Chicago Mercantile Exchange

Clearing House Advisory Notice

99-98

November 8, 1999

TO: Clearing Member Firms

Attention: Chief Financial Officers

Back Office Managers

FROM: Clearing House Department

SUBJECT: CLEARING HOUSE HOLIDAY SCHEDULE – VETERANS DAY

Thursday, November 11, 1999, U.S. Banks will be closed in observance of Veterans Day. The CME will be open on Thursday, November 11, 1999.

# A. INTRA-DAY VARIATION AND PERFORMANCE BOND SCHEDULE

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

B. MONEY CHANGER DEADLINES /RATES

Any orders to buy or sell foreign currency entered after 1:54:59 p.m. on Wednesday, November 10, and before 1:54:59 p.m. on Friday, November 12, 1999, will be executed on Friday, November 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

Wednesday, November 10, 1999 Friday, November 12, 1999

Thursday, November 11, 1999, MoneyChanger is closed.

(OVER)

# D. DEPOSITS OF PERFORMANCE BOND COLLATERAL

The U.S. bank holiday will prevent the posting of transactions dated November 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

Wednesday, November 10, 1999 Friday, November 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

Tuesday, November 9, 1999 Friday, November 12, 1 999

Wednesday, November 10, 1999 Monday, November 15, 1 999

# G. A.M. SETTLEMENT CONFIRMATIONS

Although the U.S. banks are closed on Thursday, November 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 Thursday, November 11, 1999. Payment for U.S. dollar settlement transactions from business as of Wednesday, November 10,1999, will occur on Friday, November 12, 1999. Payment for foreign currency settlement transactions from business as of Wednesday, November 10, 1999 will occur on Monday, November 15, 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 Wednesday, November 10, 1999, RTH 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 Thursday, November 11, 1999.

No IEF purchases/redemptions at ITD on Thursday, November 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.