#97-31: December 22, 1997: CBOT to eliminate quoting grain futures quantities in "five-lots". January 2 switch will be accompanied by adoption of new grain futures contracts commodity codes On January 2, 1998, the Chicago Board of Trade will change how it quotes trade quantities for its grain futures contracts. Instead of quoting trade quantities in units of 1,000 bushels, where one "five-lot" is equivalent to 5,000 bushels, trade quantities will be quoted simply as the number of contracts. In other words, instead of quoting trade quantities in these futures as five times the number of contracts, they will be quoted as the actual number of contracts. In making this change, CBOT is also implementing new one-byte commodity codes for wheat, corn, oats, and soybeans futures and options thereon — "W", "C", "O" and "S", respectively. Therefore, beginning on January 2, in order to include futures and options on these CBOT products in portfolios to be processed in PC-SPAN, it is necessary to add new commodity master records to PC-SPAN's Commodity Master file for these four new codes. Commodity master parameters for these new codes are given below. Please note that, with the sole exception of the "Enter futures position as X times the number of contracts" parameter, there are no changes to the commodity master parameters. Please note also that this change applies only to the CBOT grain futures contracts, and not to those on the Mid-America Commodity Exchange (which are already quoted as the number of contracts.) Other than the commodity code and commodity name, the parameters are the same for all four.
#97-29 and 97-30: November 28, 1997 and December 4, 1997: CME "Final" SPAN file to contain only active contracts beginning Monday December 2 Beginning this Monday, December 1, CME will include in its "final" settlement SPAN file only active contracts. With this change, BOTH the early and final files will now contain only active contracts. Including only active contracts in the early and final SPAN files will allow each file to be made available sigificantly sooner than has previously been feasible. In addition, because these files will be substantially smaller, transmission times and processing times should be correspondingly reduced. "Active" contracts mean all contracts which have ever traded at any time since they became eligible for trading. This includes contracts for which there is currently open interest, as well as contracts which no longer have open interest but did so previously. In addition, it includes any contract for which trading activity occurred on the current day. Because the final file will include all active contracts, all bookkeeping processes which use the file, either for margining purposes or for obtaining settlement prices, should be unaffected by this change. Users who wish to evaluate performance bond requirements for hypothetical portfolios, including contracts which are eligible for trading but have never traded, will need to use a new CME SPAN file, called the "complete" file, which will be available beginning Monday. The "complete" file will be available for download on the FTP site (ftp.cme.com) in the /pub/span/data/cme directory, together with the early and final CME files. The "complete" file will be distinguished from the early and final files via a c in the filename. For example, the early file for December 3 will be named cme1203e.zip, the final file will be named cme1203s.zip ("s" for settlement), and the complete file will be named cme1203c.zip. #97-28: November 14, 1997: "PBRATES" List Serve now available — for automated notification of margin rate changes via email We are happy to announce the availablility of our second List Serve — the "PBRATES" List Serve. This is an automated email list which works in exactly the same manner as the "PC-SPAN" List Serve. Subscribers to the "PBRATES" List Serve will be notified, by email, whenever any of CME's Performance Bond (Margin) rates change, typically several days in advance of the change. The email will contain a summary description of the products for which rates are changing and will refer to a new web page which describes the changes in detail. The main web page for CME's performance bond rates will continue to be updated on the day the new rates take effect. The first mailing to the new list serve is expected in early December. #97-27: November 11, 1997: CME "Early" SPAN file to contain only active contracts beginning Friday November 14 Beginning this Friday, November 14, CME will include in its "early" settlement SPAN file only active contracts. The "final" settlement SPAN file will continue to include all eligible