Benchmark manipulation

Definition

attempting to manipulate or control fixes or benchmarks

Context

Attempts to manipulate benchmarks (fixes) relate to both submission based benchmarks and trade data based (passive) benchmarks. An example of a passive benchmark is WMR 4pm FX fix which is calculated based on trade data from various FX trading venues. Attempts to manipulate passive benchmarks may involve manipulative trading or employment of a fictitious device.

Surveillance

Effective implementation of surveillance alerts for benchmark manipulation requires capturing the following trade data:

  • trade and position

  • market prices and volumes

  • communications data

  • benchmark (fix) reset risk or associated orders

Risk taxonomy

Regulatory source