Benchmark Rate Surveillance
Surveils submissions and trading around interest rate and FX benchmark fixing windows for manipulation
Fixing Windows Monitored
1,240
Benchmarks Covered
5
Anomalies Under Review
2
Under Investigation
1
| Benchmark | Fixing Window | Anomaly | Status |
|---|---|---|---|
| SONIA | 11:00–11:10 GMT fixing window | Submission cluster near round numbers | Analyst Review |
| WM/Reuters GBP/USD 4pm Fix | 15:59:30–16:00:30 GMT | Volume spike 3.8x average in 60s window | Under Investigation |
| SOFR | 08:00 ET publication | None detected | Clear |
| EURIBOR | 11:00 CET fixing panel | Single panel bank outlier submission | Analyst Review |
| LBMA Gold Price PM | 15:00 London fixing | None detected | Clear |
About This Agent
Data on This Page
Interest rate and FX benchmarks with their fixing window, any detected anomaly (submission clustering, volume spikes, panel outliers), and a clear/review/investigation status. Stat tiles cover fixing windows monitored (1,240), benchmarks covered (5), anomalies under review, and cases under full investigation.
What This Agent Does
Monitors trading volume and price action in the seconds surrounding published benchmark fixing windows (WM/Reuters FX fixes, SONIA, SOFR, EURIBOR, LBMA gold), flags abnormal volume concentration or price movement immediately before or during the window, and for panel-submitted rates cross-checks individual submissions against peer panel banks for outliers consistent with post-LIBOR-scandal manipulation patterns.
Worked Examples
- The WM/Reuters GBP/USD 4pm fix showed a 3.8x volume spike in the 60-second fixing window — under investigation to determine whether it reflects genuine client flow or an attempt to move the fix.
- EURIBOR's single panel bank outlier submission is under analyst review; historically this bank's submissions track the panel median closely, making this deviation worth explaining.
- SOFR and the LBMA Gold PM fixing were both clear this cycle — submission and trading patterns were consistent with historical norms.