contracts. Including only active contracts in the early file will allow the file to be made available sigificantly sooner than has previously been feasible. In addition, because the file will be substantially smaller, transmission times and processing times should be correspondingly reduced. "Active" contracts mean all contracts which have ever traded at any time since they became eligible for trading. This includes contracts for which there is currently open interest, as well as contracts which no longer have open interest but did so previously. In addition, it includes any contract for which trading activity occurred on the current day. Because the early file will include all active contracts, all bookkeeping processes which use the file, either for margining purposes or for obtaining settlement prices, should be unaffected by this change. Users who wish to evaluate performance bond requirements for hypothetical portfolios, including contracts which are eligible for trading but have never traded, will need to use CME's "final" SPAN file. #97-26: November 6, 1997: CME to list futures and options on Argentinian Par Brady Bonds On Friday November 7, 1997, CME will list futures and options on Argentinian Par Brady Bonds. PC-SPAN commodity master parameters are as follows:
#97-24 and 97-25 (Corrected): November 2, 1997: CME S&P 500 Futures and Options to split — change to PC-SPAN Contract Value Multiplier On Monday, November 3, 1997, CME's S&P 500 futures and options will be split. The contract value multiplier will be halved, from $500 to $250. A single long open position will become two long open positions. Accordingly, in PC-SPAN, it is necessary beginning Monday November 3, to change the contract value multiplier for all of the affected commodity master records from 500 to 250. The commodity codes for which this change applies are:
Note: the codes for the flex options on the Value Index were originally given, erroneously, as XU and YU. These actually apply to the flex options on the Russell 2000 and should NOT have their contract multiplier changed from its value of 500. These are no changes to the commodity master parameters for these products other than halving the contract value multiplier. This change does NOT apply to ES, the E-Mini S&P 500 futures and options. The E-Mini multiplier is unchanged at $50 (not $100 as was originally specified.) This change will also apply to the CME S&P 500 products in the CME-OCC-CCC Cross-Margining SPAN file. (Exchange acronym XCM) #97-23: October 25, 1997: PC-SPAN Version 3.12 now available This new version of PC-SPAN provides support for three important new features of SPAN: true interexchange spreading, method 4 intercommodity spreading, and futures-equivalent margining of physical securities. The Chicago Board of Trade plans to phase in support for these three new features of SPAN in its daily SPAN file in the near future. #97-22: October 21, 1997: Canadian Derivatives Clearing Corporation SPAN files are now available< Daily SPAN Risk Parameter Files for the Canadian Derivatives Clearing Corporation (CDCC), which recently implemented SPAN, are now available for downloading on three FTP sites:
A typical filename would be cdc1020s.zip, which is a ZIP file containing cdc1020s.pa2. These SPAN files are in the new, "expanded" unpacked file layout. To use them in PC-SPAN, you will need version 3.11 or later. CDCC SPAN files are currently not available on any of these sites until about 4am on the morning following the business day to which they pertain. CDCC is working on making them available earlier. For more information, contact Ms. Lynn Watson at CDCC, at 416-367-2467 or via email at lwatson@cdcc.ca #97-21: October 7, 1997: New cross-margining symbols Here are commodity master parameters for two new symbols for OCC-cleared products. These are needed in PC-SPAN's Commodity Master file if you wish to calculate cross-margin SPAN requirements for portfolios including these symbols.
#97-20: October 3, 1997: Correction to PC-SPAN Commodity Master parameters for CBT DJIA Index and info regarding CBT-OCC cross-margining and cross-margining of the DJIA contracts at OCC. Also correction to NYCE ML decimal locator Correction to contract value multiplier for CBOT DJIA Index contracts The Contract Value Multiplier for the CBOT's new futures and options on the Dow Jones Industrial Average (DJIA) Index, which begin trading on Monday October 6, has been changed by the CBOT from the value previously specified in User Update #97-19. The correct value for this multiplier is 100, not 10 as was previously specified. Here is an updated set of the commodity master parameters.
