FX Fixings: London and Tokyo

An FX fixing is a benchmark exchange rate calculated at a specific time each day. Asset managers use fixings to value portfolios, index providers use them to calculate index returns and companies use them to convert payments. Because many orders are executed "at the fix", trading volume and price moves can spike in the minutes around fixing times. The two best known are the WM/Reuters London 4 p.m. fix and the Tokyo fix at 9:55 a.m. Tokyo time.

The WM/Reuters London 4 p.m. fix#

Now administered by LSEG (formerly Refinitiv), the WM/Reuters benchmark rates are calculated for many currencies throughout the day, but the 4 p.m. London rate is the most widely used. It is the standard for valuing global equity and bond indices, such as those from MSCI and FTSE Russell, so index tracking funds often need to trade currencies at that rate.

• Calculation window: since 2015, the 4 p.m. rate has been based on trades and quotes over a five minute window, from 3:57:30 to 4:02:30 p.m. London time, using median rates from several trading platforms.
• Who uses it: pension funds, index funds, custodians and companies.

The Tokyo fix#

The Tokyo fix, set by Japanese banks at 9:55 a.m. Tokyo time, is used by Japanese companies and investors for converting yen, especially for import and export payments. USD/JPY can show distinctive moves around this time, particularly on "gotobi" days (dates ending in 5 or 0) when many Japanese companies settle payments.

Why flows cluster at the fix#

Clients who want to trade at the benchmark give banks "fix orders". Banks must deliver the fixing rate, so they buy or sell around the window. When fix orders are heavily one sided, prices can move in the direction of the imbalance before and during the window, then sometimes reverse afterwards.

The 2013 fixing scandal#

In 2013, reports revealed that traders at several large banks had shared information about client fix orders in chat rooms and coordinated trading to move the 4 p.m. rate in their favour. Regulators in the US, UK and Switzerland fined banks more than $10 billion in total, and the scandal led to reforms, including the wider five minute calculation window recommended by the Financial Stability Board in 2014. See Market Manipulation and Front-Running.

Trading around the fix#

Short term traders should know when fixing windows occur, especially at month and quarter end, and either avoid them or plan for higher volatility. See Forex Trading Sessions and FX Liquidity.

Other benchmarks#

• ECB euro reference rates: published daily around 2:15 p.m. Central European Time, used for information and some contracts.
• WM/Reuters intraday fixes: calculated at other times of day.
• Emerging market fixings: many countries publish official rates used to settle non deliverable forwards. See Non-Deliverable Forwards (NDFs).

Frequently asked questions#

What is the London 4pm fix?#

The WM/Reuters benchmark exchange rate calculated around 4 p.m. London time, widely used to value indices and portfolios.

What happened in the FX fixing scandal?#

Traders at several banks shared client order information and coordinated trading to influence benchmark rates, leading to over $10 billion in fines and reforms to how the fix is calculated.

Why is the forex market volatile at 4pm London time?#

Because many funds and companies trade at the fix, especially at month end, creating large, sometimes one sided flows during the calculation window.

Next, learn how liquidity varies across the currency market in FX Liquidity.