The methodologies used to calculate financial benchmarks have long been a subject of debate, with much of the back-and-forth centring on their representativeness and vulnerability to manipulation.
While Libor became the posterchild for benchmark dysfunction, concerns about daily foreign exchange fixings came to the fore at the start of the Covid-19 crisis, when unusual price swings were observed during the trading windows used to calculate the benchmarks.
The episode prompted Refinitiv to launch a public consultation on lengthening the calculation window for its widely used WM/R benchmark, which is determined over a five-minute period either side of 4pm in London.
Proponents of longer calculation windows argue it would make the benchmark harder to manipulate and significantly lower transaction costs for end-users. But that thesis has never been rigorously tested and proven.
Window addressing
A new
