Colombian Securities Exchange launches Currency Futures

Colombian Securities Exchange launches Currency Futures

 

19/06/09

Colombian Securities Exchange is glad to announce that Currency Futures Contracts are now available for trading. From now on, investors can now trade USD/COP (TRM: Weighted Average Market Price) Futures. On its first day on June 16, 2009, as a listed instrument there were trades for 49 contracts, all of them from the nearest maturity contract, which expires in July.

Information of the new TRM Currency Futures is available in Bloomberg: CEM Go; CDE Go; TRSA Go

TRM Currency Future’s specifications are described below.

CURRENCY FUTURE USD/COP (TRM)

CONTRACT SPECIFICATIONS

  • UNDERLYING
    The underlying asset of the TRM Futures will be the Market Representative Rate (TRM) which is published by the “Superintendencia Financiera de Colombia”.

     

  • CONTRACT SIZE
    Each contract will have a nominal value of USD50.000 (fifty thousand dollars)

     

  • LISTED CONTRACTS
    At any point, the nearest two (2) monthly contracts and four (4) march cycle quarterly contracts (March – June – September – December) will be listed. This means that six (6) contracts will be ready for trading at any time of the year. All Time Spread contracts linked to the maturity structure will also be available.

     

  • TICK PRICE
    Currency contracts will have a tick price of 0.1 pesos per dollar. Tick value is equivalent to COP 5.000 (five thousand pesos) per contract.

     

  • SWEEP PRICE POINTS
    For regular contracts
    504 Ticks
    For Time Spread Contracts
    50 Ticks

     

  • SETTLEMENT
    At maturity, open contracts will be cash settled at the TRM rate published on the last trading day.

     

  • MATURITY AND SETTLEMENT
    Second Thursday of the month.

     

  • LAST TRADING DAY
    Second Wednesday of the month.

     

  • MAXIMUM QUANTITY PER ORDER
    100 contracts / order

TRADING HOURS

SESSION

CURRENCY FUTURE (TRM)

Opening Auction

8:00 a.m. - 8:05 a.m.
Random end: +/-1 minute

Open Market

End of Opening Auction –

12:55 p.m.

Closing Auction

12:55 p.m. - 1:00 p.m.
Random End: +/-1 minute

 

DAILY SETTLEMENT

The Central Counterparty Clearing House (CRCC for Spanish abbreviation) will settle mark to market differences in a daily basis for investors with trading activity or open interest. This procedure is a mechanism in which CRCC communicates the firms the result of the clearing and proceeds to deposit and withdraw loss and profits from each account at the central bank members’ accounts.

At maturity, the settlement will be calculated against the price of the TRM published at the end of the last trading day.

CLOSING PRICE

Closing price for each contract will be provided by the Exchange (BVC) according to its rulebook. The price will be calculated applying one of the following methods:

a. Market Price - Closing Auction
Whenever there is are trades during the closing auction, the closing price will be the one generated by the auction trades.

b. Market Price - Weighted Average
If there are no trades during the closing auctions, the closing price will be calculated as the weighted average of the trades during the last 30 minutes of the Open Market, always that there are at least five trades.

c. Differential Price
If it is no possible to calculate a closing price for the contracts using the methods described before, the closing price could be calculated using the spread between market prices of different contracts. This way, a price of an illiquid contract could be obtained by adding the market price of a liquid contract and the spread in force the day before.

d. Theoretical Price
 

If it is not possible to calculate a closing price using the methodologies described before, BVC will calculate a theoretical price using the following formula:

F=TRM+FWD

F: Future Price
TRM: Underlying Asset
FWD: Forward points.

Forward points will be obtained from a financial information provider or using local agents quotes obtained by survey.