Briefing Note: Market highs and lows

The GFMA’s Global Foreign Exchange Division (GFXD) would like to comment on behalf of its members on the processes within the market of referencing market high/lows, recognising too the guidance from the FX Global Code.

November 2017

The objective of the following is to promote transparency in how platforms and venues determine highs and lows, whilst recognizing that different highs and lows may exist in the market for the same currency pair and that the liquidity of currency pairs may change depending on the geographic region and time of day:

  • Venues that provide market high/lows should provide disclosure and transparency into their determinations of highs and lows noting that there is limited support for high/lows which rely on indicative activity;
  • Platforms may adopt individual mechanisms in calculating highs and lows which may result in different levels for the same currency pair;
  • In order to promote transparency, good practice would be for i) platforms (when publishing high/lows) to update their highs and lows to exclude cancelled trades, and ii) venues to update their highs and lows to exclude cancelled trades to the extent notified of any such cancellations and/or provide notification explaining that the venue’s determination may include cancelled trades; and,
  • When determining highs and lows, venues and platforms should rely on their prices from foreign exchange transactions during their standard trading hours for the relevant determination date. 
  • Contact Us

    James Kemp
    Managing Director
    +44 (0) 203 828 2705 

    Victoria Cumings
    Managing Director, Americas
    +00 (1) 212 313 1141
    John Ball
    Managing Director, Asia Pacific   
    + 852 2531 6512

    Andrew Harvey 
    Managing Director, Europe
    +44 (0) 203 828 2694   

    Fiona Willis
    +44 (0) 203 828 2739

    Ben Pibulsonggram
    +00 (1) 212 313 1247

  • FX Steering Committee
    FX Operations Committee

    Simon Manwaring
    Natwest Markets, Chair  

    Adam Vos
    BNY Mellon, Vice Chair

    Kiran Choudrie
    Royal Bank of Canada Europe, Treasurer

    Jan Smorczewski
    Bank of America Merrill Lynch 

    James Hassett  

    Francisco Oliveira
    BNP Paribas 
    Itay Tuchman  
    Citi Global Markets

    Andy Soper
    Credit Agricole  

    Shane O’Cuinn
    Credit Suisse

    Russell Lascala  
    Deutsche Bank

    Kayhan Mirza
    Goldman Sachs

    Richard Bibbey

    Claudia Jury
    JP Morgan

    Rob Hale
    Lloyds Banking Group

    Hiroaki Aoyama
    Mizuho Bank
    Senad Prusac
    Morgan Stanley

    Yoshiyasu Inoue
    MUFG Bank

    Asa Atwell

    Sian Hurrell  
    Royal Bank of Canada Europe

    Bill Kellet

    Thomas Gillie  
    Societe Generale
    Alex Axentiev
    Standard Chartered 

    Anthony Bisegna
    State Street

    Chris Purves

    Ben Bonner
    Wells Fargo

    Graeme Edie
    Westpac Institutional Bank  

    Ken Bentsen