Cross-margining of the OCC DJIA contracts with CME Also on Monday, the Options Clearing Corporation expects to begin clearing options on the DJIA index traded at the Chicago Board Options Exchange. These OCC-cleared options will be eligible for the CME-OCC cross-margining agreement and will be present in the CME-OCC cross-margining SPAN file. PC-SPAN Commodity Master parameters are as follows:
CBOT-OCC cross-margining Also on Monday, the CBOT expects to begin creating a new cross-margining SPAN file for CBOT-OCC cross-margining. The exchange complex acronym for this new SPAN file is XDOW, and accordingly the SPAN file will be named, Monday night, XDO1006S.PAR. The ZIP file containing this SPAN file will be named XDO1006S.ZIP. This new CBOT-OCC cross-margining SPAN file will be structured in a way exactly analogous to that of the CME-OCC cross-margining SPAN file. It will contain data for exchange XCB - the CBOT for cross-margining pursuant to this agreement - and XOB - the OCC for cross-margining pursuant to this agreement. XCB will be assigned exchange code 31 and XOB exchange code 30. XCB will contain one commodity - 11 - the DJIA futures and options on futures at the CBOT. XOB will contain numerous commodities, one for each OCC symbol corresponding to index options eligible for this agreement. CME and CBOT will attempt to use the same two-byte codes to refer to the same OCC-cleared index option. For example, commodity code D1 will refer to the DJX options cleared by OCC, for both exchange XOC in the CME-OCC cross-margining SPAN file, and for exchange XOB in the CBOT-OCC cross-margining SPAN file. The complete exchange and commodity master files containing all of these new records can be obtained both in machine-readable and in printable form from the CME Web site at the page from COMAST.EXE. It is strongly recommended that PC-SPAN users wishing to process CBOT/Mid-Am portfolios, CME portfolios, or either of these cross-margining portfolios, ensure that they have the latest production version 3.11c. Correction to NYCE 'ML' decimal locator PC-SPAN users loading NYCE SPAN files recently may have noticed an error message that displays when the load process hits commodity ML, the Deutschemark / Lira cross-rate. This error resulted from NYCE shifting the price format for these contracts. To eliminate the error, change the decimal locator for settlement prices from 2 to 3. #97-19: September 29, 1997: PC-SPAN Commodity master parameters: CBOT'S futures and options on the Dow Jones Industrial Average Index; NYFE larger-sized futures on the NYSE Composite Index; Mid-Am Lean Hogs On Monday, October 6, 1997, the Chicago Board of Trade will begin listing futures and options on the Dow Jones Industrial Average (DJIA) Index, using commodity code 11 (formerly used for the now delisted 2/3 year yield curve spreads.) To process portfolios including these new positions in PC-SPAN beginning October 6, modify commodity master parameters for exchange CBT commodity 11 as shown below. On Friday, September 26, 1997, the New York Futures Exchange Division of the New York Cotton Exchange began listing YL futures on the NYSE Composite Index which are twice the size of its standard YX futures. To include positions on these new futures in portfolios to be processed in PC-SPAN, add a record for exchange NYC and commodity YL as shown below. The Mid-America Commodity Exchange recently began relisting futures on lean hogs using commodity code 57. PC-SPAN commodity master parameters were formerly correctly included for exchange MID and commodity code 57, but you may wish to check them against the parameters as shown below.
#97-18: September 29, 1997: CME COMMODITY CODE FOR FLUID MILK CHANGES FROM FD BACK TO DA — PC-SPAN COMMODITY MASTER PARAMETERS FOR DA Effective today, September 29, 1997, the product (commodity) code for BFP Fluid Milk futures and options at CME will change from FD to DA. DA was previously used as the product code for CME's Fluid Milk futures and options, so PC-SPAN users probably already have the commodity code DA in their copy of the PC-SPAN Commodity Master file. The commodity master parameters need to be changed, however, as follows:
#97-17: September 5, 1997: PC-SPAN version 3.11c now available - fixes problem that required "ES" to be added to Commodity Master file Beginning with the CME SPAN file for September 4, 1997, all versions of PC-SPAN previously used, including version 3.11b, must have the commodity master record for "ES" — the E-Mini S&P 500 futures and options — added to the PC-SPAN Commodity Master file in order to be able to calculate performance bond requirements for portfolios including ANY positions in the S&P 500 futures and options. With the "ES" record in the Commodity Master file, attempting to calculate a performance bond requirement for a portfolio including an "SP" future, for example, causes the performance bond calculation to abort with the message: "Invalid condition exists in line 316 of procedure COMMCALC: Can't find COMAST record for user scaleups" Generically, the problem occurs in the very rare case when a new commodity is added to an EXISTING combined commodity in the SPAN file which sorts before the existing commodity, and the commodity master record is not present for the new commodity. There's an easy solution: either manually add the "ES" record to the Commodity Master file, or obtain the latest master files from CME's Internet site. The Commodity Master parameters for the E-Mini are decimal locators of zero and two for strikes and settles, respectively; a contract value multiplier of 50, and a cabinet option value of 6.25. Links to the latest version of the downloadable master files are at http://span/spanutil.htm. So that this problem will never recur, a maintenance release of PC-SPAN — version 3.11c — has now been created. In this new version 3.11c, which now becomes the production version, it is not necessary to add the commodity master record. As a maintenance release, version 3.11c is free to all registered users of any previous version 3.11 — 3.11, 3.11a or 3.11b. Just call the CME Clearing House at (312) 930-3170 to obtain your copy on disk or via e-mail. Owners of previous versions of PC-SPAN - 3.10d on back - are encouraged to upgrade to 3.11c if they use PC-SPAN for CME products including the S&P 500, or for CBOT and Mid-America Commodity Exchange products, or for the Canadian Derivatives Clearing Corp. Versions 3.10d and earlier will not properly handle CME flex option positions on the S&P 500 future, and the 3.11 versions have several enhancements for the Chicago Board of Trade as well as support for the Canadian Derivatives Clearing Corporation and the new "P" price conversion parameters subrecord. Other users may wish to wait for the forthcoming version 3.12. #97-16: September 4, 1997: PC-SPAN Commodity Master parameters for Coffee Sugar Cocoa Exchange's new flexible options on #11 Sugar The Coffee Sugar Cocoa Exchange expects to launch trading in flexible options on #11 Sugar futures in September 1997. PC-SPAN's commodity master parameters are as follows. Commodity code 10 represents the American options and code 11 the European options. For more information, contact Ray Wamser at CSCE at (212) 742-6121.
