Bloomberg Launches Canadian FX Benchmark Rates

Bloomberg has launched Canadian FX benchmark rates (BFIX) a week ahead of the Bank of Canada’s planned changes to the timing, frequency and calculation of the daily average rate for currencies against the Canadian dollar.

The central bank said these changes, due to go into effect on March 1, will reinforce the distinction between FX rate fixings used as benchmarks for transactional purposes and Bank of Canada exchange rates that are provided as a public good – for statistical, analytical and informational purposes only.

Bloomberg’s Canada BFIX is a family of benchmarks that can be used for portfolio benchmarking, derivatives valuation, index construction and trade execution. 

The rates are designed for use by corporate treasury professionals to get an accurate price in currency transactions, and by asset and pension fund managers to demonstrate best execution for investments. 

BFIX covers spot, forward and non-deliverable forward (NDF) rates. They are based on a Time Weighted Average Price (TWAP) methodology that captures streaming bid/ask data – indicative executable and executed – from multiple FX pricing providers.

“Canadian corporates and investors will see the latest market changes next week,” says Ben Macdonald, Bloomberg’s global head of product. “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 Bloomberg Canada BFIX follows on the heels of its European BFIX counterpart that was introduced before the European Central Bank withdrew from providing FX reference rates as a transactional benchmark in July 2016. 

The BFIX family of benchmarks was confirmed to be aligned with the International Organisation of Securities Commissions’ (IOSCO) Principles for Financial Benchmarks, which was announced in May 2016.

Data will be available for the Canadian dollar with the following currency pairs: Australian dollar, Brazilian real, Chinese renminbi, European 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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