4pm FX Fixing Costs – Analysis

In yesterday’s post we looked at the rolling average cost of using the 4pm fixing rate as opposed to using a Time Weighted Average Price (T-WAP) to execute your FX business.  We have been asked to break down the data a little more, so here is the spread of...

What does using the 4pm fix actually cost you?

Looking at GBP/USD over the last year, and measuring cost against a Time Weighted Average Price for each day, we find that over the period studied, the cost to the investor of using the 4pm fix was 11bps per transaction over and above the T-WAP.  That’s a lot....

Index Data for Q1

Looking at the basket indices we produce we can see a positive overall risk appetite indicated by the NCCI Big Index, with much of that positive return is being driven by EM currencies and commodities.  Is all the doom and gloom overdone, or is FX just behind the...

Q1 Winners & Losers in FX

Here are the Year To Date returns for the New Change Currency Indices.  It will surprise you little that Ukraine has been having a difficult time of it, but at the other end of the spectrum IDR and BRL have been storming away.  Our general view of this is that value...

FX Does Class Action

From the Wall Street Journal: Investors Sue 12 Banks, Allege Conspiracy to Rig Forex Markets By KATY BURNE CONNECT March 31, 2014 11:08 p.m. ET A dozen large investors filed a joint lawsuit against 12 banks for allegedly conspiring to rig global foreign-exchange...