Clearing House Advisory Notices
To | Clearing Member Firms
From | Clearing House
Subject | Performance Bond Calculations for Eurodollar FRA Futures
Notice Date | 2004-04-22
Notice Number | 04-71
Effective Date |
As announced on April 20th in New Contract Notice #NP04-15 (see www.cme.com../files/NP0415-EurodollarFRA.pdf), CME will launch trading in Eurodollar FRA Futures on June 30th, pending regulatory approval. From the point of view of clearing and bookkeeping processing, these innovative new products are similar to normal Eurodollar futures, except that the expiration is specific to the day, and there will be daily expirations for sixty business days. This advisory provides details about calculating performance bond requirements in SPAN® for these products specifically, and for daily futures generically. For all other information about clearing and bookkeeping processing for daily futures, please see Clearing Advisory #04-42 published March 12th (at www.cme.com../files/CHAdv-0442.pdf). The key aspect of SPAN regarding daily futures is how the delta periods are defined. There are two alternative ways of doing this: to ignore the daily part of the contract period code and have delta periods only to the year and month, or to create delta periods specific to the year, month and day. The former is what most firm and service bureau systems do, and will require only minimal changes. The latter is the more correct way, but probably would require more work for many firm and service bureau systems. So that firms can begin trading Eurodollar FRA futures on June 30th with only minimal impact, we will define SPAN parameters for them so that identical results are achieved in either case. For the full text of this advisory ...