Underlying

The respective currency pair.

Contract sizes

The currency stated first in each currency pair is the base currency of such pair; the currency stated second is the quote currency. An FX Rolling Spot Futures is traded in its respective quote currency.

Price quotation and minimum price change

The price quotation is determined as a decimal number with five decimal places. The minimum price change is 0.00001, equivalent to a value of one unit of the quote currency.

For FX Rolling Spot Futures with Japanese Yen as quotation currency the price quotation is determined as a decimal number with three decimal places. The minimum price change is 0.001, equivalent to a value of 100 units of the quote currency.

Contract maturities

Perpetual contracts with daily rollover of positions.

Last trading day

Not available - perpetual contract.

Daily settlement price

Spot FX at 17:00 CET/CEST, equivalent to 16:00 London time, (as determined by STOXX® according to the FX Rolling Spot Index) – relevant for the daily variation margin payments, capturing day-to-day price variations. The source for the reference spot FX rate is the STOXX® FX Rolling Spot Index. Reference time for spot FX price is 17:00 CET/CEST – equivalent to 16:00 London time.

Further details are available in the clearing conditions.

Daily adjustment price

Spot FX rate at 17:00 CET/CEST adjusted by T/N swap points valid at this time (as determined by STOXX® according to the FX Rolling Spot Index). All existing positions will be closed daily at the prevailing spot rate taken at 17:00 CET/CEST and immediately re-opened at same spot FX rate, adjusted by the T/N swap rate.

Daily basis

An interest rate adjustment for rolling over the position to the next day amounting to the T/N swap rate at opening will be debited (for longs) and credited (for shorts) if the swap rate is positive (base currency is at a premium), and will be credited (for longs) and debited (for shorts) if swap rate is negative (base currency is at a discount).

The source for the overnight FX swap rates is the STOXX® FX Rolling Spot Index. Reference time for using T/N rates is 17:00 CET/CEST, equivalent to 16:00 London time.

This adjustment debit/credit is effected separately from the daily variation margin payment through adjustment of the position price via a “technical trade”.

All existing positions (the position data as per close of the previous trading day is relevant) will be closed daily after 17:00 CET/CEST at the prevailing spot FX rate and immediately reopened at the same spot FX rate, adjusted by the T/N swap rate.

Final settlement price

Not available - perpetual contract.

This file provides an overview of mistrade ranges for Options and Futures including information on their behavior close to expiration and in stressed markets.