What are WM/Reuters Benchmark Rates?
The WM/Reuters FX benchmark rates consist of spot and forward foreign exchange rates, serving as standard metrics for portfolio valuation and performance assessment. Introduced in 1994, these rates help ensure accurate comparisons among portfolio valuations without currency discrepancies influencing the results.
Basics of WM/Reuters Benchmark Rates
Originally offering closing spot rates for 40 currencies, the service now covers 155 currencies and includes spot, forward, and non-deliverable forward (NDF) rates on an hourly basis. These rates are widely utilized by major equity and bond index compilers and are instrumental in the settlement of financial derivatives.
How Rates are Determined
WM/Reuters benchmark rates are fixed during a specific five-minute window around 4 p.m. London time. This method involves capturing trades and quotes within this window, from which the median bid and offer rates are derived to calculate the benchmark rate. This process ensures that the rates reflect actual market conditions during the fixing period.
