Two major dealers say they have combined their data sources for use in pricing currencies every half hour.
EBS, the electronic currency-dealing business of interdealer broker ICAP, and Thomson Reuters, the provider of financial information for businesses, said they are using a proprietary algorithm to ‘blend’ data each uses, in order to come up with broader calculations of currency ‘fixes’ every 30 minutes.
The combined fixes started on January 14, the two companies said. The fixes are based on reference data from transactions occurring in near real time.
Previously the 30-minute fixed rates were based solely on the platform that was traditionally the primary liquidity pool in each currency
EBS is the leading liquidity provider for widely traded currencies such as the euro, yen and Swiss franc.
Thomson Reuters is strong in so-called Commonwealth currencies which include the British pound as well as the Australian, Canadian and New Zealand dollars.
Calculations from the blended fixing are available on Thomson Reuters’ Eikon service for desktop computers, immediately.
The blended FX fixing will be available on the EBS Market later this year.
“By blending Thomson Reuters and EBS sources for our 30-minute FX fixings we are ensuring that maximum liquidity has been calculated within each currency fixing and therefore providing maximum transparency for the marketplace as a whole,’’ said Phil Weisberg, global head of foreign exchange, Thomson Reuters, in a statement.
The move will help create “a fair, robust and transparent marketplace,’’ said EBS chief executive Gil Mandelzis.
The companies fixing services were created in 2006, after the Bank of England stopped providing fixes. Benchmarking twice a day, at 11 a.m. and 4 p.m. gave way to 30-minute fixings in March 2011.
