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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 |
|
|
Open
Market |
End
of Opening Auction – |
|
Closing
Auction |
|
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 AuctionWhenever 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 PriceTRM: Underlying Asset
FWD: Forward points.
Forward points will be obtained from a financial information provider or using local agents quotes obtained by survey.
