Posted: May 19, 2014 @ 03:24 PM             Msg. 1 of 3

Recently currency pairs such as EUR/JPY started reporting their contract size and margins not in dollars, but in some other currency type. For instance RYU4, now uses the EURO, not the Dollar, in reporting their ContractSize. Unfortunately, we have always depended on ContractSize being reported in Dollars.

1) Could you give us tips on how to convert over to the new way of reporting non-USD currency pairs as far as margins, contract sizes, etc?

2) I ask for RYU4 contractsize, which is now in EUROs. How do I get contractsize in USD? Initial Margin? Maintenance Margin? A number of other fields belonging to contract and position must now be reporting in Euros as well. What are the affected fields? This might be a big question, but because the api changed first without notice, perhaps its reasonable to ask such a question.

3) What are the symbols that are affected? If I look on the webpage for specs, I can see that many commodities are not USD-based. I take it that each of these symbols are affected in the same way as EUR/JPY?

Thanks,
CHW

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CHW

Posted: May 19, 2014 @ 08:37 PM             Msg. 2 of 3

Received an email back today from client services re. this post:

There have been no changes to my knowledge. Contract size is a number that is not defined by currency. RY contract size is 125k, exchange states euros, but this does not need translated into USD. The contract is traded in YEN, so gains/losses are paid in YEN (1250 ¥ per tick). Therefore, margins are reported in YEN. Currently, initial margin is 467,500 ¥. It is not advised to translate into USD, as this figure will change daily, based on USD/JPY cross rate. There are other CME currency futures that trade in foreign currency, like TRE, PJY, RF, and RP and obviously this applies to EUREX and LIFFE London/Paris markets.

For RY contract, the OEC platform contract specs match the CME specs (side by side, showed the CME specs and OEC Trader specs).

(written by C. M.)

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CHW