#98-37 - December 30, 1998: MATIF commodity master changes associated with the Euro conversion MATIF has informed us of the following:
The machine-readable commodity master file now available ( for PC-SPAN versions 3.11 and greater) (ftp.cme.com/pub/span/util/comast11.exe) reflects what the PC-SPAN commodity master parameters should be on January 4 and thereafter .The special January 1 version of the commodity master file f or versions 3.11 and greater is also available, as ftp.cme.com/pub/span/util/c11jan1.exe.The commodity master files for PC-SPAN versions previous to 3.11 are at ftp.cme.com/pub/span/util/comast.exe, for the data pertaining to January 4 and thereafter, and at ftp.cme.com/pub/span/util/c10jan1.exe, for the special January 1 file. MATIF has prepared a Microsoft Word document which summarizes the current commodity master parameters, the special set of commodity master parameters for the special January 1 file, and the new set of commodity master parameters. See pages 28-30 of this document, which is available (as a ZIP file) at ftp.cme.com/pub/span/docs/mateuro.zip. For more information, contact Ky Luan Luong at MATIF: luong@matif.fr, telephone 331-4028-8146).
#98-36- December 24, 1998: Winnipeg Commodity Exchange to switch to expanded format SPAN file in January During January, the Winnipeg Commodity Exchange (WCE) will begin having trades in its products cleared by the Canadian Derivatives Clearing Corporation (CDCC) .As part of this switch, the WCE SPAN file will be converted from the standard unpacked format to the newer "expanded unpacked" format.The expanded format is the same format already used by CDCC for its SPAN file. There will continue to be separate WCE and CDCC SPAN files. In other words, the CDCC SPAN file will not be affected by this change . CDCC expects to begin making the WCE SPAN file available in the new format on either January 8 or January 15. Once the new format file is available, the standard format file is expected to continue to be available for at least one week.During this transition period, the standard format file will continue to be available on the CME FTP site on the Internet (ftp.cme.com) in the /pub/span/data/wce direcctory. The new expanded format file will be available in a new subdirectory of that directory (/pub/span/data/wce/new). Once the transition period ends, the new subdirectory will be removed, the standard-format WCE SPAN files will no longer be available, and the expanded-format WCE SPAN files will be available in the main wce directory. For more information, contact Lynn Watson (416-367-2467), lwatson@cdcc.ca) or Rakesh Ohri (416-, rohri@cdcc.ca) at CDCC. #98-35 - December 21, 1998: New product: MATIF 2-Year E-Notes MATIF will launch trading in 2-Year E-Note Futures , a short-term bond instrument on the Euro yield curve, on January 15, 1999 . PC-SPAN commodity master parameters are as follows. For more information contact MATIF's Ky Luan Luong at 331-4028-8146 or luong@matif.fr
#98-34 - December 16, 1998: New products: CME EuroFX futures and options, and Japanese Government Bond futures On Monday, January 11 , CME will list for trading Euro FX Cross-Rate Futures and Options . There will be three such new products — on the exchange rates between (1) the Euro and the British Pound , (2) the Euro and the Japanese Yen , and (3) the Euro and the Swiss Franc . These will be settled and margined in Pounds, Yen, and Swiss Francs, respectively. The contract size for all three will be 125,000 Euros. Like all CME's currency options, these products will have weekly options as well as standard monthly options.On Thursday, January 21 , CME will list for trading Japanese Government Bond futures . These yen-denominated futures will be eligible for CME's mutual-offset trading linkage with the Singapore International Monetary Exchange (SIMEX). No options will be listed on these futures, but default values will be provided nevertheless for the decimal locator for strikes and the cabinet option value.PC-SPAN commodity master parameters are as follows. Please note that two of the product codes used below, RP and RY , were previously used for no-longer-listed CME products. If you are manually updating PC-SPAN's commodity master file, these records should be changed rather than added.
