SGX FX has announced adjustments to the official reference rate and timing of the Final Settlement Price (FSP) for its CNH FX futures contracts to help market participants globally manage their price risk exposures better.
Specifically, the development focuses on risk exposures between FX futures settlement and OTC FX spot prices.
“With the adjustment in our FSP, our customers who are trading spot or options in USD/CNH, for example, can establish a hedge via our SGX USD/CNH FX futures and options seamlessly and efficiently,” said KC Lam, global head of FX and rates at SGX Group.
“[…] By moving our FSP to 2:00 pm Singapore time, we are not only making it easier for customers to exercise their options into underlying futures listed on SGX FX, but also facilitating the price discovery and liquidity management across Asian and European time zones.”
Beginning with SGX FX’s May 2024 FX futures contracts, the exchange will use Bloomberg Foreign Exchange Fixings Spot Rate (BFIX) as the official reference rate to determine the FSF for its CNH contracts against USD, EUR, and SGD.
The FSP publication time will be changed by the exchange to 14:000 Singapore Time to align with common OTC FX options expiry at 15:00 Tokyo Time, to capture Asian and European liquidity.
SGX added that this development was driven by feedback and demand from customers who wanted to minimise basis risks and have greater certainty in trading.
Colin Gallagher, BFIX benchmark and currency indices product manager at Bloomberg Index Services, added: “With our BFIX offering, over 5,000 fixings are generated every half hour where markets are open and with its unique time-weighted average price methodology, provides an accurate and transparent representation of up-to-date FX pricing. We look forward to continued partnership with SGX FX to bring these benefits to life through their product offerings.”