Chicago Mercantile Exchange

Clearing House Advisory Notice

99-110

December 17, 1999

##

## IMPORTANT MEMORANDUM

TO: Clearing Member Firms

Attention: Chief Financial Officers

Back Office Managers

FROM: Clearing House Department

SUBJECT: CLEARING HOUSE HOLIDAY SCHEDULE – THURSDAY, DECEMBER 23, 1999 and FRIDAY, DECEMBER 24, 1999, CHRISTMAS EVE DAY

On Thursday, December 23, 1999 all agricultural and currency products will close at 12:00 noon. Interest rate products will close at 12:10 p.m. and equity products will close at their regular times.

All processing schedules for the Clearing House remain unchanged for Wednesday, December 23, 1999.

The CME will be closed for trading on Friday, December 24, 1999. However, U.S. banks are open on Friday, December 24, 1999. The Clearing House will be staffed on the morning of Friday, December 24, 1999 to facilitate banking and asset management processing. Please refer to the schedule below.

# A. INTRA-DAY VARIATION AND PERFORMANCE BOND SCHEDULE

The Clearing House will not conduct Intra-Day ("ITD") or End of Day ("RTH") settlement cycles on Friday, December 24, 1999.

Settlement variation and performance bond cash call/release amounts resulting from the Thursday, December 23, 1999 RTH settlement cycle will be confirmed by settlement banks by 6:40 a.m. on Friday, December 24th. Settlement banks will process cash flows resulting from Thursday's RTH settlement cycle on Friday, December 24, 1999.

B. CME-OCC CROSS MARGIN PROGRAM PROCESSING

Cross-margin firm pay/collect amounts resulting from the Thursday, December 23, 1999 RTH settlement cycle will be confirmed by settlement banks by 6:40 a.m. on Friday, December 24th. Settlement banks will process cross margin firm cash flows resulting from business cleared at the CME and at the OCC on Thursday, December 23, 1999 for settlement on Friday, December 24, 1999, as per normal.

# C. COMMON BANKING

Consistent with the deadlines in section G, firms participating in the CME/BOTCC common banking program will be able to process collateral deposit transactions on Friday, December 24, 1999. Firms participating in the CME/BOTCC common

banking program will also be able to process collateral release transactions per section G, but only for collateral previously allocated to the CME. Collateral reallocation transactions between the CME and BOTCC will not be processed on Friday, December 24, 1999.

# D. MONEYCHANGER VALUE DATES

Please note the following value dates for MoneyChanger transactions:

Trade Date Value Date

Thursday, December 23, 1999 Friday, December 24, 1999

Friday, December 24, 1999, MoneyChanger is closed.

# E. MONEYCHANGER DEADLINES/RATES

The CME MoneyChanger service will not be available on Friday, December 24, 1999. Any orders to buy or sell foreign currency entered after 12:00 noon Thursday, December 23rd and before 1:54:59 p.m. on Monday, December 27, 1999 will be executed on Monday, December 27, 1999, at rates of 2:00 p.m. on Monday, December 27, 1999.

# F. DEPOSITS OF PERFORMANCE BOND COLLATERAL

U.S. banks are open on Friday, December 24th. The bank confirmation deadline for clearing firms to receive same day performance bond credit for Treasury security deposits on Friday, December 24th is 10:00 a.m. CST. The deadline for clearing firms to submit Treasury security withdrawal instructions to the Clearing House for same day processing will be 9:30 a.m. CST. For purposes of the CME-OCC cross-margin program, the CME and the OCC will also support a 9:30 a.m. CST deadline for cross-margin firm submission of Treasury security deposit/withdrawal instructions.

# G. A.M. SUBMISSION DEADLINES FOR FRIDAY DECEMBER 24, 1999

9:00a.m. Clearing firm notification to banks of pending Treasury deposits

9:30a.m. Treasury, Foreign Currency, Stock or Letters of Credit deposit or withdrawal transactions must be submitted to the Clearing House via C21 or through submission of the appropriate form

10:00a.m. Bank confirmation to Clearing House

# H. FOREIGN CURRENCY PERFORMANCE BOND CASH WITHDRAWALS

Please note the following value dates on foreign currency performance bond cash withdrawals:

Request Date Value Date

Thursday, December 23, 1999 Friday, December 24, 1999

Friday, December 24, 1999 Monday, December 27, 1999

# I. FOREIGN CURRENCY SETTLEMENT VARIATION

Please note the following value dates for foreign currency settlement variation.

Trade Date Value Date

Wednesday, December 22, 1999 Friday, December 24, 1 999

Thursday, December 23, 1999 Monday, December 27, 1 999

Additionally please note the following value date adjustment for Japanese yen due to a Japanese banking holiday on Thursday December 23, 1999 in celebration of the Emperor's Birthday:

Trade Date Value Date

Tuesday, December 21, 1999 Friday, December 24, 1 999

# J. INTEREST EARNING FACILITY (IEF)

Please note the following adjustments to IEF processing.

IEF settlement elections for the RTH cycle on Thursday, December 23,1999, will be set to “zero” for all firms. Clearing Firm IEF settlement elections will be automatically reset by the Clearing House for the ITD settlement cycle on Monday, December 27,1999.

Clearing firms must submit IEF purchase or redemption transactions to the Clearing House by 10:00a.m. on Thursday, December 23, 1999

No IEF purchases / redemptions will be allowed on Friday, December 24, 1999.

# K. GLOBEX˛

GLOBEX˛ will close on Thursday, December 23,1999, at 3:15 p.m. Trades executed on GLOBEX˛ by 3:15p.m.on Thursday, December 23,1999 will follow normal settlement conventions, and be confirmed by settlement banks by 6:40a.m. Friday, December 24,1999.

# M. SIMEX

There will be AM and PM Inter-Exchange processing cycle on Thursday, December 23, 1999.

On Friday, December 24, 1999, there will be an AM Inter-Exchange cycle only. There will be no PM cycle. The deadline to submit trades to the AM Inter-Exchange processing cycle on December 24, 1999, is 7:30 a.m. Normal Inter-Exchange processing will resume on Monday, December 27, 1999.

N. SPAN Ň FILES

CME SPAN files will be produced on Thursday, December 23, 1999 as per normal. CME SPAN files will not be produced on Friday, December 24, 1999.

If you have questions on any of the above, please call Tim Golomb, Financial Manager, at (312) 930-3194, or Charlene Benodin, Financial Supervisor, at (312) 930-3165. Any questions regarding SIMEX processing schedules may be directed to Mark Cox, Clearing Operations Analyst, and (312) 648-8699.