Markers provide informational reference points that participants can use to calculate internal valuations of corresponding futures positions.
FX price reference types
To support the diverse needs of its market participants, from retail traders to large financial institutions, CME Group publishes two distinct price references: markers and daily settlements. While these terms may appear similar, their purposes and timings are different.
- FX markers are defined as informational reference points that traders can utilize for calculating internal valuations of their corresponding futures positions.
- Daily settlements, by contrast, are used to "mark traders' positions to market daily" to determine profits or losses and facilitate the daily variation margin (VM) process.
Why CME Group FX markers?
The fundamental purpose of CME Group FX markers is to provide a consistent and transparent price reference point for the internal valuation of futures positions. This functionality is particularly valuable for institutional participants, such as portfolio managers, fund administrators and risk officers, who require a reliable end-of-day price to reconcile their internal books, manage portfolio-level risk and perform intraday valuations.
- Geographical relevance: Markers are particularly important for clients in Europe or APAC who need a regionally relevant snap for their valuation rather than the 2 p.m. CT daily settlement price, helping to avoid or minimize tracking error.
- Strategic function: Unlike daily settlements, which are primarily operational tools for margining, markers serve a broader, more strategic accounting and risk-management function.
|
Price Reference Type |
Calculation Time |
Primary Function |
|---|---|---|
|
Daily Settlement |
2:00 p.m. Central Time |
Mark traders' positions to market daily to determine profit/loss and facilitate variation margin. |
|
FX Marker |
4:00 p.m. New York time |
Informational reference for internal valuation, strategic accounting, and risk management (for regionally relevant snap). |
|
4:00 p.m. London time |
||
|
3:00 p.m. Tokyo time |
The tiered calculation methodology: A blueprint for robustness
To ensure the integrity and reliability of FX markers, CME Group employs a multi-tiered fallback methodology. The calculation process is designed to be fully rules-based and non-discretionary, providing a clear blueprint for price determination. The methodology proceeds through three distinct tiers, prioritizing executed market data over quoted prices and external sources.
|
Tier |
Condition |
Calculation Method |
Data Source |
|---|---|---|---|
|
Tier 1 |
Three or more trades occur in the 30-second window |
Volume-Weighted Average Price (VWAP) of executed trades |
Globex |
|
Tier 2 |
Two or fewer trades occur, but bids and offers are available |
Midpoint of the bid and ask spread on Globex |
Globex |
|
Tier 3 |
No bids, asks, or trades are available in the window |
Quote vendor spot rates and forward points to IMM dates |
External Quote Vendors |
Tier breakdown
Tier 1: Volume-weighted average price (VWAP)
- The marker price is calculated using the volume-weighted average price (VWAP) of all trades executed in the nearby active FX futures contract.
- This calculation is performed over a 30-second time span (e.g., from 15:59:30 to 16:00:00 p.m. London/New York time).
- This method ensures the final marker price is a true reflection of the day's closing transaction activity.
Tier 2: Bid/ask midpoint fallback
- This tier is used if two or fewer trades occur during the specified 30-second window, but bids and offers are available.
- The marker price is set as the midpoint of the bids and offers quoted on Globex during the same 30-second period.
- It guarantees a price is generated based on live, market-derived data, reflecting the standing orderbook even without executed transactions.
Tier 3: External vendor rate fallback
- It is triggered if no bids, asks, or trades are available on Globex during the 30-second window.
- The price is determined using external quote vendor spot rates and forward points to the International Monetary Market (IMM) dates.
- This robust price links the futures marker to the broader over-the-counter (OTC) market, ensuring a final, verifiable price under all market conditions.
Price references: Markers vs. settlements
What are the key differences between a marker and a daily settlement?
Markers and daily settlements are both calculated using the same methodology (VWAP or bid/ask midpoint fallbacks).
- FX markers are calculated at different times—specifically, at 16:00 London or New York time or 15:00 Tokyo time—and are intended as informational reference points for a participant's internal valuation. These times strategically align with the end-of-day close for major financial centers, which is a critical reference point for portfolio reconciliation globally.
- Daily settlements are determined at 14:00 Central Time (CT) and their primary function is to mark all open futures positions to market, determining the daily profits and losses for margining purposes.
|
Feature |
FX Markers |
Daily Settlements |
|---|---|---|
|
Primary Purpose |
Informational reference for internal valuation. They serve a strategic accounting and risk-management function. |
Mark-to-market for daily P&L and margin calculation. They are primarily operational tools for margining. |
|
Calculation Time |
16:00 London/New York time or 15:00 Tokyo time. |
14:00 Central Time (CT) for major G7 currencies like EUR/USD and AUD/USD. |
|
Strategic Timing |
Strategically aligns with the end-of-day close for major financial centers. This timing is critical for global portfolio reconciliation. |
Used to facilitate the daily variation margin process. |
|
Target Audience/Use |
Used by institutional participants like portfolio managers, fund administrators, and risk officers. Particularly useful for clients in Europe or APAC who want a regionally relevant price snap. |
Used for daily operational risk management & clearing (determining daily profits and losses). |
|
Methodology |
Use the base methodology (volume-weighted average price (VWAP) or bid/ask midpoint fallbacks). |
Use the base methodology (VWAP or bid/ask midpoint fallbacks). |
In essence:
- Daily settlements handle the daily operational risk of margining.
- Markers address the need for a broader, global perspective for end-of-day accounting and risk management.
- Independent of CME Group daily settlements and markers, clients may use other benchmark rates for their own portfolio valuation.
The bottom line
FX markers are informational reference points for institutional participants because their calculation time aligns with the global end-of-day close, providing the transparent price reference needed for internal valuation, portfolio reconciliation and strategic risk management. They are particularly valuable for clients in Europe or APAC requiring a regionally relevant price snap to minimize tracking error.
Discover more
Explore more detail at the latest FX markers.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
