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Reuters reporting that Refinitiv are considering some changes for the London WMR fix:

  • Changes could include lengthening the trading window used in the calculation
  • Concerns have arisen that "more nimble hedge funds can spot and trade off large transactions, leaving investors with worse exchange rates."
  • Beyond expanding the window, Refinitiv could include sourcing data from more than the current three platforms (Refinitiv Matching, EBS and Currenex) which would make prices more representative
  • Refinitiv will publish a white paper this month asking for more feedback on a list of possible improvements