#97-15: September 4, 1997: PC-SPAN version 3.11b required for CME portfolios including S&P 500 flex options once the E-Mini S&P 500 launches on September 9 PC-SPAN® VERSION 3.11B OR 3.11C REQUIRED FOR CME PORTFOLIOS INCLUDING S&P 500 FLEX OPTIONS ONCE THE E-MINI S&P 500 LAUNCHES ON SEPTEMBER 9, 1997 With the launch of the E-Mini S&P 500 futures and options on September 9, 1997, versions of PC-SPAN prior to version 3.11 will no longer correctly handle portfolios including CME's flexible options on the S&P 500 future. If your portfolios to be processed in PC-SPAN include these options (which have commodity codes of XP and/or YP for the American and European options, respectively), you should obtain the version 3.11b or 3.11c. Specifically, version 3.10d and earlier versions do not properly take into account the delta-scaling factors for the flex options, and hence will not properly evaluate the intermonth spread charge and intercommodity spread credits for the S&P 500 combined commodity. The scan risk charge is not affected and will be properly calculated. If your portfolios do not include CME's flex options on the S&P 500 futures, and also do not include Chicago Board of Trade products, you may wish to wait for version 3.12, which is expected to be released within the next few weeks. Enhancements in version 3.12 will include true interexchange spread credits, a new method of intercommodity spreading, and margining of physical debt securities for the CBOT's Chicago Board Brokerage. Details will be forthcoming soon. #97-14: August 26, 1997: SPAN and the E-Mini S&P500 Futures and Options The following describes how parameters will be defined for processing the E-Mini S&P 500 (ES) futures and options in SPAN. E-Mini and full-sized S&P 500 futures and options all in the same combined commodity The SP combined commodity will consist of SP futures, SP options, ES futures, ES options, and XP and YP (flex) options. Although CME has for numerous years included multiple options commodity codes within a combined commodity - for example, E0 and E2 midcurve options together with regular ED options in the ED combined commodity - this marks the first time that the CME file has had more than one futures commodity code within the same combined commodity. Definition of intercommodity spreads involving the S&P 500 combined commodity in terms of the ES contract size In order to provide maximum flexibility in defining intercommodity spreads involving the S&P 500 combined commodity, these will be done in terms of the E-Mini contract size. For example, a spread recognizing the ability of 3 E-Mini contracts to offset one S&P 400 Midcap contract would be defined as 3 SP versus 1 MD. A spread of one full-sized S&P 500 contract against one S&P 400 Midcap contract would be defined as 10 SP versus 1 MD. Using delta-scaling factors different from one To recognize the contract size differential between the full-size S&P 500 contract and the E-Mini contract, the delta-scaling factors on the type "B" records in CME's daily SPAN file will be set to ten for the full-sized S&P 500 contracts, and one for the E-Mini contracts. For example:
Generically, the delta for a particular position is calculated as: the position quantity, times the contract's composite delta, times the delta-scaling factor. Although the type "B" records and the use of delta-scaling factors have long been a feature of SPAN (and have been used by several other exchanges besides CME - for example by the CBOT), this marks the first time that CME will have included values for delta-scaling factors which are different from one. Prior to the launch of the E-Mini, SPAN implementations for CME could safely ignore the delta-scaling factors, calculating position deltas merely by multiplying the position quantity by the contract's composite delta. Now, it is required to use the delta-scaling factors. Sample SPAN file including E-Mini Contracts A sample SPAN file containing E-Mini S&P 500 contracts and other parameters can be found on CME's FTP site at ftp://ftp.cme.com/pub/span/docs/minitest.zip. Inside this file is CME0807S.PAR, a hypothetical SPAN file for business date August 7, 1997. Sample calculations using the E-Mini Contracts The primary aspect of testing to make sure that your SPAN implementation can properly handle the E-Mini contracts is to verify that delta-scaling factors are correctly taken into account in the calculation of position deltas.
