#99-42 - December 29,1999: NYBOT to launch new OJ contract futures on December 29,1999 New York Board of Trade will begin trading OJ Differential and Orange Juice#2 Futures on December 29,1999. PC-SPAN commodity master parameters are as follows:
#99-41 - November 5,1999: MidAM to launch a new Euro Currency contract futures on November 05,1999 MidAmerica Commodity Exchange will begin trading Euro Currency Futures on November 05,1999. PC-SPAN commodity master parameters are as follows:
#99-40 - November 3,1999: KCBOT to launch a new Gas contract futures on November 29,1999 KCBOT will launch the Western Natural Gas Basis Futures on November 29,1999. PC-SPAN commodity master parameters are as follows:
#99-39 - October 29,1999: MATIF to launch European Rapseed Meal futures on October 29 MATIF will launch the European Rapseed Meal on October 29. PC-SPAN commodity master parameters are as follows:
#99-38 - October 14, 1999: MATIF to launch contracts on Dow Jones STOXX SM Sector Indexes Over the period from October 13 through November 3, MATIF will launch contracts on Dow Jones STOXX SM Sector Indexes, in the following four sectors: Technology, Insurance, Pharmaceutical, and Media. PC-SPAN commodity master parameters are as follows:
#99-37 - September 28, 1999: MATIF to launch Corn futures on October 1 MATIF will launch corn futures on October 1. PC-SPAN commodity master parameters are as follows:
#99-36 - September 15, 1999: KCBOT to split the ISDEX contract 1 for 4 At the opening of the market on Monday, September 20, the Kansas City Board of Trade will do a one-for-four split of its "ISDEX" (IS) contract. Price formats will not change, but as of business day Monday Sept. 20, the contract value multiplier in PC-SPAN's Commodity Master file (exchange KCB, commodity IS) should be changed from its current value of 100 to its new value of 25.
#99-35 - September 7, 1999: Osaka Securities Exchange adopts SPAN the Osaka Securities Exchange (OSE) has adopted SPAN. OSE plans to implement SPAN next year, and plans to publish its SPAN file in both the expanded-unpacked format used by several other exchanges, and in the new XML-based SPAN file format. The upcoming Windows-based PC-SPAN version 4 will be distributed to OSE's market users to support the SPAN calculation for OSE. For more information about SPAN at the Osaka Securities Exchange, please contact Mr. Mikio Hinoide, at span@ose.or.jp.
#99-34 - September 3, 1999: CME to launch E-Mini EuroFX futures and E-Mini Japanese futures October 7 CME will launch trading E-Mini EuroFX futures and E-Mini Japanese Yen futures on October 7. Both are one-half the size of the regular contracts, and will trade virtually around the clock on GLOBEX ®. PC-SPAN commodity master parameters are as follows:
#99-33 - September 1, 1999: CME to launch Weather futures & Options Sept. 22 CME will launch trading on September 22 in futures and options Weather contracts — specifically, contracts based on CME's Heating Degree Days (HDD) Index for four major cities. HDD contracts for other cities, and contracts on cooling degree days (CDD) will follow. PC-SPAN commodity master parameters are as follows:
#99-32 - August 9, 1999: SIMEX to launch USD/SGD Swap Offer Rate futures on Sept. 10 The Singapore International Monetary Exchange will launch trading on September 10 in futures on the 3-month swap offer rate between the Singapore Dollar (SGD) and the US Dollar (USD.) PC-SPAN commodity master parameters are as follows:
#99-31 - August 9, 1999: Sample NYMEX C21 SPAN files now available The New York Mercantile Exchange has informed us that it plans to implement Clearing 21 within the next 1 to 2 weeks — possibly as early as this Friday, August 13. NYMEX SPAN files produced by this new system should be equivalent to those produced previously, aside from minor sort order differences, etc. Member firms and other SPAN users who wish to verify, however, that these new files can be processed in their systems without problems may wish to test their systems with sample files. These sample files for NYMEX are available now on the CME FTP site at ftp.cme.com/pub/span/data/nym/test. The separate SPAN file for the COMEX Division of NYMEX is not affected by this change and will continue to be produced as it is today. For more information, please contact Larry Scheinberg at NYMEX at (212) 299-2818.
