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CME Domestic Stock Indexes To Settle At Fair Value, Close Early At End Of Quarter On Friday, Dec. 29

Date 27/12/2000

Following its regular quarter-end settlement procedure, Chicago Mercantile Exchange Inc. (CME) will close its domestic equity index futures contracts 10 minutes early at the end of the quarter, Friday, Dec. 29, and revise its daily settlement procedures to reflect a “fair value” settlement price.

CME stock index futures and options on that day will close at 3:05 p.m. (Central Time), five minutes after the close of cash equity trading—instead of the usual 15 minutes after the cash markets' close—in order to coordinate more closely with the close of index-related products on other exchanges.

All of CME's domestic stock index futures and options will settle according to the new procedure, including the S&P 500, E-mini S&P 500, Nasdaq 100, E-mini Nasdaq 100, S&P 500/BARRA Growth, S&P 500/BARRA Value, S&P MidCap 400, Russell 2000 and FORTUNE e-50™ indexes. While the Nikkei 225 will not be settled using this procedure, it will also close at 3:05 p.m.

Fair values will be determined by a survey of market participants conducted by exchange staff. Settlement prices will be made available shortly after the 3:15 p.m. sampling of cash index values. 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.

CME stock index futures and options will reopen for the New Year on the GLOBEX®2 electronic trading system at 5:30 a.m. on Tuesday, Jan. 2, 2001.