Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Dissemination of Volume-Weighted FX Futures Settlement Prices - Beginning Monday, February 25, 2008
Notice Date | 2008-02-21
Notice Number | Q2008-039
Effective Date | 2008-02-25
CME Group is changing its daily settlement price determination procedures for Foreign Currency Products to a volume-weighted average price (“VWAP”), instead of using an average of the CME Globex ® high and low trade prices (or higher bid, lower offer, where applicable) during the closing range. (See current provision of Rule 813 – SETTLEMENT PRICE). This change is being made to make daily “settlement prices” more robust and market determined. The new rules will allow CME Globex ® sourced, volume-weighted average price calculations to determine daily settlement prices for selected FX futures contracts (Australian dollar, British pound, Canadian dollar, Euro FX, Japanese yen and Swiss franc futures). The closing range for these more actively-traded FX futures will decrease from one-minute to 30 seconds to better represent a 2:00 p.m. price, which will also be referred to as a “fixing price”. These 2:00 p.m. “fixing prices” for the nearby futures contract will be used to determine whether American-style FX Options are in-the-money at expiration. European-style FX options continue to reference the 9:00 a.m. “fixing prices” for the nearby futures contract to determine which options are in-the-money at expiration. Key Implementation Dates The following dates are key related to this important change: Monday, February 25, 2008: CME Group will begin transmitting select FX futures VWAP settlements Monday, March 3, 2008: VWAP will be moved to production on the MDP. Friday, March 7, 2008: VWAP settlements will be used for the first time to determine whether select American-style options are in-the-money at expiration. Implications to FX Futures Market Data FX Futures “Fixing Prices” will be transmitted via Channel 204 of the Market Data Platform (MDP), at approximately 2:00 p.m. daily. ITC 2.1 Ticker Codes
Currency Fixing | ITC 2.1 Ticker Code
Australian Dollar Fixing | 6A$
British Pound Fixing | 6B$
Canadian Dollar Fixing | 6C$
EuroFX Fixing | 6E$
Japanese Yen Fixing | 6J$
Swiss Franc Fixing | 6S$
Ticker Test Dates Ticker testing will be held on Friday, February 29, 2008 at approximately 5:00 PM Central Standard Time.