2014年-FSB全球金融稳定委员会_Public_responses_to_July_2014_consultative_document_Foreign_Exchange_Benchmarks_9页_245kb

ACI Feedback on FSB Benchmark Consultative Document Summary

Core Content

The document presents the official feedback of the ACI Foreign Exchange Committee (ACI FXC) and the International Secretariat of ACI – The Financial Markets Association to the FSB Consultation on Benchmarking. The feedback addresses various aspects of benchmark creation, transparency, ethical conduct, and market practices in the foreign exchange (FX) market.

Main Views and Key Information

1. Fixing Window

• Recommendation: The fixing window should be widened from the current one minute to 5 minutes for all currencies.
• Reasoning: A wider window reduces the risk of price distortions and manipulation, and better reflects normal market liquidity.
• Observation: The window size does not affect the "principal vs agency" distinction, and volume distribution is similar across currencies.

2. Alternative Benchmark Calculations

• Recommendation: Alternative benchmark calculations (e.g., volume-weighted or time-weighted) are not needed.
• Reasoning: These alternatives are not yet proven effective and would require significant legal and operational changes, which may not be justified in the FX market due to its 24-hour nature.

3. Fixing Time Window Alignment

• Recommendation: An alternative fixing time window is not needed.
• Reasoning: There is no significant difference between a half-hour and an hour window, and changing the timing may reduce liquidity due to fewer participants.

4. Broadening Data Sources for WM

• Recommendation: WM should consider data from a broader range of sources to improve benchmark accuracy.
• Observation: Pricing feeds must accurately reflect market conditions, and the inclusion of multiple platforms is necessary to capture the true market price.
• ACI Position: A high number of midpoint prices from various venues is ideal, though this may be controversial due to ongoing investigations.

5. Central Bank Reference Rates

• Recommendation: Central banks should set internal procedures and consider IOSCO principles for transparency.
• ACI Position: Agrees with the proposal and supports transparency in governance and computation.

6. Independent Netting and Execution Facilities

• Recommendation: Support industry-led initiatives for independent netting and execution, but also consider a global utility for order-matching.
• ACI Position: Recognizes the value of specific utilities but supports a global free market for trade execution to avoid single-point-of-failure risks.

7. Fixing Transaction Pricing

• Recommendation: Fixing transactions should be priced transparently, either through a bid-offer spread or a clearly documented fee structure.
• Observation: The Agency model can reflect the costs and risks of the price-maker but must be pure and separate from principal activities.
• ACI Position: Agrees that both models can coexist but emphasizes the need for clear delineation between them.

8. Internal Compliance for Fixing Orders

• Recommendation: Banks should establish and enforce internal guidelines for collecting and executing fixing orders.
• ACI Position: Agrees with the proposal.

9. Market-Maker Information Sharing

• Recommendation: Market-makers should not share information about their trading positions beyond what is necessary for a transaction.
• ACI Position: Supports this, with the venue complying with internal policies and not disclosing client-specific data.

10. Private vs Confidential Information

• Recommendation: A clear definition of private information is needed, or the term should be replaced with "confidential information."
• ACI Position: Agrees and recommends incorporating the definition from the ACI Model Code.

11. Conflicts of Interest and Code of Conduct

• Recommendation: Banks should establish internal systems to address potential conflicts of interest in managing customer flow.
• Observation: Clarity and transparency in codes of conduct are essential for market participants.
• ACI Position: Supports the adoption of the ACI Model Code globally and formally.

12. Code of Conduct for Information Sharing

• Recommendation: Codes of conduct should explicitly define the extent of information sharing between market-makers.
• ACI Position: Recommends full adoption of the ACI Model Code, which already outlines acceptable practices for sharing aggregate information without revealing client confidentiality.

13. Compliance Demonstration

• Recommendation: Market participants should demonstrate stronger compliance with codes of conduct.
• ACI Position: Reiterates the need for global adoption of the ACI Model Code and formal recognition by regulators.

14. Index Providers Review

• Recommendation: Index providers should review whether the FX fixes used in their calculations are fit for purpose.
• ACI Position: Fully endorses this recommendation.

15. Asset Manager Due Diligence

• Recommendation: Asset managers should conduct due diligence on FX execution and demonstrate compliance with their clients.
• ACI Position: Agrees with the proposal, emphasizing the importance of selecting appropriate reference rates.

Conclusion

The ACI emphasizes the importance of transparency, ethical conduct, and global standardization in the FX market. It supports the adoption of the ACI Model Code across all market participants and advocates for a free market approach to trade execution, while also recommending enhanced compliance, clear definitions, and improved data coverage for benchmarking. The ACI believes that these measures will contribute to a more robust, ethical, and efficient FX market.