#99-30 - July 14, 1999: PC-SPAN version 3.12j now available As previously announced, PC-SPAN version 3.12j is now available. this maintenance release adds support for a new method of calculating the short option minimum charge which CME will introduce on July 23, namely, the ability to base the charge on the greater of the number of short calls or short puts. Previously, the charge was based only on the total number of short options. For interest-rate cross-margining between CME and the CBOT, version 3.12j also ensures that on the CBOT side of an intercommodity spread between the two organizations, the weighted futures price risk is capped at the futures price scan range. PC-SPAN already does this for the CBOT's regular SPAN processing. Version 3.12j also fixes several minor bugs, including one in calculating omnibus account requirements for naked positions. Version 3.12j is a maintenance release, free to registered users of previous 3.12x versions.
#99-29 - July 9, 1999: CME to introduce new method for calculating short option minimum charge on July 23 In order to more appropriately recognize the risk inherent in short option positions, CME will introduce a new method of calculating the short option minimum charge in SPAN on Friday, July 23, 1999. A maintenance release of PC-SPAN, version 3.12j, which adds support for this new feature, will be released on Monday July 12.
#99-28 - June 21, 1999: New CME E-Mini NASDAQ 100 Futures On June 21, 1999, CME will launch trading in E-Mini NASDAQ 100 futures. The contract size is $20 times the NASDAQ 100 Index and is a one-fifth size version of CME's NASDAQ 100 futures contract. PC-SPAN commodity master parameters are as follows:
#99-27 - May 14, 1999: COMEX Aluminum futures, NYBOT currency contracts, and KCBOT KC Gas Index and ISDEX contracts
PC-SPAN commodity master parameters for these new products are as follows:
#99-26 - May 14, 1999: CME halves tick size for Goldman Sachs Commodity Index (GSCI) futures and options, halving the cabinet option value On Tuesday, May 18, CME will halve the tick size for Goldman Sachs Commodity Index (GSCI) futures and options, changing it from 0.10 index points ($25) to 0.05 index points ($12.50). Alignment of settlement and strike prices for these products (code GI) will not change, but the cabinet option value will accordingly decrease from $12.50 to $6.25. Accordingly the cabinet option value for GI in PC-SPAN's commodity master value should be changed to 6.25 on Tuesday, May 18. You can either do this manually, or download the machine-readable commodity master file which will be available that morning. Here's what the parameters will be effective Tuesday May 18:
#99-25 - May 11, 1999: PC-SPAN version 3.12i now available, with support for CME-CBOT interest-rate cross-margining We are pleased to announce the release of PC-SPAN version 3.12i. This new version supports SPAN calculations for the new CME-CBOT interest-rate cross-margining program. As previously announced, the new XMI SPAN files for CME-CBOT interest-rate cross-margining program can be found on the CME FTP site at ftp.cme.com/pub/span/data/xmi and on the CBOT FTP site at ftp.cbot.com/pub/span/xmi. the exchange complex acronym to use in PC-SPAN is XMINT. The specific enhancement added in version 3.12i is tiered intercommodity spreading. Full details about how tiered intercommodity spreading will work for interest-rate crossmargining are available at www.cme.com. Other than the new calculation, the only change you will see are the addtion of the information about the tiered spreads to the Risk Parameters Report. Version 3.12i is a maintenance release and is free to registered users of previous 3.12x versions. If you plan to participate in the interest-rate cross-margining program, or if you wish to test your own SPAN programming to verify that you have implemented tiered intercommodity spreading correctly, we recommend that you obtain this new version 3.12i. the XMI SPAN files will load into previous PC-SPAN versions, but they will not produce correct results with previous versions.
