Background information on foreign exchange rates

Learn about the publication of, and calculation methodology for, the foreign exchange (FX) rate data on the Bank of Canada’s website.

Publication details

By 16:30 ET on days when the Bank of Canada Ottawa Head Office is open for business, we publish a set of daily average exchange rate for Canada’s top trading partners and top global trading currencies.

Available currencies

• Australian dollar
• Brazilian real
• Chinese renminbi
• European euro
• Hong Kong dollar
• Indian rupee
• Indonesian rupiah
• Japanese yen
• Mexican peso
• New Zealand dollar
• Norwegian krone
• Peruvian new sol
• Russian ruble
• Saudi riyal
• Singapore dollar
• South African rand
• South Korean won
• Swedish krona
• Swiss franc
• Taiwanese dollar
• Turkish lira
• UK pound sterling
• US dollar

All FX rates are published as the number of Canadian dollars required to buy one unit of the foreign currency.

Available rates

We don’t publish daily noon rates, closing rates, or high and low FX rates—but we do publish:

• daily, monthly and annual averages
• Canadian Effective Exchange Rates (CEER)

If the name of a currency changes, this will be reflected in the labelling of the exchange rate, effective on the date of the name change. If a currency ceases to exist, subsequent entries for its exchange rate will be shown as a blank, effective as of the date the currency ceases to exist.

Exceptions

In extraordinary market conditions or in the presence of technical issues, the publication of the exchange rates may be delayed.

• Rates that cannot be published by 17:00 ET will be shown as “Not available” for that day.
• Subject to availability, the missing exchange rates may be released at or before the normal 16:30 publishing time on the next business day.

Disclaimers

The Bank of Canada does not guarantee the accuracy or completeness of these exchange rates. They are indicative rates only, derived from aggregated price quotes from financial institutions. They do not necessarily reflect the rates at which actual market transactions have been or could be conducted, and they may differ from the rates provided by financial institutions and other market sources.

Because data may be late or missing, users should not depend solely on the Bank of Canada for exchange rates. Information is available from many other sources, including multiple trading platforms, Internet sources and other data vendors.

Calculation methodology

Indicative mid-market quotes for each currency pair are collected every minute between 8:00 and 16:00 ET. Over an eight-hour span, this is a total of 480 observations for each currency.

A truncated mean is then calculated for each currency pair.

• The 480 observations are sorted in ascending order, from the lowest to highest exchange rates.
• The highest 2.5 per cent (12 observations) are deleted from the sample, as are the lowest 2.5 per cent.
• The average exchange rate for each currency pair is calculated as the simple (that is, equally weighted) arithmetic mean average of the remaining currency quotes for that currency pair.

Because indicative, rather than transaction-based, exchange rate quotes are used, data points should be available for every minute and for each currency in the eight-hour window. However, if there are no quotes supplied for a currency within any one-minute window, the observation for the immediately preceding one-minute window is carried forward.

If there are technical outages at our data source, the number of observations used for calculating the truncated mean may vary.

For Christmas Eve and New Year’s Eve (or for the business day immediately before those days, if either day falls on a weekend), the calculation of the daily average exchange rate for each currency pair is based on mid-market quotes collected between 8:00 and 12:00 ET. The highest and lowest 2.5 per cent of these 240 data points are deleted from the sample before the average exchange rate is calculated.

Data source

The data source for calculating each of these exchange rates is notional exchange rate quotes for each currency pair (Canadian dollar against the foreign currency) as supplied by LSEG (formerly Refinitiv).

These quoted rates are indicative rates and not necessarily exchange rates associated with actual currency trades.

Data format

The precision of each exchange rate quote—the number of digits before and after the decimal point—varies between currencies.

• In most cases, the exchange rate is quoted to four decimal places, but it may be quoted to as many as six decimal places if the scale of the currency pair quote warrants it.
• This quoting precision is subject to future changes should the level of exchange rates against the Canadian dollar change materially.

Historical data

We keep all past exchange rate data. We do not restate nor recalculate historical rate data.

Historical Noon and Closing Rates

These rates were last updated 28 April 2017 using the Bank’s old calculation methodology, and they will not be updated in future.

• All rates up to March 1, 2017 are those calculated under a different methodology (that is, old noon and closing rates).
• From March 1 to April 28, 2017, exchange rates calculated by both the previous and the new methodologies are available.
• As of May 1, 2017, only daily average rates calculated under the methodology outlined here will be published.
• Daily rates calculated using the current methodology are not available from 1 January to 28 February 2017. However, monthly averages for January and February 2017 calculated using the current methodology are available, and the published annual 2017 rate will be based on the current methodology only.

Historical Canadian-Dollar Effective Exchange Rate Index

These rates were last updated in January 2018, and they will not be updated in future. The Canadian-Dollar Effective Exchange Rate index (CERI) was replaced by the Canadian Effective Exchange Rates index (CEER) as of January 2018.

Appendix: Changes to published exchange rates

January 2020

In January 2020, we stopped publishing exchange rates for the following currencies:

• Malaysian ringgit
• Thai baht
• Vietnamese dong

May 2017

In May 2017, we made changes to our foreign exchange rate publications.

We changed our calculation methodology to reflect the average observable rate throughout the Canadian business day, instead of at a single point in time. As such, we stopped publishing updated data for exchange rates, including daily noon rates, closing rates, and high and low FX rates.

We also limited published rates to those that

• represent the majority of FX activity against the Canadian dollar
• are readily tradable
• are frequently accessed

The changes are consistent with those of other major central banks. They reinforce that the Bank of Canada provides exchange rates as a public good, for statistical, analytical and informational purposes only, and not as benchmarks for transactional purposes.

They were undertaken in the context of broader international official sector work on the design of FX reference rates, including recommendations from the Financial Stability Board on FX benchmarks and the Principles for Financial Benchmarks published by the International Organization of Securities Commissions.

Foreign Exchange Rate Survey

To prepare for making these changes, in 2014, the Bank conducted a broad public survey to gain a fuller understanding of the impact. The Bank delayed implementation of the changes for one year and communicated the changes well in advance to give users ample time to adjust, including seeking out alternative sources for rates. The Bank also consulted with several federal government organizations on the changes and notified the relevant provincial authorities and industry association groups.