Summary
The single European currency named the euro
(FutureSource symbol EU) begins on 1 January 1999. This
first wave of the European Monetary Union (EMU) will profoundly
affect many facets of financial transactions. This document outlines
the euro basics and how FutureSource
plans to handle this historic change.
Impact on Foreign
Exchange
- Legacy crosses (DMFR, DMIT, etc.) will post
a single daily fixed price.
- Legacy vs non-EMU currencies (USDM, DMJY,
etc.) will remain supported, but it is expected, with much reduced
updates.
- New euro exchange rates (EUUS, EUJY, etc.)
will become actively quoted.
- FutureSource will continue to update former
ECU crosses with new euro quotes.
- Historical euro data is available via three
methods.
Exchange Traded Futures
and Options
- Exchanges have established their own local
rules and conversion processes, and FutureSource will support
these conventions as best possible.
- Several new euro-based contracts have been
launched in parallel with and are intended to replace existing
contracts. Other euro-based contracts were launched as new
stand-alone products, while a few existing symbols will be
delisted. See the section on Futures and
Options for specific exchange details.
- FutureSource will not support "odd lot"
contracts resulting from euro conversions.
Historical Data
- All data received in euro's will be
displayed in euro's in accordance with agreed local market
convention.
- Conversions, if necessary, will be carried
out by the originator of the data, essentially following the rules
/ conventions of exchanges, issuers and contributors.
- Except for synthetic euro FX rates,
FutureSource will provide theoretically converted historical data
only if it is provided by the exchange.
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Background
Eleven Member Countries ("in"
currencies)
The eleven member countries, along with their currency name and
FutureSource symbol are:
Austria
Belgium
Luxemborg
Finland
France
Germany
Ireland
Italy
Netherlands
Portugal
Spain
|
Schilling
Franc
Franc
Mark
Franc
Deutschemark
Punt
Lira
Guilder
Escudo
Peseta |
AT
BE
"
FI
FR
DM
IP
IT
NL
PT
ES |
Four Countries not Participating ("out"
currencies)
Great Britain, Denmark and Sweden have decided not to join the euro
currency in 1999. Greece did not meet the entrance criteria so they
will not join in 1999.
Euro Phase In
From 1st January 1999, electronic transactions may be conducted in
euros. This applies to retail transactions such as purchases made
via credit and debit cards. Stocks, bonds and other investment
vehicles (i.e., futures and options) will be denominated in euros.
The euro will be actively traded by banks and investment houses
against other non-member currencies.
Cash euro
Cash euro currency (coins and notes) will not be available for
circulation until 1 January 2002. There will then be a six month
transition period where both the euro and legacy national currencies
will be in circulation.
"E-Day"
On 1 July 2002, the euro will be the only currency available in the
eleven participating countries.
Conversion Details
The conversion rate for each participating national currency
against the euro will be fixed on 31 December 1999.
- At the end of the regular central bank
deliberation procedure, 11:30 am Central Europe Time (CET), the
Commission will calculate the final official ECU exchange rates
for the participating currencies in line with established
convention. The Commission will propose these rates for adoption
by the Council as the irrevocable conversion rates for the euro at
12:30pm CET in a televised Council session. At the same time, the
Commission will make these proposed rates public via the Internet
and they will also appear on Futures World News (FWN).
- The Council will adopt the Regulation and
will inform the public of its adoption at around 1:30 pm CET. In
addition, the Commission will make the adoption public by the same
means as when it publishes the proposed rates.
- The regulation will be published in the
Official Journal of the European Communities, which will
be available from the Office for Official Publications in
Luxembourg at 6:00 pm CET.
- The Regulation will be applicable as from 1
January 1999, 0:00am local time.
The Commission has subsequently clarified that
the market observations of the official ECU rates will be taken by
National Central Banks, (NCB's), at 11:00 am CET.
