, the following XDF codes can be used for various WMR services:
Closing spot rates

WMCD

Closing spot and history rates

WMCO

Closing forward rates

WMCF

Closing forward and history rates

WMHF

Closing NDF rates

WMND

Intraday spot rates

WMIS

Intraday forward rates

WMIFIntraday NDF rates

WMIN

Half-hourly intraday rates

WMHH

Tokyo 9.55 JST fixing

WMTF

Questions and assistance
For information on using Bloomberg tickers (which may differ from WMR currency codes)
please refer to page WCV.
If you are experiencing problems retrieving the WMR rates, this may be due to your CUST
number not having sufficient permission to view the data.
Please telephone or email the WMR FX Benchmark team directly to resolve this at 0800 023
4130/+44 (0) 131 376 0007 / wmr.sales@lseg.com
Please quote your full office postal address and Bloomberg terminal CUST number (this can befound by typing “IAM <GO>” into your Bloomberg terminal).
For any Bloomberg application questions or assistance, please contact Bloomberg directly byhitting the “HELP” key twice on your Bloomberg terminal.
Please find further information regarding how to view and download specific services below:
Closing rates
Download function: for example, if you wish to download EUR/JPY closing spot rate, you would
need to select “WMCD” in the XDF screen and use the following ticker: “EURJPY WMCDCurncy (F11) <GO>”.
Download function: for forward rates, use: “AUD1M WMCF Curncy (F11) <GO>” (for AUD/USD
one-month forward rate).
Download function: for closing spot rate history data, you must access the corresponding ticker
and then type “HP <GO>”.
For example, “EURJPY WMCO Curncy (F11) HP <GO>”.
Download function: for closing forward rate history data, change setting to “Points” as yourpreference for viewing forward rates history “PCS <go>”. Access the corresponding ticker, thentype “HP <GO>”. For example, “EURJPY WMHF Curncy (F11) HP <GO>”
View function: for history data, please follow the following example: “WMCO”
Choose options “4 - 6 <GO>” (depending on the base currency required)
Choose the opposing currency e.g., “opt 9 CZK <GO>” “HP <GO>” (historical price)
Please note that the majority of historical data on Bloomberg is available from 1999 – but
subject to currency. Ad hoc historical data may be obtained directly from WMR.
Intraday rates
Download function: for example, if you wish to download EUR/JPY intraday spot rate, you would
need to select “WMIS” in the XDF screen and use the following ticker: “EURJPY WMIS Curncy(F11) <GO>”.
Download function: for intraday forward rates, use the following: “AUD1M WMIF
Curncy (F11) <GO>”.

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Accessing WMR FX Benchmark Rates Via Bloomberg

View function: all intraday history rates can be accessed through the QRM screen.
For example, “GBP WMIS Curncy (F11), QRM <GO>”. 50 days of historical, hourly data
is available.
View function: for 9 p.m. UK Time intraday history rates, type in “HP <GO>” from the screenwith the specific currency you wish to view.
How to download WMR intraday spot and intraday forward rates from Bloomberg(“WMCO<GO>”) into Microsoft Excel®:
The easiest way is to open an Excel worksheet and click on the “Bloomberg” tab at the top. You
can find it to the right of the toolbar containing “File”, “Edit” and “View”. Select “Import Data”
from the drop-down menu that appears and select “Historical Intraday Bars”.
Next, drag and drop the tickers from the WMCO page using thesymbol in the top-rightcorner of the page (e.g., “WMCO10<GO>” for USD intraday spots) and drop them into thecolumn on the right entitled “Selected securities” in the Bloomberg Excel wizard. Note that thiswill drag all tickers on the page. However, you can drag and drop them individually too.
After this, click on “Next”, check “Trade” under “Market Events” and “Close” under “Intervalfields” and select your timeframe for the data you want. Since the fixings are hourly, you canleave the interval size as it is. Click on “Next” twice, select how you want the data to be placedin the sheet and click on “Finish”. You will then have the requested data in Excel.
WMR rates – different Bloomberg ticker codes
Please note that Bloomberg utilise some different ticker codes compared to the undernoted
WMR currency ISO codes:
WMR forward currency code

Bloomberg ticker code

ARS

APN

BRL

BCN

CLP

CHN

CNY

CCO

COP

CLN

EGP

EPN

IDR

IHO

INR

IRO

KZT

KTN

MYR

MRO

NGN

NNO

PEN

PSN

PHP

PPO

PKR

PRO

THB

Not available on Bloomberg

TOF

THBO

TWD

USD NTO/GBP TRBPO/ EUR TREUO

VND

VDOWMR NDF currency code

Bloomberg ticker code

CNYNDFCCN+

IDRNDFIHN+

INRNDFIRN+

KZTNDFKTN+

KRWNDFKWN+

MYRNDFMRN+NGNNDFNNN+

PHPNDFPPN+

RUBNDFRUB+

TWDNDFNTN+

UAHNDFUKN+

VNDNDF

VDN+

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Accessing WMR FX Benchmark Rates Via Bloomberg

Please note tickers for Thai baht policy
Bloomberg no longer provide WMR THB (Thai Baht onshore) rates.
Any WMR Thai baht rates on Bloomberg are TOF (Thai Baht offshore).
Tickers THBO (and its aliases THO, THBONSH and USDTHBO), EURTHBO and GBPTHBO
have been discontinued. If you have been using these tickers for BGN or CMPN Thai baht spotrates, please use tickers THB, EURTHB and GBPTHB instead.
If you have been using the tickers for rates from WMR on source codes WMCD, WMCO orWMIS, please use tickers THB, EURTHB and GBPTHB and source codes WMTO, WMTH andWMTI as per the following examples:
THBO WMCD → THB WMTO
THBO WMCO → THB WMTH
THBO WMIS → THB WMTILSEG is one of the world’s largest providers of financial markets data and infrastructure, serving
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