Will P&L be realised by exchange/what is J.P. Morgan doing?
No – all exchanges bar the MATIF will NOT be realising P&L. However J.P. Morgan WILL be realising P&L as follows: For Futures and Options it is our intention to realise P&L in the legacy contract for all exchanges i.e. Close out the current legacy futures/options position with a trade entered at that nights settlement price realising P&L. Open the correct new euro future/option (dependent on exchange approach round/odd lots) with trade price equal to that nights settlement price. Where the option premium (equity index options) is paid up front: We will be entering a reversing trade with zero premium and opening the new euro option(s) again at zero premium. i.e. the option market value will move from legacy to euro. J.P. Morgan will convert at the position level. The closing, reversing and opening trades will have a trade date of 1 January 1999.