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Foreign
Exchange
Euro Symbol
The FutureSource symbol for the euro is EU.
Quotation Conventions
As stated in the Bank of England's Practical Issues Arising
from the Euro, Issue 10, 14 December 1998, a consensus has
emerged amongst the wholesale market that the euro should be quoted
in the foreign exchange market on a certain for uncertain basis,
e.g. EUR 1=USD 1-1900 ; EUR 1=GBP 0-7062 ; EUR 1=JPY 138-87. All
European Central Banks will use this proposed convention in their
own market operations. In the interbank market, all euro quotes,
including against Sterling, US Dollar, Australian Dollar and New
Zealand Dollar are expected to conform to this convention.
- [Please Note: the agreed convention
for Sterling, US Dollar, Australian Dollar and New Zealand Dollar
only applies to quotations versus the euro. Against all other
currencies, including the, "in" currencies during the
transition period, these currency pairs will continue to be quoted
on the current basis.]
Legacy Currencies
On 31 December 1998, the conversion factors will be fixed amongst
EMU member's currencies (i.e, DMIT) and against the euro (i.e.,
EUDM). FutureSource will continue to provide access for charting
purposes to legacy crossrates (DMFR, DMIT, etc.) by posting daily
the fixed rate. Charts of these crosses will continue to update
daily, but the values will not change, since the conversion factors
are fixed.
Exchange rates of legacy currencies versus
non-EMU countries (i.e., USDM, DMJY) will also continue to be
maintained on FutureSource. However, the frequency of updates will
be reduced, since it is expected that most activity will be
conducted against the euro. We will post updates to these legacy
crosses as they are provided to us by our contributors.
Euro vs Non-member Currencies
Exchange rates against the euro (i.e., EUUS, EUJY) will become
actively quoted. We have been transmitting indicative closing prices
on 20 euro crosses since late summer 1998, based on prices
calculated using a GDP weighting. This provides a starting level of
historical data. If you would like your euro charts to start "clean"
from January 1, you can easily delete this data using the 'Misc |
Edit' function. See the historical data section for more details.
Euro and the ECU
The European Currency Unit (ECU - FutureSource symbol EC) converts
on a one-to-one basis to the euro on 1 January 1999. FutureSource
will continue to update our multi-contributor EC rates whenever we
receive quotes on a similar euro cross, by transmitting these quotes
identified as "indicative". This will maintain the
historical EC data for analysis. So for example, post 1998, ECUS
will be identical to EUUS, with the only difference that ECUS will
provide historical data based on the ECU. After several months, we
will review the situation and possibly migrate the historical data
from ECU rates to euro rates.
ECB Reference Exchange Rates - Fixings
There will not be a euro-wide official fixing procedure for the
euro involving the European System of Central Banks (ESCB). However,
the ECB will calculate and publish reference exchange rates for the
euro on a daily basis against Sterling, US Dollar, Yen, and a wide
range of other currencies.
These reference rates will be based on the
regular concertation procedure between central banks, which normally
takes place at 2:15pm CET. Only one reference exchange, (mid), rate
per currency will be published, using the certain for uncertain
method - in most cases 5 significant digits will be used. It is
expected that these rates will be posted daily on FWN.
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Futures
and Options
Exchanges are each handling the euro
conversion with different methods particular to rules established by
that exchange. FutureSource will support these conventions as best
possible, and will transmit the data with prices as quoted by the
exchange.
We do not intend to provide any theoretical
euro-based historical data based on our own synthetic formulas.
However, if an exchange does provide synthetic historical data, we
will do our best to provide that data to our clients.
Upon converting existing positions to euro,
some exchanges (notably Eurex and Matif) are creating new "odd
lot" contracts to handle the uneven remainders. Most of the odd
lot contracts pertain only to the March 1999 contracts, and thus
will expire in March 1999. FutureSource will not support these odd
lot contracts resulting from euro conversions.
