Please be advised that beginning February 13, 2012, the following new repeating block values will be added to the Futures FIXML Product Reference files for OTC FX Forwards products only, for the purpose conveying Price Alignment Interest (PAI) information where applicable:
· Prior Clearing Business Day (Event Type “114”)
· Next Banking Business Day (with regard to the Final Settlement Currency, Event Type “115”)
· Number of days to use in tonight’s PAI calculation (Instrument Extension Attribute Type “110”)
· PAI Rate Type to use in this products PAI calculation (Instrument Extension Attribute Type “111”)
· Currency Calendar Business Day Indicator (Instrument Extension Attribute Type “112”)
The Product Reference Files, as always, are located at ftp.cmegroup.com/pub/fprf, and have a naming convention of “cmeg.EXCHANGE.PRODUCT_TYPE.prf.YYYYMMDD.xml.zip, where:
Should you have any questions, please contact CCS at 312-207-2525.
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