WM/Reuters Spot & Forward Rates Methodology Guide

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WM/Reuters Spot & Forward Rates Methodology Guide

Posted by BOOGIE145 on Wednesday, June 12, 2013 Under: 848FINACE

Scope of the rates and

methodology of their calculation

SECTION 1 — INTRODUCTION

1.1 History

The WM/Reuters Closing Spot Rates service was introduced

in 1994 to provide a standard set of currency rates so that

portfolio valuations could be compared with each other and

their performance measured against benchmarks without

having any differences caused by exchange rates. These rates

were rapidly adopted by index compilers, the

Financial Times

and other users and became the de facto standard for closing

spot rates on a global basis.

In 1997, the WM/Reuters Closing Forward Rates service was

launched to complement the Closing Spot Rates service.

In 2001, the WM/Reuters Intraday Spot Rates service was

launched to extend the spot rates product and meet customers’

growing requirements. In 2004, the currency coverage was

increased by 49, taking the total number of spot rate currencies

provided to 158. This service has recently been expanded to

provide hourly spot rates from Monday 07:00 in Sydney until

Friday at 22:00 in the UK.

In March 2004, the coverage of the Closing Forward rates was

extended to cover 73 currencies and additional time periods

for some currencies. In August 2004, Intraday Forwards were

launched at 08:00, 10:00, 12:00, and 14:00 UK time. Further

enhancements were made in June 2005 when the 21:00 UK

time was introduced, and in January 2007, this was increased

to an hourly service from 07:00–21:00 hours UK time. In June

2009, additional times of 17:00 New York time, 10:00 Sydney

time and 14:00 New Zealand time were introduced.

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