Effective Sunday, August 12, 2001, for the GLOBEX2 trade date of Monday, August 13, 2001, CME listed four consecutive March quarterly Australian Dollar versus Canadian Dollar futures spreads for trading on GLOBEX2 as follows (CME already lists four consecutive March quarterly Australian Dollar versus New Zealand Dollar futures spreads on GLOBEX2):

Australian Dollar (6A) versus Canadian Dollar (6C) Futures Inter-Currency Spreads

Quarter 1 versus Quarter 1; currently, 6A September 2001 vs. 6C September 2001 (6AU1-6CU1)
Quarter 2 versus Quarter 2; currently, 6A December 2001 vs. 6C December 2001 (6AZ1-6CZ1)
Quarter 3 versus Quarter 3; currently, 6A March 2002 vs. 6C March 2002 (6AH2-6CH2)
Quarter 4 versus Quarter 4; currently, 6A June 2002 vs. 6C June 2002 (6AM2-6CM2)

Please note that all of these individual months are currently listed for trading on GLOBEX2 for Australian Dollar and Canadian Dollar futures. CME lists the nearest six quarterly months on GLOBEX2 and only four of these are now used for the inter-currency spreads.

Deactivation of Expiring Nearby Spreads at Termination and Activation of New 4th Quarterly Spreads at Rollover

Deactivation of the expiring nearby Australian Dollar vs. Canadian Dollar futures spreads and activation of the new 4th quarterly spreads will be handled slightly differently than the Australian Dollar versus New Zealand Dollar futures spreads traded on GLOBEX2. Please note that Australian Dollar futures and Canadian Dollar futures have different termination dates (unlike the Australian Dollar futures and New Zealand Dollar futures which have the same termination dates)-- Australian Dollar futures terminate on 2nd business day preceding the 3rd Wednesday (usually, Monday) of the contract month, and Canadian Dollar futures terminate on the 1st business day preceding the 3rd Wednesday (usually, Tuesday) of the contract month. Listing these Australian Dollar vs. Canadian Dollar futures spreads on GLOBEX2 are straightforward, because CME lists only four quarterly spreads, and six individual contract months are currently listed for each currency. However, deactivating the nearby Australian Dollar Quarter 1 vs. Canadian Dollar Quarter 1 futures spread will occur when the nearby Australian Dollar futures contract terminates on Monday at 9:16 AM. Then the new 4th quarter Australian Dollar vs. Canadian Dollar futures spread will be listed at 4:30 PM on the afternoon of the Tuesday termination of the nearby Canadian Dollar futures contract for the GLOBEX2 trade date of Wednesday (e.g., the former Quarter 5 September 2002 contract months become listed for spread trading on GLOBEX2 as the new Quarter 4 contract months at 4:30 PM on Tuesday, September 18, 2001, for the GLOBEX2 trade date of Wednesday, September 19, 2001).

If you have any questions, please call the GCC at 312-456-2391 option 2, or Mr. Bryan Hunter, Director, Currency Products, at (312) 466-7488, or Mr. Steven Youngren, Associate Director, Financial Product Development, at (312) 930-4583.