#99-24 - May 1, 1999: CME-CBOT Interest-Rate Cross-Margining SPAN files now available the new XMI SPAN files for the CME-CBOT Interest-Rate Cross-Margining program are now available on a daily basis:
On the CME and CBOT FTP sites, the files use the usual file naming convention. For example, the file for Monday May 3 is named xmi0503s.zip. Both an intraday file and an end-of-day (settlement) file are available. Typical availability times will be 12:15pm and 5:15pm for the intraday and end-of-day file, respectively. The CME-CBOT Interest-Rate Cross-Margining Program is scheduled to begin on Friday May 28. the interest-rate cross-margining SPAN files are being made available on a daily basis in advance of this date so that participants may prepare for the launch. Interest-rate cross-margining will use a new feature of SPAN called tiered intercommodity spreading. Complete details are available at www.cme.com. A new version of PC-SPAN, version 3.12i, will be made available which supports tiered intercommodity spreading. Version 3.12i will be released no later than Tuesday, May 11. Pre-release orders can be placed by calling Ms. Jackie Hookfin in the CME Clearing House at (312) 648-3660. The intercommodity spreads and other performance bond rates contained in the XMI files during this pre-release period will not necessarily precisely reflect what the rates will be on May 28 when the program is launched, but they are reasonably close. For more information, contact Dale Michaels in the CME Clearing House at (312) 930-3062 or Bruce Domash at the CBOT at (312) 341-5989.
#99-23 - May 1, 1999: CBOT to list extended serial month options on Bonds and Notes On May 7, the Chicago Board of Trade will begin trading extended serial month options on Treasury Bond futures, and on 10-Year, 5-Year, and 2-Year Treasury Note futures. These options will be included in the same combined commodities as are the futures and the regular options, but they will have different commodity codes. PC-SPAN commodity master paramerters are as follows:
#99-22 - April 22,1999: MATIF to change rapeseed settlement price format in conjunction with tick size On May 3, 1999, MATIF will modify the settlement price format for its European Rapeseed contracts in conjunction with the tick size, which is changing from 0.5 to 0.25 per metric ton. the price is being shifted one place to the left. Accordingly, the PC-SPAN decimal locator for settlement prices should be changed from its existing value of one (1) to its new value of two (2) on May 3. this change will not be reflected in the downloadable PC-SPAN commodity master file until Friday April 30. the modified PC-SPAN commodity master parameters are as follows:
#99-21 - April 22,1999: New HKFE Euro Rolling Forex contract On April 30, 1999, the Hong Kong Futures Exchange HKFE will begin listing a Euro Rolling Forex contract. PC-SPAN commodity master parameters are as follows:
#99-20 - April 12, 1999: New CME Mid-Size Milk Options Today, April 12, 1999, CME launched trading in "mid-sized" options on BFP milk futures. these are European options on 100,000 pounds of BFP milk, and are directly analogous to the "mini-milk" options (on 50,000 pounds of BFP milk) already trading. PC-SPAN commodity master parameters are as follows:
#99-19 - March 19, 1999 (updated April 12): New CME Euroyen LIBOR and Lumber contracts On April 1, CME will launch trading in Euroyen LIBOR futures and options. this contract will be identical to the existing Euroyen contract except in how the final settlement price will be determined. On April 12 (not May 17 as previously announced), effective with the launch of January 2000 contract, CME will launch new larger-sized Lumber futures and options. the contract size will be expanded from 80,000 to 110,000 board feet. these new contracts will have a clearing code of LB. PC-SPAN commodity master parameters are as follows:
#99-18 - March 17, 1999: New MATIF Dow-Jones Bank, Energy and Telecommunications contracts On March 22, MATIF will launch futures and options on Dow-Jones Bank, Energy, and Telecommunications indices. PC-SPAN commodity master parameters are as follows:
#99-16 - March 6, 1999: New NYBOT Cantor Flex Coupon (6%) Treasuries On Friday, March 19, the Cantor Exchange division of the New York Board of Trade plans to begin listing Flexible Coupon (6%) Treasuries in the 2, 5 and 10 year notes and the 30 year bonds. these are identical to the contracts currently trading except for the "flexible coupon". PC-SPAN commodity master parameters are as follows:
#99-15 - March 4, 1999: New Russell 1000 and NYSE Small Composite equity index futures at the New York Board of Trade the New York Board of Trade recently launched trading in futures on the NYSE Small Composite index, and plans on Friday March 5 to launch trading in futures on the Russell 1000 and the Russell 1000 Large Lot indices. PC-SPAN commodity master parameters are as follows:
#99-14 - March 5, 1999 - UPDATED: CME to shift price format for settlement prices for EuroFX futures on Monday March 8 On Monday, March 8, CME will shift the price format for EuroFX futures (product code EC) in its daily SPAN risk parameter files (and in its settlement price file as well.) these are futures on the exchange rate between the Euro currency and the U.S. Dollar. The decimal locator for settlement prices for EC futures and options will change from four (4) to five (5). this will allow the execution of spread trades at a half-tick differential (0.00005 dollars per Euro) and support greater precision in the specification of the final settlement price. For example, an EC futures contract that today has a settlement price in the seven-byte SPAN file field of 0012345, meaning $1.2345 dollars per Euro, will be represented as 0123450 instead. The decimal locator for strike prices in the SPAN file is unaffected and will not change from its current value of three (3). If you use PC-SPAN to process CME SPAN files, you should either change the decimal locator for settlements for EC on Monday March 8 from four to five, or download the updated machine-readable commodity master file. the commodity master file available for downloading has now been updated with this change, so you can download it now if you wish, but don't install it until Monday, when the price format changes.
