• Launch Date for New U.S. Dollar/South African Rand (USD/ZAR) Futures

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6794
      • Notice Date
      • 13 August 2013
      • Effective Date
      • 23 September 2013
    •  
      Please note that SER-6794 has been replaced by SER-6794R published on August 26, 2013.
       
       
       
      Pending certification with the Commodity Futures Trading Commission, the Chicago Mercantile Exchange Inc. (CME or Exchange) will launch a new U.S. Dollar/South African Rand (USD/ZAR) futures contract on CME Globex® and CME ClearPort® effective trade date Monday, September 23, 2013.
       
      The new USD/ZAR futures contract calls for the physical delivery of 100,000 U.S. dollars for South African rand. Since USD/ZAR futures will be denominated in U.S. dollars, daily pays and collects in the new futures will be calculated and banked in U.S. dollars. USD/ZAR futures will trade in a minimum tick size of 0.0001 South African rand per U.S. dollar for outright transactions and in a minimum tick size of 0.00005 South African rand per U.S. dollar for calendar spreads. USD/ZAR futures will be available for trading on CME Globex® Sunday through Friday between 5:00 p.m. and 4:00 p.m., Central time (CT) and on CME ClearPort® Sunday through Friday between 5:00 p.m. and 4:15 p.m., CT. USD/ZAR futures will have an expiry schedule that covers two years (i.e., 13 consecutive calendar months plus four expiries in the March quarterly cycle). USD/ZAR futures will cease trading at 9:16 a.m. CT on the second business day immediately preceding the third Wednesday of the contract month. USD/ZAR futures will be available for block, exchange for risk positions, and all-or-non (AON) transactions. USD/ZAR futures will have a spot month limit of 20,000 contracts, single month position accountability of 6,000 contracts, and all months position accountability of 6,000 contracts.[1] USD/ZAR futures will also have a reportable level of 25 contracts.
       
      Attachments 1 and 2 set forth the salient features and CME rulebook chapter for USD/ZAR futures, respectively.
       
      Attachments 3 and 4 summarize the initial expiry months and calendar spreads that will be listed for trading in USD/ZAR futures at contract launch, respectively.
       
      USD/ZAR futures is listed by and subject to the rules of CME.
       
      For more information on USD/ZAR futures, please visit: www.cmegroup.com/zar.
       
      Please direct questions regarding this notice to:
       
      Europe
      Will Patrick                                +44 20 3379 3721                      Will.Patrick@cmegroup.com
      Malcolm Baker                          +44 20 3379 3863                      Malcolm.Baker@cmegroup.com
                                                     
      U.S.
      Craig LeVeille                            +1 312 454 5301                        Craig.LeVeille@cmegroup.com
      Simon Burnham                         +1 312 930 3426                        Simon.Burnham@cmegroup.com
      Kevin McMillin                           +1 312 930 8264                        Kevin.McMillin@cmegroup.com
       


      Attachment 1
                                   
       
      U.S. Dollar/South African Rand (USD/ZAR) Futures Contract
      Contract Size
      USD 100,000
      Price Quote
      ZAR per 1 USD
      (e.g., 9.0775 / 9.0779 ZAR per 1 USD)
      Tick Size
      Outrights quoted in 0.0001 ZAR per USD (10 ZAR);
      calendar spreads in 0.00005 ZAR per USD (5 ZAR)
      ZAR-Denominated
      Margin
      Daily pays and collects calculated and banked in ZAR
      CME Globex® Trading Hours
      Sundays − Fridays: 5:00 p.m. to 4:00 p.m. Central Time (CT) the next day.
      On Friday CME Globex® platform closes at 4:00 p.m. CT and reopens Sunday at
      5:00 p.m. CT
      CME ClearPort® Hours
      Sundays − Fridays: 5:00 p.m. to 4:15 p.m. Central Time (CT) the next day
      with a 45-minute break each day beginning at 4:15 p.m. CT
      Months
      13 consecutive calendar months (Jan, Feb, Mar, Apr, May, Jun, Jul, Aug, Sep, Oct, Nov, Dec) plus 4 quarterly months (2-year maturity range)
      Last Trading Day
      Trading ceases at 9:16 a.m. Central Time (CT) on the second business day immediately preceding the third Wednesday of the contract month
      Delivery Process/
      Delivery Day
      CLS eligible currency. Final settlement on the 3rd Wednesday of the contract month.
      Position Limits / Position Accountability
      Spot month limit of 20,000 contracts, single month position accountability of 6,000 contracts, and all months position accountability of 6,000 contracts based on a futures-equivalent contract equal to 500,000 South African rand. Limit in the spot month on or after the day one week prior to the termination of trading day. Positions for the same account holder will be aggregated across the new full-sized USD/ZAR futures, full-sized ZAR/USD futures, options on full-sized ZAR/USD futures, and U.S. dollar/South African rand cleared over-the-counter (“OTC”) equivalent contracts.
      CME Globex Error Trade Policy
      800 ticks or less “no bust range”
      CME Globex Price Banding[2]
      1200 ticks for outright trades
      Block Trade Minimum Threshold
      50 contracts
      EFRP Eligibility
      Yes
      Reportable Positions
      25 contracts
      CME Globex Codes
      ZAR


