WM/Reuters Benchmark Rates

What they are

WM/Reuters benchmark rates are standardized spot and forward foreign-exchange rates used for portfolio valuation and performance measurement. The service—originally launched as the WM/Reuters Closing Spot Rate in 1994—provides intraday and closing FX rates so valuations across portfolios and indices can be compared consistently without adjusting for currency differences.

Who provides them

Thomson Reuters (via the WMR business acquired from State Street) compiles and distributes the rates.

Coverage and products

• Spot rates: closing and intraday spot rates for a broad set of currencies.
• Forwards and non-deliverable forwards (NDFs): historical and closing rates.
• Scope: expanded from 40 currencies at acquisition to coverage of 155 closing spot currencies, with hourly intraday updates for spot, forwards, and NDFs.

How the rates are determined

• Fix window: a five-minute period centered on the fix time (typically 4:00 p.m. London), from 2 minutes 30 seconds before to 2 minutes 30 seconds after the fix.
• Data captured: bid/offer quotes from the order-matching systems and actual trades during that window. Because trades occur very quickly, the process samples the available activity.
• Calculation: median bid and median offer are computed from valid rates in the window; the mid-rate is derived from those medians.

Why they matter

• Widely used by index compilers, money managers, pension funds, and other institutions to value trillions of dollars in assets and to calculate benchmark returns.
• Also used for settlement benchmarks in certain derivatives contracts.
• Some banks offer client guarantees to trade at WM/Reuters rates.

Related concepts

• Non-Deliverable Forward (NDF): an FX forward contract used for currencies that are not freely deliverable. Settlement is typically in cash (often U.S. dollars) based on the difference between the contracted NDF rate and the prevailing spot/reference rate at maturity.
• Intraday vs. interday trading: intraday (day) trading occurs within the same trading day; interday trading involves holding positions overnight.

Controversy and oversight

The benchmark-fixing methodology received intense scrutiny after 2013 allegations of collusion and manipulation by traders. As with any market benchmark, governance, transparency, and oversight are important to maintain integrity.

Takeaway

WM/Reuters benchmark rates are a widely adopted set of FX reference rates used to standardize valuations and performance measurement across portfolios and benchmarks. They provide timely spot, forward, and NDF rates across many currencies, but users should understand how the five-minute fixing process works and be aware of past governance issues. If you plan to rely on these rates for trading or valuation decisions, consult an experienced broker or advisor to ensure they suit your needs.