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| GLOBEX
Advisory Notices
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| To |
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| From |
Chicago Mercantile Exchange |
| Subject |
X-Funds Index Futures on GLOBEX(R) |
| Notice Date |
2004-09-20 |
| Notice Number |
09202004-1 |
| Effective Date |
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Dear GLOBEX® Customers,
The new X-Funds Index futures contracts will be launching exclusively on GLOBEX October 4, 2004.
The X-funds products listed below are now available for testing in our certification environment. The first symbol available
in the certification environment is X1V401 (X-fund designer #1, expiring on October 1, 2004).
Please see below for more information on the X-funds.
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| CONTRACT NAME: |
X-Funds Index Futures (Up to 5) |
| LISTING DATE: |
October 4, 2004 |
| DESCRIPTION: |
X-funds are short-dated futures contracts that have a two-week life span. Each X-fund is comprised of underlying "components"
(contracts traded at Chicago Mercantile Exchange and Chicage Board of Trade), which may be either long or short. The X-funds
are designed and managed by Commodity Trading Advisors and individuals known as "fund designers". No actual positions are
taken in the individual components that comprise the X-funds. Also, positions in the X-funds must be re-established upon expiration,
as there is no automatic roll. CME will notify customers after 3:45 p.m. Central time (CT) each Thursday prior to the next
designated Monday trading session during which X-Funds will be available for a 2-week trading cycle.
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Because there will be more than one expiration within a given month, X-funds will be treated like "futures to the day" (analogous
to Eurodollar Forward Rate Agreement (FRA) futures). That is, each contract will be identified not only by the contract month
and year, but also by the specific day of the month on which it expires. The following table details how they will be identified: |
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| First Trade Date |
Last Trade Date and Expiration Date |
Clearing Code and "Contract Date" |
GLOBEX ID |
| October 4, 2004 |
October 15, 2004 |
X1 20041015
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X1V415
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| October 18, 2004 |
October 29, 2004 |
X1 20041029
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X1V429
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| November 1, 2004 |
November 12, 2004 |
X1 20041112
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X1X412
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| CONTRACT SIZE: |
$1,000.00 times the X-Funds Index |
| TRADING HOURS: |
10:00 a.m. CT on the first Monday that begins the 2-week trading cycle (or on the following business day, if Monday is a holiday),
to 3:15 p.m. CT; then 7:20 a.m. CT to 3:15 p.m. CT each day thereafter within the two-week trading cycle. (3:15 p.m. CT on
last trading day).
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| TRADING VENUE: |
GLOBEX only |
| VALID CONTRACTS: |
Bi-weekly contracts; there will be up to 26 contracts per year for each fund, but only one contract may be listed per fund
at any time.
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| COMMODITY CODE: |
X1 (for XFUND1), X2 (for XFUND2), X3 (for XFUND3), X4 (for XFUND4), and X5 (for XFUND5) |
| TICKER SYMBOL: |
X1 (for XFUND1), X2 (for XFUND2), X3 (for XFUND3), X4 (for XFUND4), and X5 (for XFUND5) |
| MINIMUM PRICE INTERVALS: |
0.10 Index Point |
| VALUE PER TICK: |
0.10 Point = $100.00 |
| TERMINATION OF TRADING: |
Trading shall terminate at 3:15 p.m. CT as specified at the commencement of trading in a particular X-Fund Index futures contract. |
| FINAL SETTLEMENT PRICE: |
All futures contracts remaining open at the termination of trading shall be settled using the X-Fund Index reported by the
CBOT for that contract period. The Final Settlement Price is calculated to .01 decimal places.
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| DELIVERY: |
Cash-settled to the X-Fund Index, published by the CBOT for that contract period. |
| POSITION LIMITS: |
1000 Contracts in any one X-fund |
| MINIMUM REPORTABLE LEVEL: |
25 contracts |
| CFTC REPORTABLE NUMBER: |
Contact Judy Sepsey, CFTC, or Maggie Sweet at 312.596.0609 |
| PERFORMANCE BOND REQUIREMENTS: |
To be published by the Clearing House |
| CLEARING FEES: |
To be published by the Audit Department |
| PRICE CONVENTIONS: |
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Trade Price |
| Actual Price |
108.60 |
| TREX/TES Format |
10860 |
| Unmatched Trade Notice |
10860 |
| Trade Register File |
10.860 |
| Settlement Price File |
10860 |
| SPAN File |
10860 |
| GLOBEX Price Entry |
10860 |
| GLOBEX Cabinet Price |
N/A |
| APS File Format |
10860 |
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FOR FURTHER INFORMATION, CONTACT:
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| cme.com Inquiries |
Customer Service |
(800) 331-3332 |
| General Information: |
Lisa Amato |
(312) 338-2654 |
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Steve Mazur |
(312) 930-2035 |
| GLOBEX Information: |
GLOBEX Control Center |
(312) 456-2391 |
| Performance Bond Information: |
Risk Management Dept. |
(312) 648-3888 |
| Position Limits: |
Ken Lovett |
(312) 930-3257 |
| Settlement/Delivery Information: |
Morgan Culverhouse |
(312) 930-2892 |
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Thank you,
Chicago Mercantile Exchange
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