• SPAN File Enhancement for Settlement Currency and Price Quotation Currency

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 13-137
      • Notice Date
      • 20 March 2013
      • Effective Date
      • 20 March 2013
    • CME Clearing will shortly enhance the format of SPAN risk parameter files to allow distinguishing between a product’s settlement currency versus its price quotation currency. The settlement currency of a product is defined as the currency in which its variation or premium obligations are denominated, and the price quotation currency is defined as the currency in which its prices are quoted. 
       
      Until recently, these two values were always the same, but for certain FX-related products offered by CME Clearing, they may be different. In particular, they are different for CME’s non-deliverable FX forwards (for example, the USDCLP non-deliverable forward on the exchange rate between the US Dollar and the Chilean Peso), and on the CNY (full-sized) and MNY (mini) cash-settled futures on the exchange rate between the US Dollar and the Chinese Renminbi Yuan.
       
      These products all share the same characteristic, in that the price is denominated in the contra currency (for example Chinese Renminbi Yuan) which is typically not directly bankable by US entities, but the variation is flipped to the primary currency (for example US Dollars) for banking. So for example for the MNY mini futures, the price quotation currency is CNY, and the settlement currency is USD. Such products will have their valuation method as one of the following:

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