This advisory describes changes to be made beginning Monday April 26th to the data provided for certain CME currency products on the type "P" records in the expanded-format CME-CBOT SPAN files. 

Affected data fields are (a) the settlement price decimal locator, (b) the strike price decimal locator, and (c) the contract value factor.   A corresponding change will be made to data provided for these products in the PC-SPAN Organization Master file.

No changes whatever are being made to the actual format of settlement prices and strike prices in the SPAN file.   It is only the assumed number of decimal places, and the corresponding contract value factor, that are affected.

The type "P" records which are provided in the new expanded-format SPAN file, were never provided in the old "packed" and "unpacked" formats which have now been phased out.   So many firm systems which read SPAN files are likely to be completely unaffected. 

Nevertheless, because this is a change to parameters which may be used to control how prices are displayed and monetary values are calculated, we are describing the changes in detail herein, and providing sample files for firms to use for testing if they choose.

The reason for this change is as follows:  Since 1988, when PC-SPAN was first introduced, settlement prices for CME's dollar-denominated currency futures and options have been quoted as the number of U.S. dollars per 100 units of the foreign currency.  For the options, strike prices have been quoted in the same way.

We will now change the decimal locator parameters so that these prices are quoted as the number of US dollars per one unit of the foreign currency, rather than per 100 units.   Contract value factors will be correspondingly changed.  This will eliminate a long-standing inconsistency between the way these prices are quoted in PC-SPAN and the way they appear on the Trade Register and in other clearing reports.

For example, a typical settlement price for the Australian Dollar (AD) future is today quoted as 89.230 US dollars per 100 Australian dollars.  You could also think of this as 89.23 cents per Australian dollar.  After the change, this price will be quoted as 0.89230 US dollars per Australian dollar.  An analogous strike price quote might go from 85.5 US dollars per 100 Australian dollars to 0.855 US dollars per Australian dollar.

For the futures, the affected parameters are the settlement price decimal locator and the contract value factor.  For the options, the affected parameters are the settlement price decimal locator, the strike price decimal locator, and the contract value factor.

Beginning Monday April 26th, these changes will be reflected on the type "P" (Price Conversion Parameters) records in the expanded-format CME-CBOT SPAN files. 

On Saturday April 24th, we will post the updated PC-SPAN Organization Master file to the Internet, at its usual location offtp.cme.com/pub/span/util/orgmast.exe.

Again, please note that no changes are being made to the actual alignment of prices in the CME-CBOT SPAN files.   Settlement prices and strike prices will continue to be aligned in these files exactly as they have always been.  Only the decimal locators and contract value factors, as contained in the PC-SPAN Organization Master file, and on the type "P" records in the SPAN file, are affected.

A sample Orgmast file with these changes is available now atftp.cme.com/pub/span/util/orgmast-test.zip.  A sample expanded-format CME-CBOT SPAN file with the corresponding changes to the "P" records is available at: ftp.cme.com/pub/span/util/ccl-orgmast-test.pa2.zip. 

To test these files with PC-SPAN:

• Download ccl-orgmast-test.pa2.zip and unzip the ccl-orgmast-test.pa2 file it contains to your PC-SPAN data file directory.
  
• Download orgmast-test.zip and unzip the orgmast-test.mst file it contains to your PC-SPAN master file directory, typically c:\span4\master.  Then, using the Preferences dialog box available from the PC-SPAN Tools menu, change the location for the Orgmast file from orgmast.mst to orgmast-test.mst.  Close the the Preferences dialog, then close and restart PC-SPAN.
  
• Load the ccl-orgmast-test.pa2 file into PC-SPAN like any other SPAN file.  You can now view the changed price alignments using the Contracts report for any desired product. 

After testing, be sure to change back to your production Orgmast file by changing the filename in the Preferences dialog box from orgmast-test.mst to orgmast.mst.

On Monday, April 26th, you can update your PC-SPAN Organization Master file by downloadingftp.cme.com/pub/span/util/orgmast.exeto your PC-SPAN master file directory and then executing this file to extract the orgmast.mst file contained within.   Or, you can simply load the expanded-format CME-CBOT SPAN file for Monday April 26th, and then click OK when prompted to save the changed Orgmast file.  (This works because the expanded-format SPAN files contain the type "P" records which will automatically update your Orgmast file if any changes are detected.)