#98-33 - December 10, 1998: New products: CME Pork Cutout futures and options, and NYBOT's currency crossrate contracts The CME will launch Pork Cutout futures and options on Friday January 8 , with options following on the Monday, January 11. This is a new cash-settled contract based on an index price derived from USDA average values for pork "cut-out" from a 185-pound hog carcass.The New York Cotton Exchange introduced four new currency crossrate contracts on November 20 — the Euro/Swiss , Euro/Krona , Euro/Yen , and Swiss/Yen contracts. Records for these products have been in the machine-readable commodity master file since about November 18, and they are currently in the file for these contracts under both exchange acronyms NYC and NYB , getting ready for the new New York Board of Trade combined SPAN file beginning next Friday December 18. Apologies for the late notice about them.PC-SPAN commodity master parameters are as follows:
#98-32 UPDATED AGAIN - December 21, 1998: New York Board of Trade postpones the elimination of the CSC, NYC and CFE SPAN files to Friday January 15, but plans to begin making a single combined NYB SPAN file available shortly The New York Board of Trade (the exchange resulting from the recent merger of the Coffee Sugar Cocoa Exchange and the New York Cotton Exchange) has advised us that it has postponed the elimination of the separate SPAN files for CSC, NYC and CFE until Friday, January 15, 1999. NYBOT does, however, plan to begin making its combined NYB SPAN file available in production shortly. So, once they do, during this period, both a combined NYB file and the individual CSC, NYC and CFE files will be available. This combined file will contain data for all products now contained in the separate SPAN files for the Coffee Sugar Cocoa Exchange (CSC), the New York Cotton Exchange (NYC), and the Cantor Financial Exchange (CFE). As with other SPAN files, New York Board of Trade SPAN files will be available on CME's Web and FTP sites at ftp://ftp.cme.com/pub/span/data/nyb, and on the CBOT's site at ftp://ftp.cbot.com/pub/span/nyb. Using the normal naming convention, a typical filename would be nyb1218s.zip , indicating a file for the New York Board of Trade, for business date December 18, for the end of day settlement. A sample SPAN file is now available for the NYBOT on the CME site. The new combined New York Board of Trade SPAN file will use exchange code "06" to identify the New York Board of Trade, which is the same exchange code currently used for Coffee Sugar Cocoa.The machine-readable commodity and exchange master data (available as comast11.exe for PC-SPAN's version 3.11 and up, and as comast.exe for older versions) has now been modified to reflect these changes, as follows:
This has the following implications for using PC-SPAN:
This change — making exchange NYB be exchange code "06" — has already been made in the commodity and exchange master data now being distributed with PC-SPAN version 3.12G. For more information about the NYBOT SPAN files, please contact Ian Nelson at the New York Board of Trade at 212-742-6167 or iannelson@worldnet.att.net.#98-31 - December 7, 1998: PC-SPAN version 3.12G now available, fixes minor bug in batch processing. Either version 3.12F or version 3.12G are now required to process CME SPAN files PC-SPAN version 3.12G is now available. This minor maintenance release differs in only one respect from version 3.12F:
More importantly, as many PC-SPAN users have noted, beginning on November 27, you must now have at least version 3.12F to process CME SPAN files in PC-SPAN . Our apologies for not making this clearer in previous notices. As with all of these "maintenance releases", version 3.12G is free to all registered users of any previous version 3.12x. If you already have version 3.12F, and don't use PC-SPAN's batch mode, you may want to skip ordering this upgrade.#98-30 - November 16, 1998: New product: CME's Stocker Cattle futures and options On Monday, November 30, CME will launch trading in futures on stocker cattle. On the following Tuesday December 1, trading in options on these futures will begin. PC-SPAN commodity master parameters are:
#98-29: - November 12, 1998: New products: CME's Dry Whey and Non-Fat Dry Milk futures and options On Monday, November 16, CME will launch trading in futures on dry whey and non-fat dry milk . On Tuesday, trading in options on these futures will begin. PC-SPAN commodity master parameters are:
#98-28 - October 30, 1998: Combined commodity code changes in CME's SPAN files today associated with launch of Clearing 21 There will be one combined commodity code change today in CME's SPAN files in addition to the changes previously described in several user updates: combined commodity code T1 (Treasury Bills) will change to TB . The complete list is as follows:Here's the list of combined commodity codes which will change:
