PC-SPAN(r) version 4.02 is now available.  This version provides
support for the special features of the CME's new TRAKRS(sm)
futures contracts.  The first TRAKRS contract, the Long-Short
Technology TRAKRS, launched on July 31st, is a non-traditional
futures contract designed to provide customers with a cost- effective way to execute a long-short investment strategy.

For TRAKRS, customer accounts are classified as to whether they
are for a Qualified Institutional Buyer ("QIB") or not. 

TRAKRS positions in QIB customer accounts are processed in SPAN(r)
and handled in bookkeeping systems normally, except that there is
a special cash flow, called the Daily Adjustment, analogous to
the interest rate cost of rolling a spot position from one day to
the next.  PC-SPAN version 4.02 supports the calculation of these
Daily Adjustment cash flows for these customer accounts as well
as their normal margining.

For non-QIB customer accounts, TRAKRS positions are handled in
SPAN via a special calculation called the Value Maintenance
Method.  For each open trade in a TRAKRS contract, the margin
requirement is calculated separately.  For the open quantity on
purchases, the margin requirement is 100% of the original trade
price.  For the currently open quantity on sales, the margin
requirement is 50% of the original trade price, except that if
the daily settlement price moves too far in either the up or down
direction, the margin requirement is reset to 50% of the current
settlement price.

In addition, for non-QIB accounts, the contribution to Open Trade
Equity resulting from the open trades in TRAKRS contracts is
deemed to be "locked-up equity."  The result is that the Open
Trade Equity from TRAKRS positions neither allows collateral to
be withdrawn (if a gain) nor results in a call for more
collateral (if a loss).

For non-QIB accounts, PC-SPAN version 4.02 supports the
definition of the open trades which comprise the TRAKRS
positions, the calculation of the performance bond requirement
using the Value Maintenance method, the calculation of Locked-Up
Equity, and its use determining whether a collateral excess or
deficit exists.

A PDF file -- Using PC-SPAN version 4.02 for TRAKRS -- is
available at the SPAN Information Pages at: http://www.cme-ch.com/span/using_span4_for_trakrs.pdf, and
provides complete instructions for using the new features.

For more information about TRAKRS please see the CME web site at: http://www.cme.com/products/index/trakrs.cfm.