Client Management Advisory Notice
From | Client Management/Clearing House
Subject | New S&P European Index Futures and Options Products Test Files Available - Update #5
Effective Date | 06/01/01
Notice Number | CM#0135
On June 21, 2001, CME and MEFF, the Spanish Futures and Options Exchange, jointly plan to introduce a new and innovative arrangement involving the new Standard & Poor's European Index futures and options contracts. Pending regulatory approval, CME member firms will be able to trade these products through MEFF S/Mart, MEFF S/Mart in Barcelona, Spain, and MEFF-enabled GL/Win terminals. In addition, CME member firms will be able to receive trades executed by MEFF firms and given up to them. All trades executed by CME member firms or received as give ups will be cleared through regular the CME through normal CME clearing processing. (Refer to the previous S&P Europe Notice 1-21, which can be found on the Client Management pages. The Products that will be traded at the launch are Commodity Code 02 - S&P Europe Telecom Commodity Code 03 - S&P Europe Information Technology Commodity Code 04 - S&P Europe Financial Commodity Code 05 - S&P Europe 350 CME Data File Testing � GUS and MQM TREX Sample GUS Routing and MQM TREX confirmation records containing MEFF and regular CME products, are now available. Test MQM TREX messages will be sent to the firm�s MQM test queues. Test GUS Daily Routing Files will be sent to the firm�s RJE queues with the Forms ID: GUST. Firms that are converted to IP and receive batch files via FTP will look for the dataset name: FXXXCMETESTDATA.GUST . For give-up trades coming from a MEFF firm, the GUS Routing File will contain the Exchange Code of "21" for MEFF, in positions 26-27 of the Main GUS Routing record. For S&P Europe trades that are cleared for CME member firms, the GLOBEX confirmation TREX records will contain the Exchange Code "21" for MEFF, in positions 35-39 of the Main TREX block. The Trade ID Source code (positions 146-148) will be GBX (for GLOBEX). S&P Europe products will appear in the CME's daily SPAN risk parameter files and settlement price files exactly as with any other product. Sample SPAN files with these products will be available shortly. There are no Trade Register Data File changes! Sample SPAN file containing MEFF S&P Euro products A sample SPAN risk parameter file containing data for MEFF S&P Euro products can be obtained from the CME FTP site on the Internet at ftp.cme.com. The file is contained inside the directory /pub/span/docs and is named cme-meff-sample-spanfile.zip. The SPAN file contained inside this ZIP file is for business date January 23, 2001, and is in the unpacked format. In addition to all of the CME products which were active on that date, the file contains sample data for three S&P Euro products: Commodity 01 -- the S&P Euro Index futures and options Commodity 03 -- the S&P Euro InfoTech Index futures and options Commodity 04 -- the S&P Euro Financial Index futures and options The SPAN 4 Organization Master File orgmast.exe contained at ftp.cme.com/pub/span/utils contains master records for these and other S&P Euro products. The futures are cash-settled index futures, settled in EUR, with a contract value factor of 20 and a settlement price decimal locator of 2. The options are European-style options on futures, settled in EUR, with a contract value factor of 20, a settlement price decimal locator of 2, a strike price decimal locator of 0, and a cabinet option value of 2.5. The performance bond requirements for these products are denominated in EUR. If you have any questions about the sample SPAN file, please contact Colvin Lam, (Clearing House) at 312-930-3090. To request the test GUS and MQM TREX files, complete the information as requested below and forward it to Client Management via e-mail or fax. If you have any questions, please contact Karen F. McCoy at (312) 930- 4524. Thank you!
Firm Name and Number:
Contact Name:
Requested Test Date:
Phone Number:
E-Mail Address:
Please send ____ Test GUS File ____Test MQM TREX messages
Firm RJE Address: (i.e., 123)
Firm MQM Queue (i.e., xx05)
Please fax the completed form to: Client Management (312) 930-8158, or cm@cme.com