We wish to repeat that only the combined commodity codes are changing. The commodity (product) codes will not change. Also, note that the combined commodity group code WILL NOT change from the value of CME, which it has had for several years. #98-27 - October 29, 1998: New "TF" Futures Records for TITAN in CME's SPAN files and settlement price files, effective November 13 — Sample SPAN file now available Beginning Friday, November 13, the new TF futures records for TITAN will be included in CME's daily SPAN risk parameter files and settlement price files.The TF futures will be used in TITAN — CME's Trader's Instant Treasury Access Network — to margin the futures-equivalent positions resulting from unsettled trades in U.S. Treasury bonds, bills and notes. The TF futures will look exactly like CME's Eurodollar futures. They will have the same contract months, the same prices, and the same risk arrays, as Eurodollar futures. In the SPAN file, the TF futures will be included in the Eurodollar combined commodity. A sample SPAN file containing the new TF futures and the associated type "9" records is now available. Shortly after November 13, when the TF futures will first be included in the daily SPAN file, the type "9" records for the individual Treasury securities will begin to be included on a daily basis. The TF futures will be used only for margining futures-equivalent positions resulting from TITAN. There will never be any actual futures trades or positions using the TF symbol. The TF futures will be included in the settlement price file and the SPAN file in preparation for the upcoming launch of TITAN. For more information, contact CME's Risk Control Department at (312) 648-3888: The TF commodity master record for PC-SPAN has been available for several weeks in the machine-readable commodity master file. It may also be manually added, with the exact same parameters as commodity ED:
#98-26 - October 29, 1998: Hong Kong Futures Exchange 1-Month and 3-Month HIBOR, and corrections to CME's flex option decimal locators for Nasdaq and IPC On October 20, the Hong Kong Futures Exchange began listing 1-Month HIBOR futures and, at the same time, changed the commodity code for the3-Month HIBOR futures . Also, the decimal locator for strike prices for the CME's flex options on the Nasdaq 100 futures and the IPC stock index futures has been incorrect. PC-SPAN commodity master parameters, which are now present in the machine-readable commodity master file, are as follows.
#98-25 - October 28, 1998: New products: CME's Quarterly Bankruptcy Index futures and options and SIMEX's MSCI Hong Kong Stock Index futures On Tuesday, November 3, CME will launch trading in the CME's Quarterly Bankruptcy Index (QBI) futures and options, with a product code of QB . (This code is already present in PC-SPAN's commodity master file for a contract no longer listed, so the record for commodity QB should be changed rather than added.)On Monday, November 23, SIMEX will launch trading in MSCI Hong Kong+ Stock Index futures. PC-SPAN commodity master parameters, which are now present in the machine-readable commodity master file, are as follows.
#98-24 - October 28, 1998: PC-SPAN version 3.12F now available, with enhancements to SPAN for TITAN — Reminder: Clearing 21 SPAN will launch this Friday October 30 PC-SPAN version 3.12F is now available . This "maintenance release" is free to registered users of previous 3.12x versions — from 3.12 itself up to 3.12E.As was previously announced in User Update #98-22, version 3.12F contains all enhancements needed to support the soon-to-be-launched CME's Trader's Instant Treasury Access Network (TITAN). There are two enhancements: (1) each position resulting from not-yet-settled trades in a U.S. Treasury bond, bill or note may now give rise to an equivalent position in any number of futures contracts, not just one, and (2) there is a new method, called the basis-risk method and assigned a method code of "11", for calculating the delivery (spot) charge. In addition, version 3.12F supports the type "9" records, for physical debt securities margined on an equivalent basis, in the "packed" format SPAN file. (Support for these records in the packed-format file was inadvertently omitted from previous versions.) The screen for entering positions in physical debt securities has also been modified to clarify that net repos should be entered as long positions, while net reverse repos should be entered as short positions. Last, version 3.12F also fixes a bug in the printing of the Risk Parameters Report. Also, as previously announced, CME will implement Clearing 21's Performance Bond module this Friday, October 30. CME's daily SPAN risk parameter files will contain for the first time the new type "E" records, for series to series intracommodity spreads which will provide margin credit for appropriate Eurodollar butterfly and condor spread portfolios. In addtion, certain combined commodity codes will change. In order to make use of these new series-to-series spreads in PC-SPAN, you must have at least version 3.12E — we recommend that all users of PC-SPAN for the CME upgrade to version 3.12F.Here's the list of combined commodity codes which will change:
#98-23: October 27, 1998: NYMEX commodity master symbols for Entergy and Cinergy options, and correction to symbol for Entergy futures The product code for NYMEX's Entergy futures was incorrectly provided in User Update #98-14 as EN — the correct value is NT . Also, the separate codes for Cinergy and Entergy options were not provided — they are NO for Cinergy Options and OT for Entergy Options. Here is the correct data for these products.