#97-13: August 21, 1997: PC-SPAN Commodity Master parameters for CME's Mini-S&P Contract and CME's Cheddar Cheese Contract On September 9, CME will launch trading in the E-Mini S&P 500 futures and options. This contract is based on the same leading S&P 500 index as the most actively traded stock index in the world, CME's S&P 500 futures, but is a fraction of the size. The E-Mini S&P 500 contract will also be eligible for market-maker cross-margining as part of the CME-OCC cross-margin agreement - ie, as part of exchange XCM, part of the XMAR exchange complex. In mid-September, pending CFTC approval, CME will launch trading in Block Cheddar Cheese futures and options. Here are PC-SPAN's Commodity Master parameters for these new contracts, needed in order to include positions in these contracts in portfolios to be processed using PC-SPAN.
#97-12: August 1, 1997: Commodity Redefinition, the CBOT "crush" spread, and capping of the weighted futures price risk The following is intended to clarify certain aspects of "commodity redefinition" as it pertains to special features of SPAN® used by the Chicago Board of Trade and Mid-America Commodity Exchange. Commodity redefinition is a feature of SPAN in which a commodity, part of a particular combined commodity, may be redefined as a different commodity, part of a different combined commodity. This second combined commodity would typically be on a different exchange than the first combined commodity. This feature is implemented in the daily SPAN risk parameter file via the presence of "R" records, which specify:
The Chicago Board of Trade uses commodity redefinition to combine similar products on the CBOT and Mid-America Commodity Exchanges. Typically, CBOT products are redefined to be included in Mid-Am combined commodities. For example, CBOT 10-year bond futures are redefined to be part of the Mid-Am 10-year bond combined commodity, and hence are scanned and processed together with Mid-Am 10-year bond futures. This memo describes two aspects of the correct usage of commodity redefinition - for the CBOT/Mid-Am "crush" spread and for the CBOT/Mid-Am "capping" of weighted futures price risk. The "crush" spreadThe "crush" spread may be thought of as a particular case of a generic SPAN feature to be introduced in the future, namely tiered intercommodity spreading. The crush spread allows soybeans to be spread against soymeal and soy oil, where (a) with one exception, spreads may only be formed within contract months - March beans may only spread against March meal and March oil; (b) the exception is that November beans may spread first against October meal and October oil and then against December meal and December oil; and (c) the number of regular (non-tiered) intercommodity spreads that can be formed, serves as an upper bound on the number of crush spreads that can be formed. SPAN users may choose to process or not to process commodity redefinition "R" records. (For example, PC-SPAN users may select, via the Maintain Exchange Complex Master screen, whether "R" records should be loaded; if the selection is No for the Chicago Board of Trade / Mid-Am complex, then commodity redefinition will not be performed for it.) If commodity redefinition is being performed for the CBOT / Mid-Am complex, however, it applies to the monthly deltas as well as to the overall combined commodity. In the case of the crush spread products, CBOT beans is redefined to be part of Mid-Am beans, and similarly for CBOT meal and CBOT oil. This means that:
Commodity redefinition also requires the usage of the delta-scaling factors present on the "B" records when calculating the position deltas. The delta for any particular position is equal to the position quantity, times the composite delta for the contract, times the delta-scaling factor defined on the appropriate futures or option contract month "B" record. CBOT / Mid-Am "capping" of the weighted futures price riskWhen SPAN forms intercommodity spreads, the credit given for any particular leg (for a particular combined commodity participating in the spread) is calculated as the number of spreads, times the delta per spread ratio for that leg (the number of delta consumed by one spread), times the credit rate percentage, times the weighted futures price risk. Weighted futures price risk can be thought of as the price risk per delta for that combined commodity. In certain very rare cases, it is theoretically possible that portfolios can be constructed which yield futures price risk larger than the futures price scan range, which could in turn lead to a intercommodity spread