SGX Taps BFix for New CNH Reference Rate and Settlement

SGX FX has unveiled changes to its official reference rate, as well as the timing of the Final Settlement Price (FSP) on its CNH FX futures contracts – moving to Bloomberg’s BFix from WMR and Treasury Markets Association of Hong Kong (TMA) provided reference rates.

In a move SGX says is aimed at enabling FX market participants to better manage their exposures between FX futures and OTC spot markets, from today (13 May) it will change the FSP publication time to 2pm Singapore to coincide with the Tokyo 3pm options expiry. This allows, the exchange says, the capture of Asian and European liquidity.

BFix is also now used as the official reference rate to determine the FSP for SGX’ CNH contracts against USD, EUR and SGD. The former was previously provided by TMA at 11.30am Singapore time, the EUR/CNH rate was provided by WMR at 4pm, while the latter was a blend of TMA and WMR data at 11am.

BFix data are published every 30 minutes while markets are open, using a time-weighted average methodology across more than 1,200 different currency pairs. The windows are five minutes long leading into the half hour and top of the hour.

“These latest changes were driven by feedback and demand from our customers who wanted to minimise basis risks and have greater certainty in trading,” explains KC Lam, global head of FX and Rates at SGX Group. “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.

“Today, many OTC FX market participants are already referencing Bloomberg BFIX,” he continues. “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.”