Clearing House Advisory Notices
To | Clearing Member Firms, Back Office Managers, Systems & Programming Managers
From | Clearing House Department
Subject | Daily Futures Expirations -- to be launched in June, 2004
Notice Date | 2004-03-12
Notice Number | 04-42
Effective Date |
In June of last year, CME announced plans to introduce futures contracts with expirations specific to the day, also known as daily futures contracts. We are now planning to introduce the first of these contracts in late June, 2004. This advisory: explains how, from a clearing and bookkeeping point of view, these contracts are like any other listed futures contract, except that the expiration is specific to the day describes the testing opportunities we will make available for firms to verify that their bookkeeping systems can support these contracts. details where to obtain test SPAN files, settlement price files, TREX messages and Trade Register datafiles enumerates how the expiration specific to the day is provided, in TREX messages and other data formats such as SPAN files and settlement price files describes how performance bond requirements are calculated for these contracts in SPAN®. For the full text of this advisory ...