Final Liquidity Switch from SGX MSCI Taiwan Index Futures to SGX FTSE Taiwan Index Futures
The Final Liquidity Switch from the SGX MSCI Taiwan Index Futures contracts (“MSCI TW”) to the SGX FTSE Taiwan Index Futures contracts (“FTSE TW”) will be done on Friday, 30 October 2020.
In executing the Final Liquidity Switch, SGX will automatically migrate all open positions in MSCI TW after the end of the T session on 30 October 2020 (Friday) to FTSE TWN.
Customers who do not wish to migrate their MSCI Taiwan Futures positions should liquidate their position on or before the close of T-session on Friday, 30 Oct 2020.
Timeline of Operational Processes For Final Liquidity Switch:
|
Suspension of trading for MSCI Taiwan |
1.50pm (SGT), 30 October 2020 (Friday) |
|
Communication of Conversion Ratio and Conversion Price |
1.50pm (SGT), 30 October 2020 (Friday) |
Conversion Ratio for Final Liquidity Switch
- The MSCI TW positions will be converted to FTSE TWN positions via a Conversion Ratio
- Each contract month shall have its own Conversion Ratio calculated from its corresponding Final Values (FV)
- The Conversion Ratio is meant to keep the delta notional similar between positions in the MSCI TW contract and the FTSE TWN contract.
Conversion Prices for Final Liquidity Switch
- All open positions in MSCI TW after the close of the T session on 30 October 2020 (Friday), and which are not netted off in post-trade, will be closed out at the MSCI TW FVs
- Each contract month shall be closed out at its corresponding FV. The trades injected to effect the new FTSE TWN positions will be at the FTSE TWN FVs
- Each contract month shall be injected at its corresponding FV
Daily Settlement Prices (“DSPs”) on 30 October 2020
The DSP of MSCI TW on 30 October 2020 shall be equivalent to the FV for the MSCI TW on 30 October 2020 for the respective contract month.
Please contact your account manager if you require further clarification or assistance.