credit which is larger than appropriate. To add an extra measure of conservatism to the SPAN calculation, therefore, the CBOT and Mid-Am have elected to cap the weighted futures price risk at the futures price scan range. For combined commodities in the CBOT/Mid-Am complex, for example, PC-SPAN will calculate the weighted futures price risk in the normal manner. Then it will determine the futures price scan range for that combined commodity. If the weighted futures price risk is greater than the futures price scan range, it is reduced to that amount. Because the CBOT / Mid-Am complex uses commodity redefinition, this "capping" feature now needs a slight enhancement. To obtain the "capping" value - the value at which the weighted futures price risk should be capped - when also using commodity redefinition:
An example of this can be found in the 10-year bond futures. The CBOT 10-year bond futures are redefined to be part of the Mid-Am 10-year bond futures combined commodity. However, it commonly occurs that Mid-Am 10-year bond futures don't trade, and, since CBOT / Mid-Am elects to exclude such products from its SPAN file, type "8" records for the Mid-Am 10-year bond futures are not included in the SPAN file. Suppose a portfolio contains positions in the CBOT 10-year bond futures. This will be redefined to be part of the Mid-Am 10-year bond combined commodity, and this Mid-Am combined commodity will be present in the portfolio and eligible to participate in intercommodity spreads. When calculating the weighted futures price risk for the Mid-Am 10-year bond combined commodity:
This new feature is implemented in PC-SPAN in the newly-released maintenance release version 3.11b. Previously, PC-SPAN assumed that if one commodity in one combined commodity, were redefined to be part of another combined commodity, that there would be at least one future directly a part of that second combined commodity. On days when CBOT included no 10-year Mid-Am bond futures in its SPAN file, and users elected to use commodity redefinition, attempts to calculate a portfolio requirement with positions in CBOT 10-year bond futures would cause the program to abend. In order to be as accomodating as possible, that assumption has now been removed from PC-SPAN version 3.11b, and it behaves as described above, obtaining the value at which the weighted price risk should be capped from either the Mid-Am 10-year bond futures, if they are included in the SPAN file, or the CBOT 10-year bond futures, if not. #97-11: July 30, 1997: PC-SPAN version 3.11b - now available - adds several fixes for the Chicago Board of Trade This maintenance release contains several important enhancements for the Chicago Board of Trade and Mid-America Commodity Exchange:
As a maintenance release, version 3.11b is available without charge to any registered owner of version 3.11 or 3.11a. Owners of previous versions of PC-SPAN may upgrade for the standard charges of $100, or $50 via e-mail through the Internet. #97-10: July 10, 1997: New PC-SPAN automated email list to eliminate User Update mailings; SPAN® Pages on CME's Web site; The Canadian Derivatives Clearing Corporation (CDCC) implements SPAN; New Version 3.11 of PC-SPAN adds support for the CDCC, for the new, "expanded unpacked format" SPAN risk parameter file layout, and for automated loading of commodity master data With CME's new automated PC-SPAN mailing list, you can now receive PC-SPAN-related news and announcements via electronic mail through the Internet. This new PC-SPAN mailing list (a "List Serve") brings the convenience of e-mail to receiving information about new products (commodity master data), new features of SPAN®, new versions of PC-SPAN, etc. There is no charge, anyone can subscribe, and announcements are typically received within minutes of being sent, anywhere in the world. We hope that you will find this new service much more convenient and useful than paper-based mail. We anticipate sending more notices than before, more timely notices, and more useful notices. For example, if there are problems or unusual occurrences with data in a daily SPAN risk parameter file, we will send a notice via email. Effective immediately, paper-based mailings will no longer be sent for routine new product ("commodity master") announcements. We encourage all interested parties to subscribe to this new email list. TheCanadian Derivatives Clearing Corp. (CDCC) has implemented SPAN. April 18, 1997: Welcome, CDCC! The Canadian Derivatives Clearing Corporation has implemented SPAN! CDCC, which has used the Options Clearing Corporation's