AWARDS Best market data provider for FX: Bloomberg

Market data and improving the granularity of execution analytics has been one of the main themes of 2017, with the best execution requirements set to kick in under the second Markets in Financial Instruments Directive driving the trend.

Bloomberg has been voted the winner of the Best FX Market Data Provider category at the 2017 FX Week Best Banks Awards, due to its efforts in the spot, forwards and benchmarking space.

“We’re very honoured to win this award that speaks to the strength of the whole Bloomberg FX team, who have worked very hard to produce quality FX data pricing and analytics,” says Colin Gallagher, global head of FX products and analytics at Bloomberg.

In the spot space, the company developed its Bloomberg Generic Executable (BGNE) spot-pricing product, which is derived from executable bid and ask quotes.

“It’s a pricing algorithm made up of 100% of the executable spot-pricing streams we have from our FX platform, FXGO. We started the product with 45 currency pairs in late 2016, and in early 2017 [we] added more to move up to 101 currency pairs,” Gallagher says.

Recently, Bloomberg added volume tiers with up to five bands in the most liquid currencies, breaking down pricing streams in sizes of 3–5 million, 5–10 million, 10–20 million, 20–30 million and more than 30 million. Emerging market prices, such as for Colombia, Chile, India and Thailand, have been made available, and clients are increasingly using BGNE as a transaction cost analysis tool.

Client feedback was tremendous. They loved seeing the executable volumes associated with a price, as it gives salespeople an understanding of what liquidity is out there in a given currency pair on our platform

Colin Gallagher, Bloomberg

“Client feedback was tremendous. They loved seeing the executable volumes associated with a price, as it gives salespeople an understanding of what liquidity is out there in a given currency pair on our platform,” Gallagher adds.

In the FX forwards space, Bloomberg turned its attention to solving the issue of pricing turns for the quarter, half-year and year-ends. Pricing these dates accurately has been a challenge for traders as the price is not displayed on platforms or posted by brokers.

Bloomberg has built a pricing engine to calculate so-called pillar dates, which are pricing quarter-end tenors available in the company’s FX forwards calculator. This means clients can see where the pillar dates are priced for the first time.

“Clients are telling us that we are breaking down decades of old barriers to price discoverability and bringing transparency to the forwards market,” Gallagher says.

Benchmark efforts

The company launched its Iosco-compliant family of benchmarks in May 2016, to provide a solution for portfolio benchmarking in FX and a cost-effective alternative to existing products.

This year, the fix has been adjusted to reflect different settlement dates for currencies, as well as to overcome P&L swings caused by discordant dates.

“Clients tell us BFix is very helpful when currencies have different settlement dates, which is a decades-old problem,” Gallagher adds.