Official Fixing Rates - which ones can be used?

Hello, I'm typing up a legal contract, and I need to select an official exchange rate to apply on the last business day of the month every month. I see that ECB has one (here http://www.ecb.int/stats/exchange/eu.../index.en.html) but it obviously only contains EUR crosses. I would also need other major crosses, for example USDCHF, GBPJPY etc.

I would like a very "authoritative" publisher of these rates, so ECB would be good, in principle.

Also the rates have to be publicly available.

Anybody has a good suggestion? Which organization publishes rates that can be used?

Thanks,
Claudio

In the derivatives space WM/Reuters fixings are widely used. Also available on Bloomberg. Don't expect to get anything for free. Every bank publishes their own fixings, there are free fx rates from brokers and so on, but if you want something impartial and comprehensive prepare to pay.

Hello Claudio.
No such thing as an "official exchange rate" for most of major currencies.
The money exchange market is not centralize and "any" and "all" institutions that publish anything
they choose only 1 source.

If you would like something official, you would need to use the exchange rate fixed by some Country
that does not let their currency to float.

For you contract just stipulate the exchange rate of a bank.. for example Dukascopy Bank. You stipulate
the day of the month and the time .... and that will be the "official rate" for your contract.
In a private contract, as long as the parties agree, it makes it official. It is free, it is a real price and easy available
from Dukas.. via platform or download.

All rates are about the same anyway if taking at the exact same second.

J.

I would agree that all you need is to select a bank agreeable to both parties and use the roll price on the last business day of each month. NY roll at 1700 eastern is common for this type of agreement. London close would also work if you are in GMT time zone. As said before this is not a centralized market and rates are not fixed between banks. The best you could do is to take an average. The prices will be close enough to simply select a bank both parties trust.

Depending on the contract, using only a single source is not a good idea. For example with options, it can potentially matter a lot of a the fix is 10 pips higher or lower, and the banks themselfs might have a vested interest in the outcome. Thats why there are panels and firms like wm who publish average submissions from panels or calculate the fix from multiple sources and charge a fee for this data.