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CME Revises Month-End Settlement For Equity Indexes, Returning To Regular 3:15 P.M. (Central Time) Close With 'Fair Value' Settlement

Date 15/11/2001

Chicago Mercantile Exchange Inc. (CME) will revise its month-end settlement procedures for equity index products beginning Nov. 30, returning the products to their normal daily closing time of 3:15 p.m. (Central Time). CME will continue to employ a "fair-value" settlement procedure for domestic equity index futures contracts on the last trading day of every month.

The revision, at the request of market participants, returns the close to the same time each day-15 minutes after the close of the cash market. The daily settlement prices for domestic stock index futures and options at the end of the month will be determined on the basis of their fair value relative to the daily close of the underlying cash index as reflected at 3:15 p.m. (Central Time).

All of CME's domestic stock index futures and options will continue to settle according to the month-end fair value procedure, 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, Russell 2000, E-mini Russell 2000 and FORTUNE e-50 indexes.

Fair values are determined by a survey of market participants conducted by exchange staff. Settlement prices are made available shortly after the close. 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.

Regular floor trading hours for stock index futures and options are from 8:30 a.m. to 3:15 p.m. (Central Time).