WMR Intraday Spot Rate benchmarks - Intraday liquidity in APAC currencies

Key takeaways: 

• WMR Closing Spot Rates (London 4pm) represent the most liquid benchmark time for APAC currencies, with the highest trade activity, among the tightest bid-ask spreads, and lowest price impact across the five currency pairs studied.
• WMR Intraday benchmarks during APAC hours are meaningfully liquid for some currencies, especially USD/CNH and USD/SGD in the local afternoon and USD/JPY at the 10am Tokyo WMR fix, where liquidity is often comparable with London 4pm.
• The relative liquidity advantage of London 4pm increases at critical times, particularly at month end and during periods of elevated market uncertainty.

Points of differentiation: 

• The research empirically assesses currency-by-currency liquidity during WMR benchmark windows, on input trading venues, across the APAC trading day and compares them to London 4pm.
• It combines multiple liquidity dimensions: trade activity, bid-ask spreads, and price impact. This provides a broad view of market liquidity that captures both immediate transaction costs and market impact.
• It demonstrates WMR’s value as both a global and local benchmark framework. The findings show that WMR Intraday benchmarks can support regional execution needs, while London 4pm continues to stand out as a resilient global liquidity time.

What does our research mean for investors? 

The research suggests that WMR users should not view local APAC benchmark times and London 4pm as fully interchangeable. Instead, benchmark selection should depend on the currency pair, execution objective, and market conditions.

For USD/CNH, USD/SGD and USD/JPY, local WMR Intraday benchmarks appear sufficiently liquid to support execution during regional trading hours, particularly for firms that do not specifically need to trade at London 4pm for index-tracking or other benchmark-alignment reasons. 

However, London 4pm remains the most liquid global FX benchmark time, especially at month end and during stressed markets, when benchmark flows, execution depth and netting efficiencies become most important.

For regulators and FX participants, the key implication is therefore not that markets should be guided away from London 4pm, but that local WMR benchmarks can provide useful, liquid alternatives for some APAC pairs, while London 4pm continues to play a critical role in global market functioning.

Find out more about WMR FX Benchmarks.