Bloomberg Indexes Unveils New Canadian FX Benchmark

The integrity of FX rate benchmarks has been called into question after potential manipulative trades in the currency markets.

Bloomberg, operator of some of the world’s largest trading platforms, today unveiled a new FX benchmark service called Bloomberg’s Canada BFIX. The new foreign exchange benchmark provides investors a new way to assess, hedge, trade or invest in the value of the Canadian dollar.

Bloomberg’s Canada BFIX is the latest offering from the index provider that operates in the global fixed-income, currency and commodity markets.

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The new index covers spot, forward and non-deliverable forward (NDF) rates. It is calculated based on a Time Weighted Average Price (TWAP) methodology using foreign exchange rates generated independently from multiple FX pricing providers.

Intended to be licensed to financial institutions throughout the world, the benchmark aims to provide an accurate reflection of Canadian dollar performance against the following currencies:  Australian dollar, Brazilian real, Chinese renminbi, EU euro, Hong Kong dollar, Indian rupee, Indonesian rupiah, Japanese yen, Malaysian ringgit, Mexican peso, New Zealand dollar, Norwegian krone, Peruvian new sol, Russian ruble, Saudi riyal, Singapore dollar, South African rand, South Korean won, Swedish krona, Swiss franc, Taiwanese dollar, Thai baht, Turkish lira, UK pound sterling and US dollar.

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Pricing with more accuracy and transparency

Bloomberg’s Canada BFIX represents developed and emerging market currencies with the most liquidity and the largest trade flows with Canada. The 25 currencies represented in the index include many absent from traditional indices, such as Canada’s leading trading partners in Asia and the Middle East.

Ben Macdonald, Bloomberg’s Global Head of Product, commented on the new index: “Canadian corporates and investors will see the latest market changes next week. Bloomberg is ready, willing and able to provide them with a new, flexible and reliable set of data to help them get currency pricing with even more accuracy and transparency.”

The integrity of foreign exchange rate benchmarks has been called into question after several regulators worldwide launched investigations into potential manipulative trades in the currency markets.

 

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