GLOBEX Advisory Notices
To |
From | CME
Subject | Daily Settlement Prices for the White CME Eurodollar Futures Contracts
Notice Date | 2005-02-11
Notice Number | 021105-1
Effective Date |
Dear CME® Globex® Customers, Effective Monday, February 14, 2005, daily settlement prices for the first four quarterly CME Eurodollar futures contracts will be based on CME Globex trades executed in those contracts between 1:59 p.m. and 2:00 p.m. Central time (CT). Please note that other than substituting CME Globex prices for trading floor prices, the method used to determine settlement prices for these contracts will remain unchanged. Specifically, the daily settlement price for the first four quarterly CME Eurodollar contracts will continue to be determined in the following way: If one price trades on the CME Globex platform between 1:59 p.m. and 2:00 p.m. CT: The daily settlement price will be that traded price. If more than one price trades on the CME Globex platform between 1:59 p.m. and 2:00 p.m. CT: The daily settlement price will be the average price rounded to the tick nearest the previous day's settlement price. For example, if the prices that trade between 1:59 p.m. and 2:00 p.m. CT are 9668 and 9668.5, and the market is higher on the day, the settlement price would be 9668. If three prices trade between 1:59 p.m. and 2:00 p.m. CT, the daily settlement price would be the middle price. For example, if the three relevant prices were 9668, 9668.5, and 9669, the settlement price would be 9668.5. Note: There will be no change to the current method of calculating and disseminating the closing range for trading floor trades. If you have any questions regarding the new settlement procedures, please contact Tom Lord, Associate Director, Trading Operations, at 312.930.2881; or Peter Barker, Director, Interest Rate Products, at 312.930.8554. Thank you, CME