TIMS® system since 1990, is now in the unique position of being able to offer its members a choice of using either SPAN or TIMS. CDCC will shortly begin making its SPAN risk parameter file available to the public every day. This file will use a new layout called the expanded unpacked file layout. A new PC-SPAN version 3.11, which supports this new layout, has now been released. CDCC is the first clearing organization using SPAN and supported by PC-SPAN that uses product ("commodity") codes longer than two characters. Because of this, a new "expanded unpacked" layout for the SPAN risk parameter file has been developed. CDCC will use this new format for its SPAN file, and CME will begin using it shortly for its special CME-OCC cross-margining SPAN file. Other clearing organizations may also adopt this new format in the future. A new version 3.11 of PC-SPAN is now available. The new version supports the new expanded unpacked SPAN file layout, and the CDCC. Version 3.11 also adds support for a new record type in the SPAN file, the Price Conversion Parameters ("P") record. The purpose of this new record type is to eliminate the need for maintenance of commodity master parameters in PC-SPAN every time a new product is added. If these new "P" records are included in a SPAN file, the new data - decimal locators, contract value multipliers, etc. - will be automatically updated in PC-SPAN's Commodity Master file. In the future, exchanges and clearing organizations may begin adding these new records to their SPAN files. As they do, it will no longer be necessary to manually add records to PC-SPAN's commodity master file. When PC-SPAN version 3.11 encounters a "P" record in a SPAN file, it will create (or update) the commodity master information for that product. These "P" records are present in the CDCC SPAN file and will be added shortly to CME's cross-margining SPAN files. They are not specific to the new expanded unpacked file layout, but may also be added to the two standard formats that have been supported for many years, the unpacked and packed formats. An even newer version 3.12 of PC-SPAN will be available shortly, probably in August. This version adds support for true interexchange spreading in SPAN and has other enhancements for intercommodity spreading. #97-09: July 2, 1997: Change to SIMEX Euroyen decimal locator; new Chicago Board of Trade futures and options on inflation-indexed US T-notes; new Malaysian, Indonesian, Thai and Canadian currencies at NYCE; and new OEY symbol for S&P 100 options for CME-OCC cross-margining SIMEX shifted the settlement prices for its Euroyen futures and options on Tuesday July 1. To properly reflect option values for these products, please change the decimal locator for SIMEX Euroyen from 2 to 3 in PC-SPAN's Commodity Master file. The Chicago Board of Trade will begin trading futures and options on inflation-index US Treasury Notes on Thursday, July 3. The New York Cotton Exchange will launch futures on exchange rates between four currencies and the US Dollar on July 11 - the Malaysian Ringgit, the Indonesian Rupiah, the Thai Baht, and the Canadian Dollar. The Options Clearing Corporation has introduced a new symbol OEY for CME-OCC cross-margining. This will be included in the standard CME-OCC cross-margining SPAN file as commodity ES and in the expanded unpacked file as code OEY. In PC-SPAN versions 3.10 or earlier, this code should be entered as ES; in version 3.11 it can be entered as ES, OEY, or both, depending on which format of the SPAN file will be used. PC-SPAN's commodity master parameters for all of these products are given below:
#97-08: June 6, 1997: CME to list BP/DM and JPY/DM cross-rate futures and options CME will launch two new cross-rate currency futures and options contracts on Monday, June 9, 1997, a mark denominated pound-mark contract, and a yen-denominated mark-yen contract. PC-SPAN's commodity master parameters are given below.
#97-07: May 5, 1997: CBOT's LIFFE Bund, NYCE's Aussie Dollar and Kiwi Dollar, and new MATIF contracts The CBOT will launch its new LIFFE Bund contract on May 9, the first product in the new CBOT / LIFFE Linkage. The New York Cotton Exchange has launched new Australian Dollar and New Zealand Dollar contracts. The MATIF will launch several new products this May. PC-SPAN's commodity master parameters are given below. Before adding the LIFFE Bund contract, you must use the Maintain Exchange Master screen to add a new exchange LCB. The exchange complex is CBTMID, the exchange acronym is LCB, the exchange code is 20, and the exchange name is LIFFE / CBOT Link.
