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Following Regular Month-End Procedure, CME To Settle Domestic Stock Indexes At Fair Value On Friday, March 30 - Index Products Will Close at 3:05 P.M.

Date 29/03/2001

Following its regular monthly procedures established in January, Chicago Mercantile Exchange Inc. (CME) will settle its domestic stock indexes to "fair value" on the last day of trading in the month, Friday, March 30.

CME will follow the same procedures it had been using for quarter-end fair value settlements since Dec. 29, 1999. .

On March 30 and the last day of trading every month, CME will close its domestic equity index futures contracts 10 minutes early and revise its daily settlement procedures to reflect a fair value settlement price. CME stock index futures and options will close at 3:05 p.m. (Central Time) at month’s end, 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. .

Following its normal procedure, 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.