.jpg)
Singapore Exchange Limited (SGX) is inviting public comments on a proposed amendment to the method by which the final settlement price for SGX MSCI Taiwan Index Futures contracts (MSCI Taiwan Index Contracts) is calculated.
The current final settlement price is the official closing price of the MSCI Taiwan IndexSM on the last trading day, rounded to two decimal places.
SGX proposes to amend the final settlement price methodology for MSCI Taiwan Index Contracts to the simple average of the MSCI Taiwan IndexSM in the last 30 minutes of the last trading day, rounded to two decimal places. This will be the simple average of 26 index values taken at 1 minute intervals up to the closing index value, but excluding the 5-minute closing call auction.
This will correspond with the final settlement price methodology adopted for equity index futures and options contracts traded on the Taiwan Futures Exchange (TAIFEX). By aligning the final settlement price methodology with TAIFEX, the proposed amendment will facilitate arbitrage between the futures contracts listed on the two exchanges which would, in turn, increase liquidity and facilitate price discovery for participants in both markets.
SGX intends for the proposed amendment to apply to all MSCI Taiwan Index Contracts ending in January 2010 or later.
The consultation paper, which explains the rationale and proposed amendments in detail, will be available on SGX website at www.sgx.com from today. Market participants and members of the public can forward their feedback and suggestions on the above proposed amendments from today until 31 August 2009 via email and either by post/courier or fax:
Email: rules@sgx.com
Post/Courier: Singapore Exchange Limited
2 Shenton Way,
#19-00 SGX Centre 1,
Singapore 068804.
Attn: Andrew Tran
Regulatory Policy
Risk Management and Regulation
Fax: 6535 5573
