What is the Integral FX Benchmark?

The Integral FX Benchmark (FXB) is a downloadable set of second-by-second foreign exchange reference rates representing the mid-rate for major currency pairs. FXB is available online to registered users at no charge.

For the purpose of FXB, a trading day is defined as the 24-hour period between 22:00 GMT - 22:00 GMT, reflecting the open of the Sydney trading session, and the close of the New York trading session.

Who stands behind FXB?

The data for FXB is collected by Integral, the provider of FX Grid®, one of the largest OTC FX networks. The methodology was developed in collaboration with Stanford University, with feedback from buy-side FX market participants. For more information about Integral and FX Grid®, please visit www.integral.com.

How is Integral FX Benchmark formulated?

Integral FX Benchmark represents the mid-rate for each currency pair on a second-by-second basis.

FXB is formulated in a multi-step process. The first step selects a subset of price streams from the hundreds of executable institutional streams available on FX Grid®, Integral's OTC FX network. Selection of these price streams is based on a model that considers market factors, including consistency of spreads, coverage across time-zones and price resiliency.

The next step consists of profiling and calculating the mid-rate and a set of associated statistics for each stream, for each second of the day, for each currency pair.

Finally, these stream profiles are used to calculate the benchmark mid-rates for each second. Constraints exist to ensure against any market participant's over-representation. Throughout each step, the data is analyzed and filtered to ensure that the final benchmark is the most accurate representation of the market available.

What are the benefits of Integral FX Benchmark?

Unlike many asset classes, foreign exchange currently has no source of reference rates that allows investors and traders to benchmark their execution on a continuous basis. The existing fixing rates are calculated infrequently and are not widely available. For the first time, FXB will make second-by-second mid-rates available at no cost for FX market participants.

FXB is derived from a very large set of executable price streams from FX Grid®, one of the largest OTC FX trading networks, and is the most accurate representation of FX markets at each given second. With this added transparency, investors will have answers to questions such as 'where was the market when my trade was executed?' A reliable, continuous benchmark is also a key ingredient in performing other add-on services, such as meaningful transaction cost analysis (TCA).

What is the frequency of update for Integral FX Benchmark?

The Integral FX Benchmark will become available for download each day after the close of trading in New York.

Why is Integral providing this benchmark?

Integral has always been focused on increasing market transparency and reducing friction for foreign exchange market participants. As a neutral technology provider operating one of the largest OTC FX trading networks, Integral is in a unique position to offer this service for the entire FX market.

Who can use Integral FX Benchmark?

FXB is available to any interested party, including active market participants, university research teams, research firms, and regulators.

How can I get access to these benchmark rates?

Integral FX Benchmark (FXB) is available for free on www.FXBenchmark.com. You need to register to download the data sets and to receive updates. If you experience any difficulties during the registration process, or have other questions, please contact the Integral FXB team at FXB@integral.com.