CME Announces Special Daily Settlement Procedure, Early Close For Domestic Stock Index Products Dec. 31

. In addition, stock index futures and options will close at 12:05 p.m. (CST) on New Year's Eve, five minutes after the close of cash equity trading that day-instead of the usual 15 minutes after the cash markets' close. The special settlement procedure is being implemented in response to the confluence of special circumstances surrounding the stock market close on December 31. Cash equity markets will be closing early due to Y2K issues. This special settlement procedure is consistent with the recommendations of the Securities Industry Association Ad-Hoc Committee on Y2K Contingency Planning. All of the CME's domestic stock index futures and options will settle according to the special procedure on December 31, including the S&P 500, E-mini S&P 500, Nasdaq 100, E-mini Nasdaq 100, S&P/BARRA Growth, S&P/BARRA Value, S&P MidCap 400 and Russell 2000 indexes. Fair values will be determined by a survey of market participants conducted on the close by exchange staff. Settlement prices will be made available shortly after the close on that day. Fair value represents an "arbitrage free" level at which futures theoretically should be priced in relation to cash index values in the absence of transaction costs, although this is not necessarily the level where they will trade. Fair value is typically calculated as a function of the cash or spot index value plus financing charges less any dividends that would accrue with the purchase and carry of all index constituents until the final futures settlement date. Many financial news media regularly publish estimates of fair value for stock index futures contracts. The special daily settlement procedure will be implemented exclusively on December 31, 1999. Regular settlement procedures will be observed on all other trading days before and after that day. Regular floor trading hours for stock index futures and options on December 31 will be from 8:30 a.m. to 12:05 p.m. (CST); CME equity index futures and options markets will re-open on Sunday Jan. 2, 2000, at 5:30 p.m. on GLOBEX®2.