Conversion to the euro impacts the following
symbols (indexed by exchange):
Eurex Deutchland
(formerly known as DTB)
Stock index futures and options (DAX, MDAX,
etc.) will be converted to euro denominations. The index value
itself is not expected to change, since both the underlying
securities and the index multipliers will also be adjusted
accordingly. The conversion of existing positions in the March 1999
contract will produce "odd lot" remainder contracts.
FutureSource will not support these odd lot contracts resulting from
euro conversions.
Existing interest rate futures and options
products will trade until expiration of the March 1999 contract.
Newly launched euro-based contracts will trade in parallel and will
replace the legacy products. The new and old symbols are:
| New |
Old |
| DBM |
Euro BOBL |
DMB |
BOBL |
| DBL |
Euro BUND |
DGB |
BUND |
| DFG |
Euro Schatz |
DSB |
Schatz |
| DFM |
Euro Jumbo Pfandbrief |
DJB |
Jumbo Pfandbrief |
The FutureSource symbols for Eurex's new
euro-based contracts are:
| DFU |
1 Month Euribor
|
Futures |
| DFE |
3 Month Euribor |
Futures and Options |
| DFL |
3 Month Euro-LIBOR |
Futures |
| DBG |
Euro BUXL |
Futures |
These Eurex symbols are also impacted as
follows:
| DEM |
3 Month Euromark
Futures |
Available until
March 2001 |
| DEM |
1 Month Euromark Options
|
Stops trading after March 1999
|
| DEK |
1 Month Euromark Future |
Delisted in December 1998 |
| DLL |
Lib1 - Lib3 Spread |
Delisted in December 1998 |
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Liffe
The existing German Bund (LGB) and Italian
BTP (LBT) futures and options products will trade in the original
National Currency Unit until expiration of the March 1999 contract.
No parallel listings will be created, and all new contract months
introduced will be priced in euros. The FutureSource symbols remain
the same.
The Short Term Interest Rate national
currency unit futures and options (LEM, LEL) will be converted into
the 3 Month Euro contract (LEC) over the weekend of 23/24 January
1999. The settlement price on Friday, 22 January 1999 will be used,
with the conversion of all open positions based on the fixed lock-in
rates. This affects the following symbols:
| New |
Old |
| LEC
|
3
Month Euro |
LEM
LEL |
3 Month Euromark
3 Month Eurolira |
| LEE |
3 Month Euro
Mid-Curve |
LET
LEF |
3 Month Euromark Mid-Curve
3 Month Eurolira Mid-Curve |
The FutureSource symbols for Liffe's new
euro-based contracts are:
| LEI |
3 Month Euribor
|
Futures |
| LGF |
5 Year Libor
Financed Bond |
Futures |
| LFD |
10 Year Libor
Financed Bond |
Futures |
These Liffe symbols are also impacted as
follows:
| LEK |
1 Month Euromark
|
Delisted in
December 1998 |
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Matif
CAC 40 stock index futures (MCA) will be
converted to euro denominations. The index value itself is not
expected to change, since both the underlying securities and the
index multipliers will also be adjusted accordingly. The conversion
of existing positions in the March 1999 contract will produce "odd
lot" remainder contracts. FutureSource will not support these
odd lot contracts resulting from euro conversions.
