| NEW CME CROSS-RATE CURRENCY FUTURES
On May 16th, the CME will launch trading in 13 new currency
cross-rate futures. These products will trade on GLOBEX and are
in addition to the three cross-rate contracts already trading.
The following PC-SPAN parameters are identical for all 13 of the
new futures:
* Clearing Organization: CME
* Exchange: CME
* Product Type: Future
* Settlement Method: DELIV
* Price Quotation Method: STD
* Valuation Method: FUT
Following are the specific details for each of the 13 products.
Note that for each of these, the product name is provided as the
settlement currency, followed by a slash, followed by the
contract-size currency.
(The ticker code, the tick size, and a typical price, although
not needed for PC-SPAN, are also provided here for your
information.) For example, for product code SE -- the US Dollar versus the
Swedish Kroner, the product name is provided as USD/SKR and the
contract value factor is 2,000,000. This means that the price is
quoted in USD per SKR, the settlement variation and performance
bond requirement are calculated in USD, and the contract size is
2,000,000 SKR.
US Dollar vs. Swedish Kroner:
* Product Code: SE
* Product Name: USD/SKR
* Settlement Currency: USD
* Contract Value Factor: 2,000,000
* Settlement Price Decimal Locator: 6
* Ticker Code=SEK
* Tick size = 0.00001 USD/SKR = 20 USD
* Typical price = 0.09621 USD/SKR
US Dollar vs. Norwegian Kroner:
* Product Code: UN
* Product Name: USD/NOK
* Settlement Currency: USD
* Contract Value Factor: 2,000,000
* Settlement Price Decimal Locator: 6
* Ticker Code=NOK
* Tick size = 0.00001 USD/NOK = 20 USD
* Typical price = 0.11351 USD/NOK Swedish Kroner vs. Euro:
* Product Code: KE
* Product Name: SEK/EUR
* Settlement Currency: SEK
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 5
* Ticker Code=ESK
* Tick size = 0.0005 SEK/EUR = 62.50 SEK
* Typical price = 9.0855 SEK/EUR Norwegian Kroner vs. Euro:
* Product Code: CN
* Product Name: NOK/EUR
* Settlement Currency: NOK
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 5
* Ticker Code=ENK
* Tick size = 0.0005 NOK/EUR = 62.50 NOK
* Typical price = 7.7005 NOK/EUR Australian Dollar vs. Euro:
* Product Code: CA
* Product Name: AUD/EUR
* Settlement Currency: AUD
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 5
* Ticker Code=EAD
* Tick size = 0.0001 AUD/EUR = 12.50 AUD
* Typical price = 1.6702 AUD/EUR Canadian Dollar vs. Euro:
* Product Code: CC
* Product Name: CAD/EUR
* Settlement Currency: CAD
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 5
* Ticker Code=ECD
* Tick size = 0.0001 CAD/EUR = 12.50 CAD
* Typical price = 1.3866 CAD/EUR Japanese Yen vs. Canadian Dollar:
* Product Code: CY
* Product Name: JPY/CAD
* Settlement Currency: JPY
* Contract Value Factor: 200,000
* Settlement Price Decimal Locator: 3
* Ticker Code=CJY
* Tick size = 0.01 JPY/CAD = 2,000 JPY
* Typical price = 81.02 JPY/CAD Canadian Dollar vs. Australian Dollar:
* Product Code: AC
* Product Name: CAD/AUD
* Settlement Currency: CAD
* Contract Value Factor: 200,000
* Settlement Price Decimal Locator: 5
* Ticker Code=ACD
* Tick size = 0.0001 CAD/AUD = 20 CAD
* Typical price = 0.8302 CAD/AUD New Zealand Dollar vs. Australian Dollar:
* Product Code: AN
* Product Name: NZD/AUD
* Settlement Currency: NZD
* Contract Value Factor: 200,000
* Settlement Price Decimal Locator: 5
* Ticker Code=ANF
* Tick size = 0.0001 NZD/AUD = 20 NZD
* Typical price = 1.2133 NZD/AUD Japanese Yen vs. Australian Dollar:
* Product Code: AJ
* Product Name: JPY/AUD
* Settlement Currency: JPY
* Contract Value Factor: 200,000
* Settlement Price Decimal Locator: 3
* Ticker Code=AJY
* Tick size = 0.01 JPY/AUD = 2,000 JPY
* Typical price = 67.26 JPY/AUD Swiss Franc vs. British Pound:
* Product Code: BF
* Product Name: CHF/GBP
* Settlement Currency: CHF
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 5
* Ticker Code=PSF
* Tick size = 0.0001 CHF/GBP = 12.50 CHF
* Typical price = 2.3966 CHF/GBP Japanese Yen vs. British Pound:
* Product Code: BY
* Product Name: JPY/GBP
* Settlement Currency: JPY
* Contract Value Factor: 125,000
* Settlement Price Decimal Locator: 3
* Ticker Code=PJY
* Tick size = 0.01 JPY/GBP = 1,250 JPY
* Typical price = 182.67 JPY/GBP Japanese Yen vs. Swiss Franc:
* Product Code: SJ
* Product Name: JPY/CHF
* Settlement Currency: JPY
* Contract Value Factor: 250,000
* Settlement Price Decimal Locator: 4
* Ticker Code=SJY
* Tick size = 0.005 JPY/CHF = 1,250 JPY
* Typical price = 76.225 JPY/CHF
For your information, the three cross-rate contracts already trading are:
* RP --- GBP versus EUR
* RY --- JPY versus EUR
* RF --- CHF versus EUR
Also note that this will be the first time that the Swedish Kroner, the Australian Dollar, the Norwegian Kroner, and the New Zealand Dollar are defined in the CME's SPAN files as settlement and performance bond currencies. The following one-byte currency codes have been assigned to these currencies:
Swedish Kroner:
* ISO Code: SEK
* One-byte code for SPAN files: K Australian Dollar:
* ISO Code: AUD
* One-byte code for SPAN files: A Norwegian Kroner:
* ISO Code: NOK
* One-byte code for SPAN files: N New Zealand Dollar:
* ISO Code: NZD
* One-byte code for SPAN files: Z The "A" used to identify the Australian Dollar matches the code
that has long been used for this currency by the Sydney Futures
Exchange in its SPAN file, and the "Z" used to identify the New
Zealand Dollar matches the code that has long been used by the
New Zealand Futures & Options Exchange in its SPAN file.
To include positions in these products in portfolios to be
margined using PC-SPAN, as always, you must either manually add
records to the Organization Master file or download the updated
master file at ftp.cme.com/pub/span/util/orgmast.exe. Note that
the SPAN 4 Organization Master file contains not only the new
product codes, but also the new currency codes.
The corresponding master files for the old DOS-based PC-SPAN are
ftp.cme.com/pub/span/util/comast11.exe (version 3.11 and higher)
and ftp.cme.com/pub/span/util/comast.exe.
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