EBS RBS FiX: First FX benchmark to include market depth in its calculation

6th February 2003

The Royal Bank of Scotland Financial Markets ("RBS") and EBSÒÔ, the leading provider of liquidity to the inter-bank spot Foreign Exchange market, have developed a new FX benchmark, the EBS RBS FiX. The EBS RBS FiX generates benchmarks for 61 currencies, “fixed” at set points throughout each major trading time zone and published shortly thereafter. It is anticipated that these "fixings" will become the most accurate and independent representation of the FX market.

Foreign exchange benchmarks are currency rates derived from multiple, independent market data sources, calculated using standard formulae and verified using mathematical algorithms. The market rates used in the benchmarks are typically available to the inter-bank market only. However, EBS RBS FiX prices are available to non inter-bank clients, giving them access to a more accurate representation of the FX market and a price they can trust.

EBS RBS FiX benchmarks are a snapshot of the FX market that take into account rates leading up to the fixing to ensure that accurate rates are always produced, even in volatile markets. Uniquely, market depth (the amount of currency available on the bid and the offer) is also a key component of the benchmark calculations. The rates will be published to Bloomberg, Moneyline Telerate, Reuters (page EBSRBSFIX) and other information providers. The EBS RBS FiX will be identified by the following symbol:

"Bringing together the relative market strengths of EBS and RBS in this way is very powerful and has resulted in a benchmark product that we believe will quickly become the market standard" says Jonathan Quin, Head of eCommerce Business Development, RBS. "EBS’ methodology incorporates key market depth information into its benchmark calculations and the EBS rate generated reflects the liquidity available on both the bid and offer. This differentiates the EBS RBS FiX from all other benchmark products".

Benchmarks are increasingly popular for corporate treasuries, investors and trading intermediaries as they provide an independent rate that can be substantiated internally to subsidiaries or externally to clients without needing to check the price against other systems or banks. Deloitte and Touche are conducting a review of the EBS RBS FiX process in accordance with the guidance issued by the AICPA in SAS No. 70.

"Our successful collaboration with RBS has resulted in an innovative and valuable product and a new standard in foreign exchange benchmarking", commented Jack Jeffery, Chief Executive Officer, EBS. "We believe that there will be significant demand beyond the traditional inter-bank market for timely and accurate market snapshots".

Separately, RBS has developed an online trading product allowing clients to deal at the EBS RBS FiX prices at pre-agreed spreads. The product gives clients full price transparency and an efficient method of transacting any number of deals at the same time. To save time and increase efficiency, clients can upload transactions to be dealt at any fixing in the future and can download completed deals directly into their systems or spreadsheets, eliminating manual intervention and opportunity for error. An Automated Programming Interface (API) is also available for automated trading, booking and straight through processing of high volumes of trades.

"Increasingly, multi-national treasuries are centralising dealing operations to reduce cost. In these circumstances, the dealing system developed by RBS can by used to aggregate, net and control subsidiary flows; an ideal solution where deal amounts are too small to justify individual manual dealing. Through the system, clients can reduce the manual costs of FX transaction, confirmation and settlement, increase price accuracy and take advantage of straight through processing efficiencies", said Martin Spurr, head of eVentures, RBS.

This is just one of a suite of FX eCommerce products that RBS has developed. A streaming price module has also recently been launched and RBS offers online Request For Quote (RFQ) dealing for FX, Money Markets and Options products. All of RBS’ dealing products are available via the website.

Become a bobsguide member to access the following

1. Unrestricted access to bobsguide
2. Send a proposal request
3. Insights delivered daily to your inbox
4. Career development