Client Management Advisory Notice
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From Client Management
Subject Daily Value Adjustment - TRAKRS
Effective Date 07/29/02
Notice Number NP#0191

The CME will launch trading in Long-Short Technology TRAKRSSM futures with a special opening procedure on Wednesday July 31st. Regular GLOBEX trading will start the following day, Thursday August 1st. See the CME Clearing House memo on TRAKRS Special Opening Procedures: http://cme.com/clr/advntc/clear_02-53.html)

For a CME clearing member firm interfacing with the CME clearing system, positions in TRAKRS behave like those of any other cash-settled future, except that there is a daily value adjustment cash flow. This cash flow is in addition to the normal mark-to-market amount, i.e., the settlement variation.

The daily value adjustment is also called simply the "daily adjustment", and can be thought of as approximating the financing cost associated with a daily roll-over of a spot obligation.

Obtaining TRAKRSSM Daily Adjustment History files

The Daily Adjustment Rates for these TRAKRS futures will be published in both the normal SPAN files (on a new "V" record type) and in the new Daily Adjustment History Files. The SPAN files will contain the Daily Adjustment rate for the current business date, while the Daily Adjustment History Files will contain both daily rates and cumulative rates for all business dates since the contract's launch.

The Daily Adjustment History Files will be provided in both (a) the standard positional format, and (b) an XML-based format.

Firms may obtain Daily Adjustment History Files either from their /Outgoing directory on the Firm FTP Server or from the CME's FTP Server on the Internet. Both files will be available between 4:00-5:00 pm (CDT). To request this file on the firm FTP server, you must contact Client Management at (312) 338 2088.

On the Firm FTP Server, these files will be named as follows:

Fxxx.CMEDATA.DAHIST for the standard positional format, and

Fxxx.CMEDATA.DAHIST.XML for the XML-based format

where xxx is the firm number.

On the Internet, the Daily Adjustment History Files will be available in:

ftp.cme.com/pub/span/data/cme/trakrs

The standard positional format file on July 31st will be named cme.20020731.s.trakrs.txt and will be contained inside a ZIP file named cme.20020731.s.trakrs.txt.zip.

 

The XML-based file on July 31st will analogously be named cme.20020731.s.trakrs.xml and will be contained inside a ZIP file named cme.20020731.s.trakrs.xml.zip.

For more information regarding the layout and usage of these files, and regarding TRAKRS generally, please see Clearing House Advisory No. 02-49, dated July 9, 2002, available at http://www.cme.com/products/index/trakrs.cfm.

To request routing of these files to your FTP server sub-directory, or if you have any questions, please contact Stacey Jurek (312) 338�2088 or Karen F. McCoy at (312) 930 4524.

Thank you.