       
       
      Attachment 2
       
      Chapter 259L
      U.S. Dollar/South African Rand (USD/ZAR) Futures
       
      This chapter is limited in application to U.S. dollar/South African rand futures. In addition to this chapter, U.S. dollar/South African rand futures shall be subject to the general rules and regulations of the Exchange insofar as applicable.
      For purposes of this chapter, unless otherwise specified, times referred to herein shall refer to and indicate Chicago time.
      Futures contracts shall be scheduled for trading and delivery during such hours and in such months as may be determined by the Exchange.
      The unit of trading shall be 100,000 U.S. dollars.
      259L01.C.   Price Increments
      Minimum price fluctuations shall be in multiplies of 0.0001 South African rand per U.S. dollar, equivalent to 10 South African rand per contract. Trades may also occur in multiples of 0.00005 South African rand per U.S. dollar (equivalent to 5 South African rand per contract), commonly referred to as a one-half tick, for U.S. dollar/South African rand futures intra-currency spreads executed as simultaneous transactions on GLOBEX® pursuant to Rule 542.F.
      284L.01.D. Position Limits, Exemptions, Position Accountability and Reportable Levels
      The applicable position limits and/or accountability levels, in addition to the reportable levels, are set forth in the Position Limit, Position Accountability and Reportable Level Table in the Interpretations & Special Notices Section of Chapter 5. 
      A Person seeking an exemption from position limits for bona fide commercial purposes shall apply to the Market Regulation Department on forms provided by the Exchange, and the Market Regulation Department may grant qualified exemptions in its sole discretion.
      Refer to Rule 559 for requirements concerning the aggregation of positions and allowable exemptions from the specified position limits.
      259L01.G.   Termination of Trading
      Futures trading shall terminate on the second Business Day immediately preceding the third Wednesday of the contract month. If the foregoing date for termination is a bank holiday in Chicago or New York City, futures trading shall terminate on the next preceding Business Day common to Chicago and New York City banks and the Exchange.
      259L01.H.   [Reserved]


       
      259L02.      SETTLEMENT PROCEDURES
      1.   Procedures
      In addition to the procedures and requirements contained in this chapter, delivery procedures shall be governed by the rules set forth in Chapter 7.
      2.                                                     Delivery Days
      Delivery shall be made on the third Wednesday of the contract month. If that day is not a Business Day in the country of delivery or is a bank holiday in either Chicago or New York City, then delivery shall be made on the next day which is a Business Day in the country of delivery and is not a bank holiday in Chicago or New York City.
      (End Chapter 259L)


      Attachment 3
      Initial Contract Listings in New USD/ZAR Futures on Monday, September 23, 2013
      Futures Expiry
      Last Trading Day*
      November 2013
      Monday, November 18, 2013
      December 2013
      Monday, December 16, 2013
      January 2014
      Monday, January 13, 2014
      February 2014
      Monday, February 17, 2014
      March 2014
      Monday, March 17, 2014
      April 2014
      Monday, April 14, 2014
      May 2014
      Monday, May 19, 2014
      June 2014
      Monday, June 16, 2014
      July 2014
      Monday, July 14, 2014
      August 2014
      Monday, August 18, 2014
      September 2014
      Monday, September 15, 2014
      October 2014
      Monday, October 13, 2014
      November 2014
      Monday, November 17, 2014
      December 2014
      Monday, December 15, 2014
      March 2015
      Monday, March 16, 2015
      June 2015
      Monday, June 15, 2015
      September 2015
      Monday, September 14, 2015
      *Trading ceases at 9:16 a.m. Central Time (CT) on the second business day immediately preceding the third Wednesday of the contract month
       
       
       
       
       
       


      Attachment 4
      Initial Calendar Spread Listings in New USD/ZAR Futures on Monday, September 23, 2013
       
       
       
      December 2013
      −
      November 2013
      January 2014
      −
      December 2013
      February 2014
      −
      January 2014
      March 2014
      −
      February 2014
      April 2014
      −
      March 2014
      May 2014
      −
      April 2014
      June 2014
      −
      May 2014
      July 2014
      −
      June 2014
      August 2014
      −
      July 2014
      September 2014
      −
      August 2014
       
      [1] Positions for the same account holder will be aggregated across the new USD/ZAR futures, the extant ZAR/USD futures, options on the extant ZAR/USD futures, and U.S. dollar/South African rand cleared over-the-counter (OTC) equivalent contracts based on a futures-equivalent contract equal to 500,000 South African rand. Spot month limits are effective starting the day one week prior to the termination of trading day.
       
      [2]   For CME Globex trading, automated price banding prevents execution of orders at prices falling outside of 1200 ticks for outright trades from the last sale, best bid or best offer. Price banding prevents the entry of limit orders more than a pre-determined amount above the last price in the case of bids and more than the same pre-determined amount below the last price in the case of offers. The band “shadows” the currency futures price as it reacts to new transactions, higher bids and lower offers.

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