FX and Interest Rate Markers

View marker prices for the last five trading dates below.

Note: the marker prices shown are for 4:00 p.m. London time (though the timestamp will always be displayed in the CT equivalent).

FX futures London marker price calculation

Marker price is calculated from the volume-weighted average of trades in the nearby active contract month of the FX futures contract from CME Globex for a 30-second time span from 15:59:30 p.m. to 16:00:00 p.m. London time. The marker will be for the first active contract month. Should no trades occur during this period, the Marker price shall be calculated based on bids and offers quoted during that 30-second period. If no bids or offers occur during this period, the Marker price shall be calculated using quote vendor spot rates and forward points to International Monetary Market (IMM) dates during the 30-second period. The method used is the same as that used for the daily variation margin/settlement calculation, which is typically 14:00:00 Chicago time.

View marker prices for the last five trading dates below.

Note: the marker prices shown are for 4:00 p.m. London time (though the timestamp will always be displayed in the CT equivalent).

Interest Rate futures London marker price calculation

The 3-Month SOFR (SR3) and ESTR (ESR) futures Marker prices are derived by using the established daily settlement methodology which includes bid/ask activity of both outright and spread markets on CME Globex between 15:59:00 and 16:00:00 London. Initial prices are determined by the volume weighted average price (VWAP) of each outright contract and may be adjusted within the outright bid/ask range to accommodate calendar spread and butterfly bids and asks. In all cases, the solution that accommodates the most spread bids and asks will be chosen. Please see our settlement wiki for additional details on this topic.