Clearing House Advisory Notices
To | Clearing Member Firms and Back Office Managers
From | Clearing House Department
Subject | Important changes to CME-CBOT SPAN files effective February 4th
Notice Date | 2005-01-12
Notice Number | 05-09
Effective Date |
This advisory describes three small but important changes to the CME-CBOT SPAN files which will be effective beginning Friday February 4th. As described below, sample SPAN files with these changes are available in production every day. We strongly urge firms to verify that their bookkeeping systems will correctly process these files. The changes are: • For CBOT Fed Funds and CME Eurodollars and Live Cattle, a change on the type "S" record to specify that the weighted price risk should be calculated using the "cap at scanrange" method rather than the "set to scanrange" method. With this change, the same method will be used for all CBOT and CME products. • New fields at the end of the type "B" records for option series, which provide the price of the underlying future used to determine whether the options are in-the-money at expiration. These new fields will be useful because CME anticipates introducing options this year where this price is a special fixing of the underlying futures price and not the end-of-day settlement for that future. • Changes to record sort orders within blocks of records. We previously published that these latter two changes would be implemented on October 29th of last year, in Clearing Advisory 04-181 (10/12/2004). However, the changes were not actually implemented on that date. SPAN files with these enhancements are available on the Internet at: ftp.cme.com/pub/span/data/ccl/test These are actual CME-CBOT SPAN files, produced daily, as they will be in production beginning Friday, February 4th. Since SPAN files are critical to firm bookkeeping systems, we strongly recommend that firms and bookkeeping service providers test their systems using files from this special "test" directory, to make certain that they will not have any problems on February 4th. For the updated layout of the type "B" record in the expanded-format SPAN files, please see www.cme-ch.com/span/spanl31b.htm The XML-based CME-CBOT SPAN files have already been similarly enhanced - see the specification at www.cme-ch.com/span/span4_xml_index.htm For the full text of this advisory... For more information please contact the Clearing House Risk Department at 312-648-3888.