#99-13 - February 22, 1999: PC-SPAN version 3.12H now available — fixes a bug which caused problems with calculating omnibus account margins for MATIF PC-SPAN version 3.12H is now available. this version fixes a bug in the capping of risk requirements at the net option value for naked positions of omnibus accounts. the bug caused previous versions to abend when calculating omnibus account requirements for MATIF, which is the only exchange which specifies that risk requirements be capped at the net option value. This maintenance release is free to all users of previous 3.12x versions, and available for the normal upgrade rates to other users. As previously announced, version 3.12I — the letter "i" — will be released shortly. this version will add support for tiered intercommodity spreading, which will be used by CME and CBT for interest-rate cross-margining, tentatively scheduled for launch in mid-May. The bug described above manifests itself only for MATIF, and only for omnibus accounts. And it can easily be worked around just by turning off the capping feature for MATIF, using the Maintain Exchange Complex Master screen in PC-SPAN. therefore, users unaffected by the bug fixed in version G, may wish to skip version G and wait for version I.
#99-12 - February 17, 1999: CME and CBOT to implement interest-rate cross-margining using tiered intercommodity spreading in SPAN The Chicago Board of Trade and the Chicago Mercantile Exchange will implement a joint cross-margining program for interest-rate futures and options in the near future. May 15 has been selected as the target date for launching this program. Firms which are joint members of CME and of the Board of Trade Clearing Corp. may elect to participate, and if so, in either the house (proprietary) origin, the customer origin, or both. Initially, however, participation may be limited to house (proprietary) positions. Under this program, positions in eligible interest-rate products at CME (Eurodollars and others) and CBT (Treasury Bonds, Notes and others) will be held in special performance bond accounts. Where risk offsets exist between CME and CBT positions, performance bond requirements will be appropriately reduced. Collateral assets deposited to meet these requirements will be held in special joint asset accounts. Recognition of the risk offsets between CME and CBT interest-rate product positions, and calculation of the performance bond requirements for the combined portfolios, will be handled automatically by SPAN, the Standard Portfolio Analysis of Risk system for calculating performance bond requirements, which is used by both CME and CBT. A special interest-rate cross-margining SPAN risk parameter file will be made available every day by CME and CBT. Member firms and customers wishing to calculate SPAN performance bond requirements pursuant to this cross-margin agreement may use this file, which will be highly analogous to the SPAN files produced today by CME and CBT for equity index cross-margin agreements with the Options Clearing Corp and the New York Clearing Corp:
CME and CBT will use the launch of this interest-rate cross-margining program as the occasion for beginning to use a new feature of SPAN, called tiered intercommodity spreading. this feature means that risk offsets between different ranges of contract months in Eurodollar futures, for example, can be precisely targeted to particular CBT bond and note contracts. For example, positions in near-term Eurodollar contract months which are offset by positions in Treasury bond futures, will receive less margin reduction than positions in the further-out Eurodollar contract months, which have price movements which are more highly correlated with those of the Treasury bond futures. An updated version of PC-SPAN, version 3.12i, will be available shortly, with support for tiered intercommodity spreading. A complete description for how tiered intercommodity spreading will work for interest-rate cross-margining is available www.cme.com. For more information, contact: at CME, Dale Michaels, Risk Manager, (312) 930-3062; and at the CBOT,Bruce Domash, Associate Director, Audits, (312) 341-5989.