#97-06: April 18, 1997: NYCE lists cross-rate futures On April 18, the New York Cotton Exchange began listing three new futures cross-rate contracts - Deutschemark/Peseta, Pound/Swiss, and Pound/Yen. PC-SPAN's commodity master parameters are: Exchange: NYCCommodity: MT Commodity Name: MARK / PESETA Decimal Locator for Strikes: 0 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 250,000 Cabinet Option Value: 1 Exchange: NYC Commodity: SS Commodity Name: POUND/SWISS Decimal Locator for Strikes: 0 Decimal Locator for Settles: 4 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 125,000 Cabinet Option Value: 1 Exchange: NYC Commodity: SY Commodity Name: POUND/YEN Decimal Locator for Strikes: 0 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 125,000 Cabinet Option Value: 1 #97-05: April 16, 1997: CME to list futures and options on New Zealand Dollar and South African Rand On May 7, 1997, CME will list futures and options on the New Zealand Dollar and the South African Rand, including weekly options. For information see the S. African Rand, see User Update #97-03. Here are the commodity master parameters for the New Zealand Dollar: Exchange: CMECommodity: NE Commodity Name NEW ZEALAND DOL Commodity: 1Z Commodity Name: NZ $ WK1 OPT Commodity: 2Z Commodity Name: NZ $ WK2 OPT Commodity: 3Z Commodity Name: NZ $ WK3 OPT Commodity: 4Z Commodity Name: NZ $ WK4 OPT Commodity: 5Z Commodity Name: NZ $ WK5 OPT Decimal Locator for Strikes: 1 Decimal Locator for Settles: 3 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 1,000 Cabinet Option Value: 5.00 #97-04: April 10, 1997: SIMEX lists Taiwan Index; Morgan Stanley Multinational Index ("Nifty-Fifty") Options eligible for cross-margining SIMEX has begun listing futures and options on the MSCI Taiwan Index. PC-SPAN's Commodity Master parameters are as follows: Exchange: SMX
Options on the Morgan Stanley Multinational Index (NFT, or "Nifty Fifty") have begun trading on the Chicago Board Options Exchange and are eligible for participation in the CME-OCC cross-margining program. PC-SPAN commodity master parameters are: Exchange: XOCCommodity: EP Commodity Name: NFT- NIFTY FIFTY Decimal Locator for Strikes: 1 Decimal Locator for Settles: 4 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 100 Cabinet Option Value: 1 #97-03: 03/25/97: Additions for CME, CSCE, NYCE, NYFE and NYMEX CME will begin listing peso-denominated 91-day Mexican Treasury Bill (CETES) futures and options on April 3, and will begin listing peso-denominated 28-day Interbank Mexican Equilibrium Interest Rate Futures and Options (TIIE) on April 17, 1997. Their commodity master parameters are identical other than the commodity code and name. Exchange: CMECommodity: TS Commodity Name: CETES Commodity: TE Commodity Name: TIIE Decimal Locator for Strikes: 2 Decimal Locator for Settles: 4 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 5000 Cabinet Option Value: 25 CME plans to begin listing futures and options, including weekly options, on the South African Rand, on May 7. Exchange: CMECommodity: RA Commodity Name: S AFRICAN RAND Commodity: 1N Commodity Name: RAND WK1 OPT Commodity: 2N Commodity Name: RAND WK2 OPT Commodity: 3N Commodity Name: RAND WK3 OPT Commodity: 4N Commodity Name: RAND WK4 OPT Commodity: 5N Commodity Name: RAND WK5 OPT Decimal Locator for Strikes: 1 Decimal Locator for Settles: 3 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 500 Cabinet Option Value: 6.25 The Coffee, Sugar, & Cocoa Exchange (CSCE) will launch BFP milk futures contracts on April 8, and BFP milk options contracts on April 15. Exchange: CSCCommodity: MJ Commodity Name: BFP MILK Decimal Locator for Strikes: 2 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 1000 Cabinet Option Value: 1 The New York Cotton Exchange (NYCE) has launched Potato futures and options: Exchange: NYCCommodity: PT Commodity Name: POTATOES Decimal Locator for Strikes: 2 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 82,500 Cabinet Option Value: 1 The New York Cotton Exchange (NYCE) plans to launch S. African Rand futures on April 3, pending CFTC approval: Exchange: NYCCommodity: ZR Commodity Name: SA RAND Decimal Locator for Strikes: 4 Decimal Locator for Settles: 4 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 100,000 Cabinet Option Value: 50 The New York Futures Exchange (NYFE) has launched the PSE technology index futures: Exchange: NYFCommodity: TK Commodity Name: PSE TECH INDEX Decimal Locator for Strikes: 2 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 500 Cabinet Option Value: 1 The New York Mercantile Exchange (NYMEX) has launched Alberta Gas Futures and Options: Exchange: NYMCommodity: NC Commodity Name: ALBERTA GAS FUT Commodity: OC Commodity Name: ALBERTA GAS OPT Decimal Locator for Strikes: 2 Decimal Locator for Settles: 2 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 1,000 Cabinet Option Value: 1 #97-01: 01/06/97: CME lists larger Fluid Milk contract CME is now trading the larger-sized Fluid Milk futures and options contracts. PC-SPAN's Commodity Master parameters are: Exchange: CMECommodity: FD Commodity Name: FLUID MILK Decimal Locator for Strikes: 1 Decimal Locator for Settles: 3 Alignment Code for Futures: blank Alignment Code for Options: blank Contract Value Multiplier: 2000 back to top |
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