Newly launched euro-based interest rate
futures and options contracts will replace the legacy products. The
legacy 5 Year and Notional symbols hace already been delisted
following their December 1998 expirations. The PIBOR futures will no
longer trade beginning 4 January 1999, but will continue to be
cleared until 14 June 1999. PIBOR positions still open at the close
of trading on 14 June 1999 will be automatically converted to the 3
Month Euribor. The new and old symbols are:
| New |
Old |
| GMST |
3 Month Euribor
|
MPI, GMPI |
3 Month PIBOR
|
| GMFC |
5 Year Euro |
MYR, GMYR |
5 Year Matif |
| MNN, GMNN |
Euro Notional |
MLB, GMLB |
Notional |
The FutureSource symbols for Matif's new
euro-based contracts are:
| GMEC |
Euro All-Sovereign
|
Futures and Options |
| GMEB |
30 Year E-Bond |
Futures |
| GMEN |
2 Year E-Note |
Futures |
The Matif commodities No. 2 Milling Wheat and
Rapeseed will become denominated in euros, and their symbols will
not change. If market demand is significant, we will exceptionally
provide converted historical data. Sugar futures and options will
not be converted to euro, but will still be quoted in US Dollars. To
summarize the Matif commodities:
| MMF |
Milling Wheat No. 2
|
converted to euro |
| MRA |
Rapeseed |
converted to euro |
| MSD |
White Sugar No. 45 |
no conversion - remain quoted
in US Dollars |
| MSB |
ICUMSA Sugar No. 100 |
no conversion - remain quoted
in US Dollars |
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Eurex Zurich
(formerly known as Soffex)
No impact anticipated due to the euro, since
all Swiss products will remain traded in Swiss Francs.
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Historical
Data
FutureSource will adhere to the terminology
recommended by the Bank of England and the Financial Information
Services Division, (FISD), of the Information Industry Association,
(IIA):
- Historic data expressed in the original
national currency will be referred to as as reported data.
- Historic data converted from, "in"
currencies to euro at the conversion rate will be referred to as
restated or adjusted data in
euro's at the conversion rate.
- For other data converted to euro's, where
an element of judgement is applied, the following three most
common terms will apply:
- Reference rates where
the prices of two different instruments are expressed in a
common currency other than the euro and the results are
restated in euro at the conversion rate.
- Proxy rates refers to
data converted using artificial substitutes for the euro
(i.e., ECU)
- Pure synthetics refers
to specially created baskets consisting of weights, (i.e., by
GDP), of, "in" currencies.
Euro Back History - Summary of
FutureSource Services
Despite widespread consultation with data contributors and the
market in general, a clear consensus view has failed to emerge.
Consequently, FutureSource proposes to provide a choice of
alternatives so users can display prices for data converted to
euro's in accordance with the most popular approaches:
- Post 1998 prices denominated in euro's
All data received in euro's will be displayed in euro's in
accordance with agreed local market convention.
- Current data - contributed information
Will be held as supplied. Conversions, if necessary, will be
carried out by the originator of the data, essentially following
the rules / conventions of exchanges, issuers and contributors.
- Product / feed specification
No change to data feed specifications, but some new data types
and currency symbol codes will apply (i.e., EU is the symbol code
for the euro). On Futuresource Technical a new Fixed Proprietary
Page (Function Key F5), will display the most common euro cross
rates in a tabular format.
- Money markets and FX
All existing records and symbol codes will be maintained post
1998 and live quotes will continue to be displayed for legacy
currencies as long as contributors continue to supply such data,
or until 2002 when National Currency Units, (NCU's), of the, "in"
member countries cease to exist.
Presentation of Historical Data
As reported historical data will
remain unaltered and can be viewed as, 'as reported', using the
established FutureSource symbol codes. For example, select,
'FXUSDM', to view the appropriate chart relating to US Dollar versus
German Mark. All data pre-1999 will be stored in raw format.
Judgmental data. Three choices are
available to FutureSource customers:
- By selecting FXEC** users will see historic
ECU prices pre-1999 spliced onto indicative euro price quotes post
1 January 1999.
- By selecting FXEU** users will see actual
euro prices post 1 January 1999, with a synthetic back history of
euro closing prices pre-1999, calculated using a GDP weighting.
Clients will also have the option to remove the synthetic history
completely so that their charts will only display euro quotes post
1 January 1999 if desired.
- Users can perform further data manipulation
using the Deutschemark via a DDE link to a spreadsheet to produce
a synthetic back history in accordance with their personal
preferences and methodology.
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