What is WMR fixing?

Ask most treasury teams what they paid on their last currency conversion and the honest answer is that they aren't sure. They know the rate they received. What's harder to see is how far that rate sat from the market at the moment they traded, and so what the conversion actually cost.

That gap is where a provider's margin lives. In most bank FX, the margin isn't shown as a separate fee. It's built into the rate, which makes it easy to overlook and hard to compare.

A benchmark rate changes that. It gives you a published, independent reference point, so the cost of a conversion becomes something you can see.

What WMR fixing is

The WM/Reuters FX benchmarks, usually shortened to WMR, is by far the most widely used reference rates in the currency market. They were launched in 1994 and are now administered by FTSE Russell, part of LSEG. The administrator is authorised and regulated by the FCA under the UK Benchmarks Regulation, and in 2024 the WMR closing spot rates were designated critical benchmarks.

WMR publishes spot rates for 157 currencies. Rates are calculated hourly through the trading week, and half-hourly for the most traded currencies. The best known is the 4pm London closing rate, which fund managers, index providers, and banks around the world use to value portfolios.

When people talk about "the fix", this is usually what they mean: a single rate for a currency pair, at a set time, that everyone can look up afterwards.

How the rate is calculated

For the major currencies, WMR takes data from the large electronic platforms where banks trade with each other, LSEG Matching, and EBS. It takes snapshots every 15 seconds over a five-minute window centred on the fixing time, from two and a half minutes before to two and a half minutes after.

From those snapshots it calculates the median bid and the median offer. Using the median across a window, rather than a single moment, means one unusual trade can't move the rate. The mid-point between bid and offer is the mid-market rate.

Pips and basis points

FX pricing is often quoted in two different units, which doesn't help.

A pip is the smallest standard movement in an exchange rate, usually the fourth decimal place. If EUR/GBP moves from 0.8700 to 0.8701, that's one pip.

A basis point is one hundredth of one per cent of the amount you convert. It's the more useful measure for cost, because it applies to the size of the trade whatever the currency pair. On a £1 million conversion, every basis point is £100, so a margin of 20 basis points costs £2,000.

If a provider quotes in pips, it's worth converting to basis points before comparing.

Why a benchmark helps treasury teams

A published fix gives you three things.

The first is a fair reference. The rate comes from the wider market, so neither you nor your provider chooses it.

The second is a way to measure cost. Compare the rate you received against the fix at the time, and the difference is what you paid.

The third is a set time to trade. Many treasury teams don't have a dedicated FX desk, and deciding when to convert is rarely straightforward. Trading at a scheduled fix takes that decision away.

How currency conversion works on TreasurySpring

When a fixed-term fund matures, clients can convert the proceeds into another currency on the platform and reinvest or withdraw the same day.

The rate is the WMR fixing at [11:00 London time], plus a spread agreed with each client in advance. Because the fix is published, you can check every conversion against it. The spread is the only cost, and you know it before you trade.

Cash stays invested until conversion day, so there's no gap where it sits idle while it moves between accounts.

If you'd like to know what your current FX is costing you, we're happy to look at a few recent trades with you and compare them against the market rate. [Contact link]

Sources

• WMR FX benchmarks: the global standard for currency valuation, LSEG, October 2024
• WMR FX Benchmarks methodology, FTSE Russell

*TreasurySpring’s blogs and commentaries are provided for general information purposes only, and do not constitute legal, investment or other advice.