#98-22: September 29, 1998: CME's launch of Clearing 21™ SPAN delayed to October 30 — Enhancements to SPAN for TITAN are now documented on Web site — PC-SPAN version 3.12F to be available within days, with support for TITAN The launch of Clearing 21's Performance Bond module at CME has been postponed from this coming Friday, so as not to conflict with GLOBEX ®. The new implementation date for C21 Performance Bond is Friday, October 30. That means that the combined commodity code changes previously described in User Update #98-21 (9/23/98) will take place on Friday, October 30 — NOT THIS FRIDAY. Also please note that there was a typo in the list of new combined commodity codes — the new code for Live Cattle will be LC , not FC.We will continue to make sample C21 SPAN risk parameter files available daily on CME's FTP site, at ftp.cme.com/pub/span/data/cme/newc21. We are also pleased to announce that the enhancements to SPAN for TITAN — CME's Trader's Instant Treasury Access Network — are now documented on CME's Web site, and that PC-SPAN version 3.12F will be available within a few days with support for these enhancements. There are two enhancements: (1) each position resulting from not-yet-settled trades in a U.S. Treasury bond, bill or note may now give rise to an equivalent position in any number of futures contracts, not just one, and (2) there is a new method, called the basis-risk method and assigned a method code of "11", for calculating the delivery (spot) charge. In addition, version 3.12F supports the type "9" records, for physical debt securities margined on an equivalent basis, in the "packed" format SPAN file. Support for these records in the packed-format file was inadvertently omitted from previous versions. Version 3.12F of PC-SPAN will be a "maintenance release", available without charge to users of any previous version 3.12, from 3.12 itself through 3.12E. Note that versions 3.12E or 3.12F are required to properly margin portfolios including positions at the Chicago Board of Trade and the COMEX division of NYMEX, and that versions 3.12E or 3.12F will support the new series to series intracommodity spreading feature which will be introduced by CME with the launch of Clearing 21 Performance Bond on October 30. #98-21: CME to launch Clearing 21™ SPAN on October 2 / Sample SPAN files now available On Friday, October 2, CME will implement the Performance Bond module of our new clearing system, Clearing 21. We wish to call your attention to two aspects in which CME's daily SPAN risk parameter files will change on that date: (1) new type "E" records, and (2) changes to some combined commodity codes. Actual SPAN risk parameter files produced by Clearing 21, with the new type "E" records and the new combined commodity codes, are now available at ftp.cme.com/pub/span/data/cme/newc21 . Because of these changes, CME member firms and other market participants which do their own SPAN calculations may wish to test their systems with these sample Clearing 21 SPAN files. These files will continue to be available at this FTP location through Wednesday September 30. Beginning October 2, the new Clearing 21 files will be transmitted to member firms via the normal SPAN file transmissions and will be available in the normal FTP directory ftp.cme.com/pub/span/data/cme.Here are the changes:
#98-20: September 22, 1998: MATIF lists 3-month EURIBOR futures and options MATIF began listing futures and options on the 3-month EURIBOR on September 15. PC-SPAN commodity master parameters are shown below, along with parameters for the new E-BOND contract which begins trading on September 28 (and previously described on User Update #98-18.)
