Clearing House Advisory Notice
Subject | GSCI Interexchange Spread Record
Effective Date | 11/16/00
Notice Number | 00-83
NEW INTEREXCHANGE SPREAD CREDIT RECORD TO BE INCLUDED IN DAILY SPAN� FILES BEGINNING WEDNESDAY NOVEMBER 22ND On Wednesday, November 22nd, the CME will begin including in its daily SPAN files a new "GSCI" interexchange spread record. The new record corresponds to the spread between offsetting positions in the CME's Goldman Sachs Commodity Index futures and options, on the one hand, and positions in the basket of physical products comprising the index, on the other hand. The new interexchange spread record will define a spread between the CME's GI combined commodity and a GI combined commodity for a hypothetical "GI" exchange. Sample SPAN files with the new interexchange spread record may be obtained at ftp.cme.com/pub/span/data/cme. For a file in the unpacked format, download cme-test-parfile-with-gi.zip. For a file in the packed format, download cme-test-pckfile-with-gi.zip. Inside each zipfile you will find cme1114s.par and cme1114s.pck, respectively. PC-SPAN� users who use the CME's SPAN file(s) should update their PC-SPAN master files for this new exchange, either by manually entering the needed records, or by downloading the updated master files from the Internet. If you do not do this maintenance and you are using the new Windows-based PC-SPAN version 4, a warning message will display that the "GI" exchange has not been found, but there will be no other effect. You will be able to continue using the program as before. Beginning Nov. 22nd, if you are still using the old DOS-based PC-SPAN version 3, you MUST do this maintenance in order to continue using the program for the CME. If you do not do this maintenance, loading of CME SPAN files will abort. To download updated PC-SPAN master files and instructions on manually updating the master files, see SPAN User. For more information, please contact the Risk Department at 312-648-3888.