5. Currency futures

International Financial Services 2

Karel Bruna

Currency futuresUSD/EUR contract specification on CME

Trade Unit 125 000 EUR

Price Quote American quotation

Minimum Price Fluctuation (Tick) 0,0001 USD per Euro = 12,5 USD per trade unit

Contract Month March, June, September, December

Trading Hours 7.20 a.m. - 2.00 p.m.

Delivery Date third Wednesday of the contract month

Currency futuresExample of daily settlement

Day TransactionFutures price(USD/EUR)

Daily change of futures

price(USD/EUR)

Daily profits/losses

(USD)

Level of margin account (USD)

Total profits/losses

(USD)

March 22purchase of one EUR futures

0,8990 - - 2 000 -

March 22daily

settlement0,9088 + 0,0098 + 1 225 3 225 + 1 225

March 23daily

settlement0,9044 -0,0044 - 550 2 675 + 675

March 24daily

settlement0,8811 -0,0233 - 2 912,5

- 237,5(+2 237,5)

- 2 237,5

March 25sale of one

EUR futures0,8795 - 0,0016 - 200 1 800 - 2 437,5

Currency futuresdaily profits/losses calculation

daily settlement = (FPt - FPt-1) . trading units . number of contract

Currency futures price

spot rate

interest rate differential 1 + IRUSD(t/360)

FPUSD/EUR = SRUSD/EUR . ------------------------- 1 + IREUR(t/360)

futures price

time to maturity date

Currency futures quotation