#98-19: September 12, 1998: PC-SPAN version 3.12E now available — supports "series-to-series" intracommodity spreading and enhances method 4 intercommodity spreading PC-SPAN version 3.12E is now available. Version 3.12E is a "maintenance release", updating previous 3.12x versions, and is available without charge licensed users of a previous 3.12x version. Version 3.12E contains the following changes and enhancements:
Series to series intracommodity spreading is a new feature of the table-driven intracommodity spread charge calculation in SPAN.Series to series spreading provides a generic and flexible way to allow patterns of monthly deltas to be recognized. This in turn allows precise targeting of performance bond requirements for certain types of portfolios — for example, butterfly and condor spreads . In some cases, where the technique allows portfolio risk to be more accurately measured, performance bond requirements can be significantly reduced.CME expects to implement series to series spreading on October 2, 1998, for recognition of the proper clearing-level margin requirements for Eurodollar butterfly and condor spreads . CME clearing member firms wishing to offer this benefit to their customers may wish to support series to series spreading in their own implementations of SPAN.#98-18: September 9, 1998: New contracts: CBOT Com Ed and TVA Hub Electricity, MATIF Euro Bonds, HKFE Hang Seng 100, and SIMEX Dow-Jones Malaysia and Thailand Stock Index futures The Chicago Board of Trade will launch futures and options on Commonwealth Edison Hub Electricity and the Tennessee Valley Authority (TVA) Hub Electricity on September 11. The Hong Kong Futures Exchange (HKFE) will launch futures and options on the Hang Seng 100 Index on September 18. The Marche a Terme International de France (MATIF) will launch futures and options on Euro Bonds on September 28. The Singapore International Monetary Exchange (SIMEX) will launch futures on the Dow Jones Malaysia Stock Index on October 1 and on the Dow Jones Thailand Stock Index on November 2. PC-SPAN commodity master parameters for these new contracts are as follows:
#98-17: August 17, 1998: SIMEX plans Sept. 7 launch of MSCI Singapore Stock Index Futures, its first Singapore-Dollar-denominated product. PC-SPAN maintenance release version 3.12D has tweak to display currency code correctly on report The Singapore International Monetary Exchange (SIMEX) has announced a September 7 launch date for the SIMEX MSCI Singapore Stock Index Futures. (Commodity master parameters were provided for this new product on June 4 in User Update #98-10. They are: code SG, decimal locators 0 for strikes and 2 for settles, and multiplier of 200.) This will be SIMEX's first product denominated in Singapore Dollars. SIMEX will use 'G' as the currency symbol for the Singapore Dollar. A new version of PC-SPAN — version 3.12D — is now available which displays 'Singapore Dollar' for this currency on the Performance Bond Summary Report. In every other respect, version 3.12D is identical to version 3.12C. Version 3.12D is a maintenance release, available without charge to registered users of any other previous version 3.12 — 3.12 through 3.12C. Registered users of previous versions may upgrade for the normal charge of $75 to receive a floppy disk, or $50 to receive the program via e-mail. To order, call (312) 930-3170. You may wish to wait to upgrade for version 3.12E, also a maintenance release, available in the next one to two weeks. Version 3.12E will have an important new feature called series to series spreading, which will enhance the margining of portfolios with patterns of monthly delta such as Eurodollar butterfly and condor spread portfolios. The first windows version of PC-SPAN — version 4 — is coming in the next few months, with many new features. 3.12E will not, however, be the last DOS release. There will be at least one more DOS version, which will have new enhancements for TITAN — CME's Trader's Instant Treasury Access Network — expected to be launched this fall. #98-16: August 17, 1998: Winnipeg Commodity Exchange to switch to expanded unpacked file format on Aug. 28, with new and changed commodity master parameters The Winnipeg Commodities Exchange (WCE) has selected August 28 as the target date for the Canadian Derivatives Clearing Corporation to begin clearing processing for it. There will continue to be a separate SPAN file for WCE, but the format of this file will be changed from the standard unpacked format to the expanded unpacked format already used by CDCC and others. Together with the file format change, commodity master parameters will change:
In addition, the settlement and margin currency will be given as 'C' for Canadian dollars (rather than as '$') together with the appropriate exchange rate for converting to US dollars if desired. PC-SPAN users with versions prior to version 3.11 must upgrade in order to use the new WCE file, since the expanded unpacked format was not supported in previous versions. Since there have been several other important changes since, if you have any version prior to 3.12C, we strongly encourage you to upgrade. On the day of the conversion, an updated commodity master file with new and modified commodity codes will be available via Web or FTP. It will not be necessary to download this file or to manually update the commodity master file, however: the new WCE SPAN file will contain the 'P' price conversion parameters subrecords, and the commodity master file will be automatically updated when you load the new file format for the first time. For your information, the new and modified commodity master parameters are given below. These will take effect only on the day when WCE shifts to the new price format — do not make these changes at this time. For more information, contact Lynn Watson at 416-367-2467, or Rick Willerton at 204-942-6936.
