SPAN(r) Advisory #02-11
June 17, 2002

CBOT 5-YEAR SWAP FUTURES

The Chicago Board of Trade will begin trading of 5-Year Swap
Futures on June 21, 2002.  PC-SPAN parameters are as follows:

* Clearing Organization: BOTCC
* Exchange: CBT
* Product Code:  NG
* Product Names: 5-Year Swaps
* Product Type:  Future
* Settlement Currency: USD
* Contract Value Factor:  1,000
* Settlement Method:  CASH
* Price Quotation Method:  STD
* Valuation Method:  FUT
* Settlement Price Decimal Locator:  3
* Settlement Price Alignment Code:  9

To include positions in these products in portfolios to be
margined using PC-SPAN, as always, you must either manually add
records to the Organization Master file or download the updated
master file at ftp.cme.com/pub/span/util/orgmast.exe.  The
corresponding master files for the old DOS-based PC-SPAN are
ftp.cme.com/pub/span/util/comast11.exe (version 3.11 and higher)
and ftp.cme.com/pub/span/util/comast.exe.

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