Clearing House Advisory Notice
To | Back Office Managers Margin Managers Systems & Programming Managers
From | Risk Control Department
Subject | Minor Changes to CME's SPAN Files
Effective Date | 05/02/00
Notice Number | 00-39
This Friday, May 5th, the CME will make two minor changes to its daily SPAN files: Three new interexchange spread records will be added, between CME equity index products and corresponding products traded at AMEX. In particular, these are: (1) between CME S&P 500 and AMEX S&P 500 Depository Receipts (SPYDR's, code SPY); (2) between CME Midcap S&P 400 and AMEX S&P 400 Midcap Depository Receipts (code MDY); and (3) between CME Nasdaq 100 and Nasdaq 100 Index Tracking Stock (code QQQ). These interexchange spread records will be present in the file in addition to the interexchange spread between CME Eurodollars and LIFFE Euribor, which has been present since the launch on March 31st of the cross-margin agreement between CME and London Clearing House. The "type 9" records will again be present at the end of the file. These records, for futures-equivalent margining of positions in U.S. Treasury securities, had been present in the CME's SPAN file for more than a year, but were removed on March 14th. These changes should be completely transparent to member firm and service bureau bookkeeping systems. For member firms wishing to test, sample files with these changes for business day May 1st are available at ftp.cme.com/pub/span/docs/cme-testfiles-interex.zip. This ZIP file contains two SPAN files, one in the unpacked format and the other in the packed format. PC-SPAN users (for both version 3 and version 4) may wish to verify that their master files contain a record for AMEX, and if necessary to download the updated file from the CME's web site at SPAN User. For more information contact the Risk Control Department at (312) 648-3888.