NYSE Liffe U.S. Anticipates Smooth Migration Of Futures On MSCI Emerging Markets And MSCI EAFE Indices From CME On June 17
This month, NYSE Liffe U.S. will become the sole U.S. marketplace for futures on MSCI Indices. On July 12, 2010, MSCI announced that it did not renew its licensing agreement with the Chicago Mercantile Exchange (CME) for futures contracts based on the MSCI EAFE and MSCI Emerging Markets indices. The last contracts available for trading on the CME will expire June 17, 2011. According to Vice President of Equity Derivatives at NYSE Euronext, John McGonegal, this should appear to be a smooth transition to users of the markets, and what it means is that another step has been taken in building out a "world-class" MSCI-based futures complex at NYSE Liffe U.S.
“I have been very impressed and encouraged by the response we have gotten over the last several months," says McGonegal. "Our global customers, liquidity providers and market participants have been very focused and engaged on this migration, and the progress has been excellent so far.”
The contract specifications for these products are identical to the specifications of the CME contracts. The main differences will center around details relating to the trading platform, and a change in clearinghouse.
Minor changes that will impact market users include that the NYSE Liffe U.S. roll quoting convention differs from the CME convention. Using the NYSE Liffe U.S. convention, the bid price is equal to the NEGATIVE of the ASK price using the CME convention. Similarly the ask price using the NYSE Liffe U.S. convention is equal to the NEGATIVE of the BID price using the CME convention. Keeping this relationship in mind, it is easy to convert between the two conventions.
Exchange officials say that anyone who currently holds open interest in the CME contract should contact the exchange in advance of June 17. A readiness test was held in May. The exchange suggests that to be ready for the move, firms and FCMs take steps including making sure that all relevant desks can access market data, that traders have assigned IDs from NYSE Liffe U.S. and that regulatory and compliance considerations are discussed with the appropriate staff. Other suggested changes can be found here
"All of the feedback we have gotten so far has been very positive," says McGonegal. "Our liquidity providers are quoting deep and liquid markets and our wholesale trading desks have provided significant liquidity.”
As of June of 2011, NYSE Liffe U.S. offers trading in precious metals futures and options, MSCI index-based equity futures and U.S. interest rate futures, including Eurodollar and U.S. Treasury futures.
- Common questions and answers about the roll can be found here
- Facts on the MSCI equity indices can be found here
- NYSE Liffe U.S. Webinar On Migration Of Open Interest From CME For MSCI-Based Futures Contracts Webcast