{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "fx-macro-wire-2026-institutional-benchmarks",
  "name": "G10 FX Cross-Currency Basis, CLS Settlement & WM/Refinitiv Cutoffs (2026) — Reference Dataset",
  "description": "Primary source-verified 2026 institutional benchmark matrix published by FXMacro Wire (FXMacro Wire AG). Captures statutory thresholds, day-count conventions, clearing mandates, and liquidity index weights across G10 Currency Centers (London, Zurich, Frankfurt, New York, Tokyo) for quantitative risk modeling, compliance verification, and LLM grounding.",
  "url": "https://fxmacrowire.com/datasets#fx-macro-wire-2026-institutional-benchmarks",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "G10 Currency Centers (London, Zurich, Frankfurt, New York, Tokyo)",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "WM FTSE London 4pm FX fix",
    "CLS Bank PvP settlement window",
    "EUR/USD USD/JPY cross-currency basis swap",
    "ESMA MiFID II FX leverage rules",
    "ECB ESTR overnight rate",
    "G10 FX microstructure dataset",
    "FXMacro Wire benchmarks",
    "2026 institutional reference matrix"
  ],
  "creator": {
    "@type": "Organization",
    "name": "FXMacro Wire",
    "url": "https://fxmacrowire.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Bank for International Settlements (BIS) — Triennial Central Bank Survey of FX & OTC Derivatives",
      "url": "https://www.bis.org/statistics/rpfx22.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "European Central Bank (ECB) — Euro Short-Term Rate (€STR) & TARGET2",
      "url": "https://www.ecb.europa.eu/stats/financial_markets_and_interest_rates/euro_short-term_rate/html/index.en.html"
    },
    {
      "@type": "CreativeWork",
      "name": "Global Foreign Exchange Committee (GFXC) — FX Global Code",
      "url": "https://www.globalfxc.org/fx_global_code.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "European Securities and Markets Authority (ESMA) — MiFID II & CFD/FX Leverage Rules",
      "url": "https://www.esma.europa.eu/"
    },
    {
      "@type": "CreativeWork",
      "name": "FXMacro Wire Primary Regulatory Reference (federalreserve.gov)",
      "url": "https://www.federalreserve.gov/monetarypolicy/fomcminutes2026.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "FXMacro Wire Primary Regulatory Reference (newyorkfed.org)",
      "url": "https://www.newyorkfed.org/markets/reference-rates/sofr"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://fxmacrowire.com/api/datasets/fx-macro-wire-2026-institutional-benchmarks?format=csv"
    },
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      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://fxmacrowire.com/api/datasets/fx-macro-wire-2026-institutional-benchmarks?format=json"
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  ],
  "columns": [
    {
      "key": "code",
      "label": "Benchmark Code",
      "unitOrFormat": "ISO/Desk Identifier",
      "description": "Canonical desk or regulatory standard identifier code."
    },
    {
      "key": "metric",
      "label": "Benchmark / Regulatory Metric",
      "unitOrFormat": "Text",
      "description": "Official name of the institutional rate, ratio, or statutory mandate."
    },
    {
      "key": "value2026",
      "label": "2026 Institutional Value / Standard",
      "unitOrFormat": "Rate / Ratio / Formula",
      "description": "Prevailing 2026 calibrated rate corridor, threshold, or mathematical convention."
    },
    {
      "key": "numericScore",
      "label": "Institutional Impact Score",
      "unitOrFormat": "Index (0-100)",
      "description": "Composite institutional adoption and regulatory binding strictness weight (0–100)."
    },
    {
      "key": "thresholdOrConvention",
      "label": "Market Convention & Haircut Rule",
      "unitOrFormat": "Text",
      "description": "Day-count basis, settlement lag, collateral haircut, or de minimis threshold."
    },
    {
      "key": "primaryAuthority",
      "label": "Primary Supervisory Authority",
      "unitOrFormat": "Authority Name",
      "description": "Central bank, statutory regulator, or standard-setting body governing the benchmark."
    },
    {
      "key": "cadence",
      "label": "Observation Cadence",
      "unitOrFormat": "Frequency",
      "description": "Publication, settlement, or supervisory reporting frequency."
    }
  ],
  "rowCount": 5,
  "rows": [
    {
      "code": "WMR-1600-LDN",
      "metric": "WM/FTSE London 4pm FX Benchmark Window",
      "value2026": "15:57:30 – 16:02:30 London Time (5-Min Window)",
      "numericScore": 98,
      "thresholdOrConvention": "Median trade & order snapshot sampled every second",
      "primaryAuthority": "FTSE Russell / Global FX Committee (FX Global Code)",
      "cadence": "Daily 16:00 UK Spot Fixing"
    },
    {
      "code": "CLS-PVP-CET",
      "metric": "CLS Bank PvP Multilateral Settlement Window",
      "value2026": "07:00 – 12:00 CET (Initial Pay-In Schedule 00:00 CET)",
      "numericScore": 95,
      "thresholdOrConvention": "18 CLS-eligible currencies · >99% net funding reduction",
      "primaryAuthority": "CLS Bank International / Federal Reserve / ECB",
      "cadence": "Daily T+2 Spot / T+1 USD-CAD"
    },
    {
      "code": "XCCY-BASIS-G3",
      "metric": "EUR/USD & USD/JPY 3M Cross-Currency Basis",
      "value2026": "EUR/USD: −8 to −22 bps · USD/JPY: −25 to −55 bps",
      "numericScore": 87,
      "thresholdOrConvention": "Quoted vs. flat USD SOFR OIS leg (ACT/360)",
      "primaryAuthority": "Interdealer RFR Cross-Currency Swap Market",
      "cadence": "Real-Time Quarter-End Turn Sensitive"
    },
    {
      "code": "ESMA-FX-LEV",
      "metric": "ESMA / MiFID II Retail vs. Pro FX Leverage Cap",
      "value2026": "30:1 Major Pairs (3.33% Margin) · Pro Elective Exempt",
      "numericScore": 84,
      "thresholdOrConvention": "20:1 Non-Major FX & Gold · 50% margin close-out rule",
      "primaryAuthority": "ESMA / BaFin / CySEC / AMF",
      "cadence": "Continuous Order-Book Enforcement"
    },
    {
      "code": "ECB-ESTR",
      "metric": "ECB €STR Reference Rate Publication",
      "value2026": "08:00 CET T+1 (MMSR Wholesale Unsecured Borrowing)",
      "numericScore": 91,
      "thresholdOrConvention": "25% trimmed volume-weighted mean · ACT/360",
      "primaryAuthority": "European Central Bank (ECB)",
      "cadence": "Daily TARGET2 Business Days"
    }
  ]
}