The Chicago Mercantile Exchange Inc. ("CME") is pleased to announce that on Thursday, June 21, 2001 it will clear S&P EUROPE 350TM and Sector Index futures, options on futures products. S&P Europe products will be denominated in Euro; this means that performance bond requirements will be defined in Euro, and that the settlement currency for these products will be the Euro. Please note that prior to the commencement of trading in S&P Europe futures and options on futures, firms must establish banking relationships with one of the CME's four designated settlement banks that are able to settle payments in Euro.

In order to help its clearing membership to better manage the costs associated with foreign exchange settlements, S&P Euro products will utilize the CME�s "Combined Cash Flow" procedures for foreign currency settlements. This procedure, which is described below, will dramatically save banking transaction costs for our clearing members. Please note that S&P Europe settlements will follow the value date convention of T+1 for settlements arising from the Intraday (ITD) cycle and T + 2 for settlements arising from the End of day cycle (RTH).

Attached for your convenience is literature pertaining to settlement processing for the new S&P Europe products as well as a Clearing House Foreign Exchange ("FX") schedule and deadlines summary that apply to the financial transactions that your firm might engage in.

With the launch of the S&P Europe products, the CME anticipates an increased need among its clearing members for processing foreign exchange transactions in Euro. The CME MoneyChanger service provides participating clearing members with free access to such foreign exchange transactions with settlement on a next day basis. Clearing members that have already executed MoneyChanger agreements with the CME need only ensure that standing funds transfer instructions ("set-ups") are in place for each currency to be eligible for executing FX trades in each such currency. A "CME MoneyChanger Service FX Funds Transfer / Account Set-Up Form" is attached and can be used to submit standing instructions. Clearing members who have yet to execute a MoneyChanger agreement should contact the Clearing House to obtain one.

Questions pertaining to any of the above can be directed to Marc Garcia, Financial Supervisor; at 312-930-2327.

FOREIGN CURRENCY-DENOMINATED S&P EUROPE 350TM FUTURES AND OPTIONS: SETTLEMENT MOVEMENTS

Bank Accounts

As the Clearing House will execute its daily mark-to-market and performance bond calculations for S&P Europe products Euro, clearing members must establish settlement accounts denominated in Euro. At the present time, the Clearing House has received commitments from four settlement banks (Bank One London, Harris Trust and Savings Bank, Chase London and Citibank London) to process settlement transactions in Euro. In order to operate in the non-dollar settlement environment, clearing members must establish accounts at a settlement bank, which supports non-dollar settlements. In addition, clearing members must indicate the Clearing House in writing the account numbers associated with the settlement accounts in each currency.

Timing of Settlement Variation

Intra-Day Settlements, �ITD�,(T+1) & End-of-Day Settlements, �RTH� (T+2)

Unlike settlements in most other foreign currencies at the CME, settlement (futures mark-to-market, options premium pass-through, and performance bond cash pay/collect transactions) will normally occur at ITD. The Clearing House will issue (and settlement banks will confirm) Euro-denominated settlement instructions at the ITD cycle. (Note: Settlement banks must confirm these instructions by no later than one hour immediately following the receipt of the settlement instructions for the ITD cycle). Settlement banks will then transfer the appropriate settlement values between settlement accounts on the next business day.

Under selected circumstances, firms may clear some trades after the ITD cycle that will result in cash flows that will settle on a T+2 basis. Settlement banks will confirm these settlement transactions at 6:40 am, the following business day.

Acceptable Collateral

The CME will accept all currently recognized collateral forms for the purposes of meeting performance bond requirements at both the clearing and individual account level, including the settlement currency (Euro). However, the Clearing House will call for all clearing level performance bond deficits in the form of U.S. dollars. For purposes of allocating performance bond assets to FX requirements, the Clearing House will employ the following hierarchy:

1. Foreign Currency.

2. Canadian government debt.

3. U.S. dollar denominated assets: letters of credit, government agencies, Treasury securities, IEF units, and cash.

The Clearing House will call for all clearing level performance bond deficits in the form of U.S. dollars.

Combined Cash Flow Procedures

The Clearing House will utilize its "Combined Cash Flow" processing methodology with respect to Euro settlement flows that result from the Euro settlement process:

There will be no automatic release of excess Euro cash performance bond. Bank fees will be imposed on clearing firms only if they request the release of excess Euro cash (which they can do at any time) for T+1.

Settlement variation "collects" (money due the clearing firm) will not be released automatically to the firm but will instead be credited to the firm's original performance bond account at the Clearing House (thereby eliminating transaction costs).

Settlement variation "pay" amounts denominated in Euro (money due from clearing firms) will first be compared to the amount of Euro original performance bond cash that the firm might have on deposit at the Clearing House. The Clearing House will debit the firm's Euro cash original performance bond account at the Clearing House for the amount required up to the full amount of Euro cash performance bond on deposit. Only a Euro-denominated settlement variation pay in an amount that is greater than the Euro foreign currency original performance bond cash on deposit will result in a settlement instruction to the bank for the residual amount.

The above process produces a dramatically smaller number of movements of cash into and out of clearing member accounts, which results in a savings of transaction costs.

CHICAGO MERCANTILE EXCHANGE INC.

Clearing House Department

(C.S.T.) DAILY FX SCHEDULE AND DEADLINES

6:40 a.m. Settlement confirmation deadline from Settlement Banks (for U.S. dollars and Euro).

10:30 a.m. Firm deadline to submit Euro cash withdrawal via C21. Euro cash withdrawals will be processed for next day value

1:30 p.m. Bank confirmation deadline for Euro cash deposits to the Clearing House \ as well as bank confirmation deadline to confirm USD settlement for T and Euro Settlements for T+1.

11:30 p.m. FX Performance Bond and Variation Settlement Reports transmitted to Banks for T+2. Position and SPAN Reports distributed to Firms.

Please contact Tim Golomb, 312/930-2327 for more information regarding settlement banks or Colvin Lam, 312/930-3090 for more S&P Euro product information.