Chicago Mercantile Exchange

Clearing House Advisory Notice

October 6,1999

99-91

TO: Clearing Member Firms

Attention: Chief Financial Officers

Back Office Managers

FROM: Clearing House Department

SUBJECT: CLEARING HOUSE HOLIDAY SCHEDULE – COLUMBUS DAY

TO: Clearing Member Firms

Attention: Chief Financial Officers

Back Office Managers

FROM: Clearing House Department

SUBJECT: CLEARING HOUSE HOLIDAY SCHEDULE – COLUMBUS DAY

Monday, October 11, 1999, U.S. Banks will be closed in observance of Columbus Day. The CME will be open on Monday, October 11, 1999.

# A. INTRA-DAY VARIATION AND PERFORMANCE BOND SCHEDULE

The Clearing House will not conduct an Intra-Day settlement cycle on Monday, October 11, 1999.

B. MONEY CHANGER DEADLINES /RATES

The CME MoneyChanger Service will be available until 11:59:54 a.m. on Friday, October 8, 1999. Any orders to buy or sell foreign currency entered after 12:00 p.m. Friday, October 8, and before 1:59:54 p.m. on Tuesday, October 12, 1999, will be executed on Tuesday, October 12, 1999, at rates of 2:00 p.m.

# C. MONEYCHANGER VALUE DATES

Due to the U.S. bank holiday effects on transaction processing, please note the following adjustments to the value dates for MoneyChanger transaction:

Trade Date Value Date

Friday, October 8, 1999 Tuesday, October 12, 1999

Monday, October 11, 1999, MoneyChanger is closed.

(OVER)

# D. DEPOSITS OF PERFORMANCE BOND COLLATERAL

The U.S. bank holiday will prevent the posting of transactions dated October 11, 1999. Due to the U.S. bank holiday clearing firms will be unable to deposit additional collateral or withdraw excess collateral.

# E. FOREIGN CURRENCY PERFORMANCE BOND CASH WITHDRAWALS

Due to the U.S. bank holiday’s effects on transaction processing, please note the following adjustments to value dates on foreign currency performance bond cash withdrawals:

Request Date Value Date

Friday, October 8, 1999 Tuesday, October 12, 1999

# F. FOREIGN CURRENCY SETTLEMENT VARIATION

Due to the U.S. bank holiday’s effects on transaction processing, please note the following adjustments to the value dates for foreign currency settlement variation.

Trade Date Value Date

Thursday, October 7, 1999 Tuesday, October 12, 1 999

Friday, October 8, 1999 Wednesday, October 13, 1 999

# G. A.M. SETTLEMENT CONFIRMATIONS

Although the U.S. banks are closed on Monday, October 11, 1999, your settlement bank will still provide an a.m. settlement confirmation for both U.S. dollar and foreign currency transactions by 6:40 a.m. on Monday, October 11, 1999. Payment for U.S. dollar settlement transactions from business as of Friday, October 8,1999, will occur on Tuesday, October 12, 1999. Payment for foreign currency settlement transactions from business as of Friday, October 8, 1999 will occur on Wednesday, October 13, 1999.

# H. INTEREST EARNING FACILITY (IEF)

Due to the U.S. bank holiday’s effect on transaction processing, please note the following adjustments to IEF processing schedules.

IEF settlement elections for the Friday, October 8, 1999, ITD cycle will be set to “zero” for all firms. Clearing firms IEF settlement elections will be re-enabled by the Clearing House, effective with the RTH cycle on Monday, October 11, 1999.

No IEF purchases/redemptions on Monday, October 11, 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.