#98-15: August 17, 1998: New master records for the NYBOT's Cantor Financial Futures Exchange, and for MATIF's 5-Year Euro contract On September 1, MATIF will launch trading in futures and options on Five-Year Euro Bonds. PC-SPAN commodity master parameters are given below. On September 8, pending regulatory approval, the New York Board of Trade (NYBOT) plans to launch its Cantor Financial Futures Exchange (CFFE). NYBOT plans to make SPAN risk parameter data for CFFE available in a separate SPAN file, using the standard unpacked format. This file will use CFE as its exchange and exchange complex acronyms, and CF as its two-byte exchange code. This file will be available for downloading on CME's Web and FTP sites, in the /pub/span/data/cfe directory on ftp.cme.com. A sample file, cfe0810s.par, is now available for downloading. CFE expects to provide settlement prices with three implied decimal places, with the first two digits to the right of the decimal point being the number of 32's, and the third decimal digit being the number of 8's of a 32. Since CFE will not list options initially, however, the alignment codes should be entered as blanks. To manually enter exchange and exchange complex master data for CFFE: On the Maintain Exchange Complex Master screen, enter a new exchange complex CFE, named Cantor Financial Futures Exch. The default values for the various additional files are all fine. Then, on the Maintain Exchange Master screen, enter a new exchange CFE, with name Cantor Financial Futures Exch. and exchange code CF. Commodity master parameters are as follows:
#98-14: August 14, 1998: New NYMEX contracts Cinergy and Entergy, new MATIF contracts Medium-Term Gilt and Long-Term Gilt MATIF launched trading in futures and options on Medium-Term Gilts and Long-Term Gilts on July 15. NYMEX launched trading in futures and options on Cinergy and Entergy electricity futures and options on July 10. PC-SPAN commodity master parameters are:
#98-13: August 14, 1998: KELER adopts SPAN for Budapest Commodity Exchange and Budapest Stock Exchange KELER, the Hungarian clearing organization for derivatives and securities, has now adopted SPAN for calculating performance bond requirements for Budapesti Arutozsde, the Budapest Commodities Exchange, and Budapesti Ertektoszde, the Budapest Stock Exchange. There will be separate SPAN files produced daily for the commodities exchange and for the stock exchange. The commodities exchange will use exchange complex acronym BAT, exchange acronym BAT, and exchange code 99. The stock exchange will use exchange complex acronym BET, exchange acronym BET, and exchange code 98. These SPAN files will be produced using the expanded unpacked format already used by the Canadian Derivatives Clearing Corporation (CDCC). These files are not yet available for downloading via the Internet, but are, however, supported in PC-SPAN versions 3.11 and higher. Master records for these two exchanges and their products are now available in the machine-readable commodity master file available for downloading. For more information, contact Zsolt Racz at KELER, telephone 36-1-351-0860 x.321, fax 36-1-342-3539, email ZsoltR@keler.hu. #98-12: August 14, 1998: CME halves cabinet value for Eurodollar and LIBOR options effective August 17 On Monday, August 17, CME will reduce the value of a cabinet option trade from one-half tick ($12.50) to one-quarter tick ($6.25) for all Eurodollar and LIBOR options, including the Eurodollar mid-curve options. This change is part of the implementation of quarter-tick trading in the lead futures contract (and the lead non-serial options contract), and half-tick trading in all subsequent contracts out through the fifth year. To properly reflect this in PC-SPAN, the cabinet option value on the commodity master record should be changed to $6.25 for commodity codes ED, EM, E0 and E2 #98-11: July 10, 1998: CME to list Eurocanada futures and options on Tuesday, July 14 On Tuesday, July 14, CME will list futures and options on Euro Canada — that is, on the London Inter-Bank Offer Rate for 3-Month deposits of Canadian Dollars. PC-SPAN commodity master parameters for these contracts are as follows:
#98-10: June 4, 1998: New contracts: CME's ag flex options; HKFE's China Telecom (Hong Kong) futures; SIMEX's MSCI SG. STK index futures; and MATIF's Euro Notional futures On Monday June 15, CME will begin listing flex options on agricultural futures products: live cattle, feeder cattle, lean hogs, fresh pork bellies, frozen pork bellies, butter, BFP milk, cheddar cheese, and lumber. On Friday, June 5, the HKFE will begin listing futures on China Telecom (Hong Kong) Ltd. stock. Other upcoming new contracts are SIMEX's MSCI SG.STK.Index and MATIF's Euro Notional. PC-SPAN commodity master parameters for these contracts are as follows: Dec: Align: CabinetStrike/ Fut/ Contract Value Option Code / Name Settle Opt Multiplier Value Exchange CME - Chicago Mercantile Exchange 8B FRESH PB AM.FLX 3 3 400.0000000 5.00 8C CHEESE AM.FLEX 3 3 400.0000000 5.00 8F FDR CTL AM.FLEX 3 3 500.0000000 6.25 8H LN HOGS AM.FLEX 3 3 400.0000000 5.00 8K LIVE CTL.AM.FLX 3 3 400.0000000 5.00 8M BFP MILK AM.FLX 2 2 2,000.0000000 10.00 8P FROZN.PB AM.FLX 3 3 400.0000000 5.00 8R BUTTER AMER.FLX 3 3 400.0000000 5.00 8U LUMBER AMER.FLX 3 3 80.0000000 4.00 9B FRESH PB EU.FLX 3 3 400.0000000 5.00 9C CHEESE EUR.FLEX 3 3 400.0000000 5.00 9F FDR CTL EU.FLEX 3 3 400.0000000 6.25 9H LN HOGS EU.FLEX 3 3 400.0000000 5.00 9K LIVE CTL.EU.FLX 3 3 400.0000000 5.00 9M BFP MILK EU.FLX 2 2 2,000.0000000 10.00 9P FROZN.PB EU.FLX 3 3 400.0000000 5.00 9R BUTTER AMER.FLX 3 3 400.0000000 5.00 9U LUMBER EUR.FLEX 3 3 80.0000000 4.00 Exchange HKF - Hong Kong Futures Exchange CT CHINA TELECOM 2 2 10,000.0000000 0.00 Exchange MAT - Marche a Terme Int'l de France XB EURO NOTIONAL 2 2 1,000.0000000 0.00 Exchange SMX - Singapore Intl. Monetary Exch. SG MSCI SG.STK.IDX 0 2 200.0000000 0.00 #98-09: June 1, 1998: KCBOT splits Value Line today Today, Monday, June 1, 1998, the Kansas City Board of Trade will split its Kansas City Value Line Contract. The contract value multiplier will be halved from $500 to $250. An existing position will become 2 open positions. In PC-SPAN it will be necessary to change the contract value multiplier for the KCBOT Value Line commodity master record. Using the Maintain Commodity Master screen, for exchange acronym KCB and commodity code KV, change the Contract Value Multiplier from its current value of 500, to its new value of 250. Note that this change does not apply to the Kansas City Mini Value Line Contract. That multiplier remains $100. #98-08: May 14, 1998: PC-SPAN version 3.12C now available — will be required for margining CBOT portfolios beginning around June 1 PC-SPAN version 3.12C is now available. Like version 3.12B, which it updates and replaces, this "maintenance release" contains one important enhancement to how method 4 intercommodity spreading works. The Chicago Board of Trade plans to begin using this new method of intercommodity spreading around June 1, 1998. At that time, CBOT will begin including method 4 intercommodity spread records in the daily SPAN file for CBOT and the Mid-America Commodity Exchange. WHEN CBOT BEGINS INCLUDING METHOD 4 INTERCOMMODITY SPREAD RECORDS IN ITS SPAN FILE, THIS NEW VERSION 3.12C WILL BE REQUIRED IN ORDER TO PROPERLY MARGIN CUSTOMER PORTFOLIOS INCLUDING CBOT AND/OR MID-AM POSITIONS. As a "maintenance release", version 3.12C is free to all registered users of