If you have applications which produce position files for loading into PC-SPAN in either the regular unpacked or expanded-unpacked formats, no changes will be necessary, because the alignment of strike prices in the six-digit strike price field in these formats are not being changed.

In the XML-format position files, however, strike prices are stored as numeric values with decimal points inserted.   So if you are producing position files in this format, you will need to make the corresponding changes to strike prices for these currency options.

Here are the details of the changes:

Australian Dollar:

• AD futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 1,000 to 100,000
  • Typical price quote changed from 73.980 to 0.73980
• AD and 1A-5A options
  • Settlement price decimal locator changed from 3 to 5
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 1,000 to 100,000
  • Typical strike price changed from 73.5 to 0.735
  • Typical price quote changed from 1.810 to 0.01810

British Pound:

• BP futures
  • Settlement price decimal locator changed from 2 to 4
  • Contract value factor changed from 625 to 62,500
  • Typical price quote changed from 182.91 to 1.8291
• BP and 1B-5B options
  • Settlement price decimal locator changed from 2 to 4
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 625 to 62,500
  • Typical strike price changed from 185.0 to 1.850
  • Typical price quote changed from 2.92 to 0.0292

Canadian Dollar:

• C1 futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 1,000 to 100,000
  • Typical price quote changed from 74.580 to 0.74580
• C1 and 1C-5C options
  • Settlement price decimal locator changed from 3 to 5
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 1,000 to 100,000
  • Typical strike price changed from 74.5 to 0.745
  • Typical price quote changed from 0.680 to 0.00680

Japanese Yen:

• J1 futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 1,250 to 125,000
  • Typical price quote changed from 95.050 to 0.95050
• J7 futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 625 to 62,500
  • Typical price quote changed from 95.050 to 0.95050
• J1 and 1J-5J options
  • Settlement price decimal locator changed from 3 to 5
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 1,250 to 125,000
  • Typical strike price changed from 95.5 to 0.955
  • Typical price quote changed from 1.310 to 0.01310

Mexican Peso:

• MP futures
  • Settlement price decimal locator changed from 4 to 6
  • Contract value factor changed from 5,000 to 500,000
  • Typical price quote changed from 8.9050 to 0.089050
• MP and 1M-5M options
  • Settlement price decimal locator changed from 4 to 6
  • Strike price decimal locator changed from 2 to 4
  • Contract value factor changed from 5,000 to 500,000
  • Typical strike price changed from 8.87 to 0.0887
  • Typical price quote changed from 0.1175 to 0.001175

New Zealand Dollar:

• NE futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 1,000 to 100,000
  • Typical price quote changed from 65.720 to 0.65720
• NE and 1Z-5Z options
  • Settlement price decimal locator changed from 3 to 5
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 1,000 to 100,000
  • Typical strike price changed from 65.5 to 0.655
  • Typical price quote changed from 1.450 to 0.01450

South African Rand:

• RA futures
  • Settlement price decimal locator changed from 3 to 6
  • Contract value factor changed from 500 to 500,000
  • Typical price quote changed from 158.800 to 0.158800
• RA and 1N-5N options
  • Settlement price decimal locator changed from 3 to 6
  • Strike price decimal locator changed from 1 to 4
  • Contract value factor changed from 500 to 500,000
  • Typical strike price changed from 158.5 to 0.1585
  • Typical price quote changed from 1.730 to 0.017300

Swiss Franc:

• E1 futures
  • Settlement price decimal locator changed from 3 to 5
  • Contract value factor changed from 1,250 to 125,000
  • Typical price quote changed from 78.080 to 0.78080
• E1 and 1S-5S options
  • Settlement price decimal locator changed from 3 to 5
  • Strike price decimal locator changed from 1 to 3
  • Contract value factor changed from 1,250 to 125,000
  • Typical strike price changed from 78.5 to 0.785
  • Typical price quote changed from 1.230 to 0.01230