Clearing House Advisory Notice
To | Back Office Managers, Margin Managers
From | Clearing House
Subject | MEFF Products & CME SPAN� Files
Effective Date | 06/15/01
Notice Number | 01-47
Beginning Monday June 18th, the CME's daily SPAN risk parameter files will include sample data for the new MEFF Standard & Poor's European Index futures and options contracts. These contracts will not begin actual trading until Thursday June 21st, but sample data will be available in the CME's actual daily SPAN files beginning Monday. A sample CME SPAN file with these products is also available on the CME's FTP site at ftp.cme.com/pub/span/docs. The file is available as cme-meff-sample-spanfile.zip and, for those who may have older versions of unzipping software which can only handle 8-byte filenames, it is also available as cmemeff.zip. This sample file is for business date January 23rd. The specific products for which data will be included beginning Monday are futures and options on:
Ticker Code | Clearing Code | Product Description
SE | 05 | S&P Europe 350
ST | 02 | S&P Europe Telecommunications
SI | 03 | S&P Europe Information Technology
SF | 04 | S&P Europe Financials
All of these products will be margined and settled in Euro's (EUR). All have a contract value factor of 20, a settlement price decimal locator of 2, a strike price decimal locator of 0, and a cabinet option value of 2.50. For more information contact Colvin Lam, 312-930-3090.