versions 3.12 or 3.12B. Registered users of versions prior to 3.12 can obtain version 3.12C for the normal upgrade cost - $100 for upgrades on disk, or $50 for upgrades via e-mail or FTP through the Internet. For specific information regarding the CBOT's planned usage of method 4 intercommodity spreading, contact Bruce Domash at the CBOT at (312) 341-5989. #98-07: May 14, 1998: CME launches trading today in short-dated options on live cattle futures CME launches trading today in short-dated options on live cattle futures. PC-SPAN Commodity Master parameters are as follows:
#98-06: April 14, 1998: New products for CME — Russian Ruble, ECU, and Overnight Fed Funds (the "turn" contract). Price format shifting for OCC products in the CME-OCC cross-margining SPAN file This User Update covers three new products to be introduced shortly at CME, and associated PC-SPAN commodity master parameters: futures and options on (1) the exchange rate between the Russian Ruble and the US Dollar; (2) the exchange rate between the European Currency Unit (ECU) and the US Dollar, and (3) the Overnight Fed Funds Effective Rate (the "turn" contract.) The launch dates for these new products are Tuesday April 21 for the Russian Ruble futures and options; Tuesday May 5 for the Overnight Fed Funds futures and options; and Tuesday May 19 for the ECU futures and options. In addition to these new products, CME will BEGINNING TONIGHT April 14 shift the settlement price format rightward by either one or two positions for the OCC-cleared index options contained within the nightly CME-OCC cross-margining SPAN file. All commodity codes for exchange 'XOC' are affected. This change is being done because the price format previously used did not allow enough space for the underlying index to assume values larger than 1,000. PC-SPAN Commodity Master parameters for the new products are as follows:
#98-05: March 13, 1998: PC-SPAN version 3.12b now available — will be required for margining CBOT portfolios beginning around May 1 PC-SPAN version 3.12b is now available. This "maintenance release" contains one important enhancement to how method 4 intercommodity spreading works. This new method of intercommodity spreading is not yet in use by any exchange or clearing organization using SPAN, but the Chicago Board of Trade plans to begin using it around May 1, 1998. At that time, CBOT will begin including method 4 intercommodity spread records in the daily SPAN file for CBOT and the Mid-America Commodity Exchange. WHEN CBOT BEGINS INCLUDING METHOD 4 INTERCOMMODITY SPREAD RECORDS IN ITS SPAN FILE, THIS NEW VERSION 3.12B WILL BE REQUIRED IN ORDER TO PROPERLY MARGIN CUSTOMER PORTFOLIOS INCLUDING CBOT AND/OR MID-AM POSITIONS. As a "maintenance release", version 3.12b is free to all registered users of version 3.12. Registered users of versions prior to 3.12 can obtain version 3.12b for the normal upgrade cost - $100 for upgrades on disk, or $50 for upgrades via e-mail or FTP through the Internet. The specific change in version 3.12b is as follows: previously, the target combined commodity of the method 4 spread could not be one of the legs — in other words, you couldn't specify the target as one of the legs. Now, the target of a method 4 combined commodity can be one of the legs. This allows SPAN to verify that the target is present in the portfolio before allowing the spread to be formed. For specific information regarding the CBOT's planned usage of method 4 intercommodity spreading, contact Bruce Domash at the CBOT at (312) 341-5989. #98-04: March 13, 1998: Minneapolis Grain Exchange to use new commodity code for European options on Spring Wheat futures. Hong Kong Futures Exchange to list futures o |
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