#99-11 - February 3, 1999: Commodity master parameters for SIMEX Euroyen LIBOR, to be launched on Feb. 22 The Singapore International Monetary Exchange will launch Euroyen LIBOR futures on February 22. PC-SPAN commodity master parameters are as follows:
#99-10 - January 22, 1999: Reminder: Winnipeg Commodity Exchange SPAN file switches today to expanded-unpacked format — Commodity master changes associated with this Today, January 22, is the day on which the Canadian Derivatives Clearing Corporation (CDCC) begins doing clearing processing for the Winnipeg Commodity Exchange (WCE). As previously described, that means that today is the day on which the WCE SPAN files will change from the "standard" unpacked format (the "PAR" file) to the newer "expanded" unpacked format (the "PA2" format.) In the main directory for WCE on the CME FTP site (ftp.cme.com/pub/span/data/wce), tonight's WCE SPAN file will be named wce0122s.zip, exactly as if this change had not occurred. However, inside this ZIP file will be wce0122s.pa2 — not wce0122s.par. The special directory which has had sample expanded-unpacked format files for WCE for the last week (ftp.cme.com/pub/span/data/wce/new) will no longer be used. When loading the new expanded-unpacked format SPAN file for WCE into PC-SPAN, specify format 3 — the expanded-unpacked format. Price format changes, and the PC-SPAN commodity master file: also as previously described, there are some new product codes and some price format changes associated with this switch. In a nutshell:
For more information, contact Carmen Rain at CDCC at 416-367-2471 or crain@cdcc.ca. Here are a complete list of the WCE product codes with PC-SPAN master data:
#99-09 - January 21, 1999: "Member-rates" SPAN files for CME now available daily — implementation now scheduled for February 12 The new "member-rates" SPAN file for the final settlement at CME is now available every day at ftp.cme.com/pub/span/data/cme/member. We will shortly begin making available at this location the intraday, early, and "complete" versions of this file as well. In addition, forms ID's for mainframe-to-mainframe transmission of these files to CME member firms have been selected. they are SPME for the early file, SPMF for the final file, and SPMC for the "complete" file. Implementation of separate member-rates processing in CME's clearing system has been postponed one week so as not to conflict with another implementation, and is now scheduled forFebruary 12.
#99-08 - January 21 1999: Reminder: Commodity Master Parameters for CME's Japanese Government Bond Futures CME launched trading today in Japanese Government Bond Futures, which are yen-denominated futures and are eligible to participate in CME's Mutual Offset Program with SIMEX. PC-SPAN Commodity parameters, which were previously described in user update #98-34 (December 16, 1998), are as follows. 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.
#99-07 - January 20, 1999: CME's EC futures price format to be corrected this Friday Jan. 22 We have discovered that the settlement price for EC futures in CME's SPAN file has been incorrectly formatted. these are the EuroFX futures — that is, futures on the exchange rate between the Euro and the U.S. Dollar. A price of 1.17420 dollars per Euro has been incorrectly formatted in the 7-digit field as 0117420, with five (5) implied decimal places. the correct formatting, with four (4) implied decimal places, is 0011742. PC-SPAN's decimal locator for settlement prices is 4. We will correct this price format in the SPAN files this Friday, January 22. Please note that the problem applies only to EC futures and only in the SPAN file. the price is correctly formatted in CME's settlement price file. Also in the SPAN file, the settlements and strikes for EC options are correctly formatted. You need make no change to PC-SPAN's commodity master file as a result of this format correction, and this format error has no effect on the margin calculation or on PC-SPAN's operation. the only effect is if you are using the SPAN file as a source for futures price dissemination and/or for calculating settlement variation, in which case you should check to make sure this price format change is taken into account so that settlement variations are calculated correctly.
