Settlement infrastructure CLS has announced that it is launching two new datasets to capture outstanding forward and swap positions in the foreign exchange (FX) market, in addition to making enhancements to its existing suite of alternative FX data products, CLSMarketData.
The new FX outright forward outstanding and FX swap outstanding datasets are designed to enable users to improve their analysis of both short- and longer-term FX market trends to provide insight into market dynamics.
Outstanding forward and swap position reports will be introduced on a daily basis, helping all market participants benefit from increased visibility into cash flow and directional positioning which will add market colour and support pre-and post-trade analysis. The datasets are segmented by market participant type and are available across short- and long-term tenors. Treasurers can use FX datasets such as these to help inform their FX hedging strategies and FX policies.
Insights into FX market dynamics
CLS’s position at the centre of the FX ecosystem enables it to capture a large and diverse amount of data, applying data science techniques to create FX alternative datasets that promote market transparency. As the largest single source of FX-executed data available to the market, CLS’s datasets derive from over 1 billion trades dating back to 2002.
To further support client needs and provide greater insight into FX market dynamics, CLS has also made the following enhancements to its existing datasets:
- Added a dynamic delivery window for the FX Spot Flow dataset, aggregated every five minutes to meet growing demand for more frequent data delivery.
- Introduced a daily FX Forward Flow dataset to provide a complete end-of-day picture, complementing the existing Flow product suite.
- Incorporated new currency pairs in some datasets to meet demand from regional banks, particularly across Asia Pacific. The new currency pairs are AUD/CAD, AUD/CHF, CHF/JPY, EUR/NZD, EUR/SGD, NOK/SEK, and NZD/JPY.
Updates to the FX Global Code
The news from CLS follows recent changes to the FX Global Code (the Code) which place greater emphasis on the use of payment-versus-payment (PvP) settlement mechanisms where available, and provide more detailed guidance on the management of settlement risk where PvP settlement is not used. The amendments were approved at the Global Foreign Exchange Committee meeting on 28 June 2021.
The specific changes to the Code in relation to the mitigation of FX settlement risk and best practice in post-trade processing are:
- Principle 35: strengthening the importance of PvP settlement to mitigate settlement risk where possible, and the use of automated settlement netting systems where it is not.
- Principle 50: more detailed guidance on the measurement, monitoring and control of settlement risk where PvP settlement is not available, with a greater emphasis on the confirmation process of bilateral netting and the agreement of predetermined cut-off points.
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