Market Data Advisory Notices
To | Market Data Distributors
From | Market Data Operations
Subject | Modification to Daily Settlement Procedures for the "White" CME Eurodollar Futures - March 7, 2005
Notice Date | 2005-03-03
Notice Number | Q2005-20
Effective Date |
Beginning Monday, March 7, 2005, CME will further enhance the process used to determine daily settlement prices for the first four quarterly CME Eurodollar futures contracts. While settlements will continue to be based on out-right price data from CME Globex, beginning Monday March 7, 2005 settlement prices will be derived from both trades and market bid/ask occurring between 13:59 CT and 14:00 CT. The daily settlement price will be the average of all traded prices and bids and offers, rounded to the tick nearest the previous day's settlement price. For example, if Eurodollar futures price activity between 13:59 CT and 14:00 CT consists of a 9668.5 trade, the market is 9668 bid, 9668.5 offer, and the market is higher on the day, the settlement price would be 9668. If you have any questions regarding this notice, please contact: Marilee Radecki 312.930.8193 mradecki@cme.com Kevin Brady 312.648.3653 kbrady@cme.com Thank you.