#99-06 - January 18, 1999: Combined NYBOT SPAN file updated Friday night, the New York Board of Trade published its first combined SPAN file, which was available on CME's and CBOT's FTP sites. There was one error in this file that prevented it from loading into PC-SPAN. Specifically, the load would abort at line 2034 with a message that a combined commodity is not part of a spread group. this error has now been fixed (by us) by the addition of combined commodity GB into the FOD group, which may not be the right group, but at least the file now loads. This corrected file is now available at its normal locations of ftp://ftp.cme.com/pub/span/data/hkf/hkf0115s.zip and ftp://ftp.cbot.com/pub/span/hkf/hkf0115s.zip.
#99-05 - January 12, 1999: Sample CME SPAN file shows effect of margin rate changes for S&P 500 CME will be increasing performance bond requirements for some of its equity index futures and options contracts at the close of business on Friday, January 15, 1999. The S&P 500 futures initial and maintenance performance bond requirements for speculative public customers will be increasing from $16,875 and $13,500, respectively to $20,625 and $16,500, respectively. there will also be increases in the S&P Growth, S&P Value, and the NASDAQ 100 performance bond requirements. To help firm and customers assess the impact of these changes, CME is making available a sample SPAN risk parameter file for business date January 11, with risk arrays and other margin rates at the levels which they will assume on January 15. this file can be found at ftp.cme.com/pub/span/docs/sptest.zip. Please contact the Risk Control Department at (312) 648-3888 if you have any questions about these performance bond changes.
#99-04 - January 11, 1999: REMINDER: New York Board of Trade to begin producing combined NYBOT SPAN file this Friday, January 15 — will replace separate CSC, NYC and CFE files 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 confirmed that this Friday, January 15, is the date on which it will begin making a combined New York Board of Trade SPAN file available. Thursday, January 14, will be the last date on which there will be separate SPAN files for the Coffee Sugar Cocoa Exchange, New York Cotton Exchange, and Cantor Financial Exchange. As previously described in User Update #98-32 (December 21), 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. 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. A sample NYBOT SPAN file is now available at that location on the CME site. For more information, especially the PC-SPAN implications of this change, see User Update #98-32, and/or contact Ian Nelson at the New York Board of Trade at at 212-742-6167 or iannelson@worldnet.att.net.
#99-03 - January 11, 1999: Winnipeg Commodity Exchange to switch to expanded-format SPAN file on Friday January 22 The Canadian Derivatives Clearing Corporation (CDCC) has advised us that Friday January 22 is the day on which it will begin clearing processing for the Winnipeg Commodity Exchange (WCE). Hence that is the day (Friday, January 22) on which the WCE SPAN file will only be available in the newer "expanded unpacked" format. CDCC expects that beginning Monday January 18 and continuing through thursday January 21, it will make available daily sample WCE files in the new expanded format. In other words:
CDCC expects that beginning Friday January 22, the expanded format SPAN file for WCE will be available at approximately the same time that the WCE file is currently available. Versions of PC-SPAN prior to 3.11 do not support the expanded-format SPAN file. If you have such a version and wish to continue supporting WCE on January 22, you must upgrade to the current version 3.12G, and in any case we recommend you do so. This is as previously announced in PC-SPAN Update #98-36 on December 24. For more information, contact Lynn Watson (416-367-2467), lwatson@cdcc.ca), Rakesh Ohri (416-, rohri@cdcc.ca), or Carmen Rain (416-367-2471) (crain@cdcc.ca) at CDCC.
#99-02 - January 9, 1999: CME to implement separate member-rates processing on February 5 CME plans to implement a new feature of SPAN — separate member-rates processing — in Clearing 21 on February 5, 1999.
#99-01 - January 1, 1999: Special January 1 MATIF SPAN file now available The special MATIF January 1 SPAN file — described immediately below — is now available at its normal locations on the FTP sites of CME and the CBOT: ftp.cme.com/pub/span/data/mat/mat0101s.zip ftp.cbot.com/pub/span/mat/mat0101s.zip Here's the special January 1 version of the PC-SPAN commodity master file: ftp.cme.com/pub/span/util/c11jan1.exe (for PC-SPAN versions 3.11 and up - the current version is 3.12G) ftp.cme.com/pub/span/util/c10jan1.exe (for previous versions) back to top |
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