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									Instructions for Final Settlement of CBOT 30-Day Federal Fund Futures Contract
Daily Update

Update the spreadsheet “Fed Funds 2007 Settlements” on a daily basis. The daily overnight federal funds rate for the previous
reporting day can be obtained directly from the website of the Federal Reserve Bank of New York at
http://www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm. The official rate is usually posted by 7:30 a.m. Chicago time. If
the website is not accessible, call the FRBNY's public information department at (212) 720-6130 to obtain the official rate through the
bank's automated telephone menu. After obtaining the official rate, enter the value into the corresponding cell of the spreadsheet and
save the document. For days on which the FRBNY does not compute a rate (e.g., weekends and holidays), use the rate that was
determined on the last business day for which a rate was published.

Final Settlement Calculation and Verification

The spreadsheet automatically calculates the average daily rate and the final settlement price for the delivery month. The average daily
rate is the simple average of the daily overnight federal funds rates during the delivery month, as determined by the Federal Reserve
Bank of New York. This simple average is rounded to the nearest one-tenth of one basis point and rounded up in the case of a tie.
Contract settlement is 100 minus the rounded simple average rate. For more information, please refer to CBOT Regulation 2136.01 at
http://www.cbot.com/cbot/pub/cont_detail/0,3206,931+30961,00.html.

On the morning of the first business day following contract expiration, verify each data point in the spreadsheet and calculate the final
settlement price for the delivery month. Historical daily rates can be obtained from the FRBNY website or the website of the Federal
Reserve Board of Governors at http://www.federalreserve.gov/releases/h15/.

After saving “Fed Funds 2007 Settlements”, copy page “2007” of “Fed Funds 2007 Settlements” to a new workbook. Rename and save
this new workbook in the "FF Month Year" format. For example, the January, February, and March settlements for this year will be
saved as FFF7, FFG7, and FFH7, respectively. Highlight the cell containing the settlement price in yellow and save the document. This
new spreadsheet will be the document that will be posted on the CBOT website. Lastly, archive page “2007” chronologically to “Fed
Funds Settlement History”, replacing the last version of “2007” that was previously archived.

E-Mail Distribution

After the calculation and verification process is completed, distribute the final settlement price via e-mail. First, prepare a draft of the text
message. “Fed Funds Settlement E-Mail” is a canned Word document that should be used as a template for distribution. Update the
text for contract expiration, settlement price, and settlement rate. Also, update the text for your name and contact information. Save
“Fed Funds Settlement E-Mail” and then copy the prepared text into an e-mail as plain text, not in HTML format. Bold and underline as
indicated in “Fed Funds Settlement E-Mail”. Second, attach the appropriate spreadsheet for the current contract expiration as an
attachment. Third, address the e-mail by inserting “CBOT Financial Instruments Settlement Group” in the “To” box. “CBOT Financial
Instruments Settlement Group” can be found in the “My Groups” folder in Groupwise. “CBOT Financial Instruments Settlement Group”
contains the e-mail addresses for Communications, Exchange Services, Market Information, Market Operations, Office of Investigations
and Audits, ORHELPDESK, Secretary's Office, and Trading Operations. “CBOT Financial Instruments Settlement Group” also contains
the e-mails of key CME staff involved in the Common Clearing Link. Next blind copy all of the names listed in the “Fed Funds” and
“Japan” folders, which can also be found in Groupwise. Distribute the e-mail by 8:00 a.m. Chicago time. Lastly, call Remmie Vail (312-
341-7971) to make sure the settlement e-mail with attachement is posted on the front page and under the Fed Funds section of the
CBOT website.

The documents “Fed Funds 2005 Settlements”, “Fed Funds Settlement History”, and “Fed Funds Settlement E-Mail” are located on the U
drive at Z:\MPD\FIRD\Fed Funds Contract\Fed Funds Settlements.
                              30-DAY FEDERAL FUNDS FUTURES CONTRACT — CASH SETTLEMENT VALUES FOR 2008

                              Day       Oct-08       Nov-08       Dec-08
                               1        1.15%         0.00%        0.00%
                               2        0.67%         0.00%        0.00%
                               3        1.10%         0.00%        0.00%
                               4        1.10%         0.00%        0.00%
                               5        1.10%         0.00%        0.00%
                               6        1.96%         0.00%        0.00%
                               7        2.97%         0.00%        0.00%
                               8        2.24%         0.00%        0.00%
                               9        1.40%         0.00%        0.00%
                              10        0.79%         0.00%        0.00%
                              11        0.79%         0.00%        0.00%
                              12        0.79%         0.00%        0.00%
                              13        0.79%         0.00%        0.00%
                              14        1.10%         0.00%        0.00%
                              15        1.04%         0.00%        0.00%
                              16        0.83%         0.00%        0.00%
                              17        0.60%         0.00%        0.00%
                              18        0.60%         0.00%        0.00%
                              19        0.60%         0.00%        0.00%
                              20        0.70%         0.00%        0.00%
                              21        0.67%         0.00%        0.00%
                              22        0.81%         0.00%        0.00%
                              23        0.93%         0.00%        0.00%
                              24        0.95%         0.00%        0.00%
                              25        0.95%         0.00%        0.00%
                              26        0.95%         0.00%        0.00%
                              27        0.92%         0.00%        0.00%
                              28        0.67%         0.00%        0.00%
                              29        0.36%         0.00%        0.00%
                              30        0.30%         0.00%        0.00%
                              31        0.22%                      0.00%
Average Daily Rate:                  0.96935%     0.00000%     0.00000%
Rounded to Nearest 1/10 BP:          0.96900%     0.00000%     0.00000%
Contract Settlement:                    99.031      100.000      100.000

Footnotes:                    The Average Daily Rate is the arithmetic average during the delivery month of the
                              effective overnight federal funds rate, as determined by the Federal Reserve Bank of New York.
                              The arithmetic average is rounded to the nearest one-tenth of one basis point and
                              rounded up in the case of a tie. Contract Settlement is 100 minus the rounded average rate.
                              For days on which the FRBNY does not compute an effective overnight federal funds rate
                              (e.g., weekends, holidays) the rate used in computing the Average Daily Rate shall be
                              the effective overnight federal funds rate for the last business day for which such rate
                              has been determined. For more information, please refer to CBOT Rule 22101.

Color Key:                    Days for which the FRBNY has computed an effective overnight federal funds rate are in black.
                              Days for which the FRBNY has not computed such rate are in red.

Source:                       Federal Reserve Bank of New York
                              Federal Funds website: http://www.newyorkfed.org/markets/omo/dmm/fedfundsdata.cfm
                              H15 Statistical Release website: http://www.federalreserve.gov/releases/h15/
                              Public Information Hotline: (212) 720-6130

								
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