• Bloomberg Commodity Index futures converted from embedded fee to standard fee

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 21-452
      • Notice Date
      • 02 December 2021
      • Effective Date
      • 02 December 2021

    • As described in Special Executive Report 8878R, published on November 16, 2021, the CBOT Bloomberg Commodity Index futures (clearing product code 70, Globex code AW) have been converted from an embedded-fee to a standard fee model, effective on Tuesday, December 1, 2021.

      Practically speaking, this means that the “valuation method” for this product has been changed from FUTDA, meaning “futures with a daily adjustment”, to FUT, meaning, standard futures. This change has been made effective today and is visible in the PA2-format SPAN files on the production definition (type “P”) record in positions 117-121.

      Click here for the full text of the advisory

      21-452

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