TO:	ALL CLEARING PARTICIPANTS
FROM:	CLIENT SERVICES AND SUPPORT
DATE:	September 17, 2007
SUBJECT:	USFE Spot Equivalent Future Contracts

***Denotes updates.

The US Futures Exchange (USFE), an all electronic exchange will launch the following Spot Equivalent Future (SEF) Contracts.

SEF US Dollars per Australian Dollar
Exchange Code	03
Commodity Code	VA
Underlying:	Australian Dollar
Quotation:	AUD/USD
Contract Size:	50,000 AUD
Minimum Tick Size:	0.0001 = one pip
Outright Tick Value:	$5.00 USD
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

SEF US Dollar per British Pound
Exchange Code	03
Commodity Code	VB
Underlying:	British Pound
Quotation:	GBP/USD
Contract Size:	50,000 GBP
Minimum Tick Size:	0.0001 = one pip
Outright Tick Value:	$5.00 USD
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

SEF US Dollar per Euro
Exchange Code	03
Commodity Code	VE
Underlying:	Euro
Quotation:	EUR/USD
Contract Size:	50,000 EUR
Minimum Tick Size:	0.0001 = one pip
Outright Tick Value:	$5.00 USD
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

Please be aware, clearing participants trading in one of the following SEF contracts; VY, VS, and/or VC, must have an applicable Yen, Swiss Franc, and Canadian Dollar settlement account established with the Clearing Corporation. Should you have any questions regarding the establishment of foreign currency settlement accounts on the behalf of your firm, please contact your Client Services and Support Representative at (312) 786-5718.

SEF Japanese Yen per US Dollar
Exchange Code	03
Commodity Code	VY
Underlying:	US Dollars
Quotation:	USD/JPY
Contract Size:	50,000 USD
Minimum Tick Size:	0.01 = one pip
Outright Tick Value:	¥500 JPY
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

SEF Swiss Franc per US Dollar
Exchange Code	03
Commodity Code	VS
Underlying:	US Dollars
Quotation:	USD/CHF
Contract Size:	50,000 USD
Minimum Tick Size:	0.0001 = one pip
Outright Tick Value:	5.00 Swiss Francs
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

SEF Canadian Dollar per US Dollar
Exchange Code	03
Commodity Code	VC
Underlying:	US Dollars
Quotation:	USD/CAD
Contract Size:	50,000 USD
Minimum Tick Size:	0.0001 = one pip
Outright Tick Value:	$5.00 CAD
Block Trade	200 Contracts
Reportable Position	2000 Contracts
Position Limits/Accountability	25000 Contracts
Settlement	Cash Settled

Additional specifications applicable to each SEF contract are as follows:

Daily Settlement Price:	The 4:00PM Chicago Time spot price for the New York close. Contract carries a daily interest rate payment from the low interest currency to the high interest currency. This payment will be converted to US dollars using the closing price when applicable
*** Last Trading Day:***	*** Second Business Day prior to the delivery day, except for the SEF on Currency Futures whose Delivery Currency is U.S. dollars and the Pricing Currency is Canadian dollar; the last trading day shall be the Business Day immediately prior to the delivery day.***
Final Settlement Price:	Noon Fed Fix rate as defined at 11:00AM Chicago Time on the last trading day.
***Delivery Months:***	***Delivery month December 2011. Effective the first trading day of the expiration month, the next eligible expiration month shall automatically be listed for trading.***
*** Delivery Process:***	***Physical delivery will be made through the Continuous Link Settlement system (CLS). Open Positions for each contract (currency pair) for each Clearing Participant will be netted across origin.***
Trading Session:	5:00PM – 4:00PM Sunday evening through Friday, Chicago Time.
Final Settlement Time:	11:00AM Chicago Time.
EFP/EFS Details:	Available to all clearing members and non-clearing members and are subject to their Clearing Member’s and/or The Clearing Corporation’s rules.

Daily Cost to Carry Cash Interest Adjustments

In order to allow the SEF contracts to emulate the currency spot market, a cash interest adjustment will be calculated separately for each SEF currency pair which represents the cost to carry each outstanding SEF contract. This cash interest adjustment along with variation and margin will be calculated daily as part of CCorp’s end of day processing and applied to each participant holding an outstanding position in an SEF contract.

USFE will provide CCorp with the relevant daily settlement and interest rate information used to calculate the cash interest adjustment. CCorp in turn, will make reports and a data file available to it’s participants that will detail each firm’s outstanding SEF position and its applicable cash interest rate adjustment.

Report Name	Report ID	Report Description
USFE Spot Equivalent Futures Cash Adjustment on Positions Calculation Report	CLR00093	This report will provide information to each firm on the gross positions it holds in each SEF contract, by origin, along with the applicable cash interest adjustment per contract for both long and short, as well as the total adjustment amount for the firm’s gross position.
USFE Spot Equivalent Futures Cash Adjustment Rates	ISR00071	This report will provide a list cash interest adjustment rates applicable to each active SEF contract
Daily Trade and Position Register	CLR00234	This report will be modified to reflect the daily cash interest adjustments that are included as for those participants holding outstanding SEF positions.

Data File	File Type	Occurrence
CHPD.TR.UA.USFESADJ	Fixed Length Fields w/ Comma Separators	Daily

These reports and data file will assist firms in applying the appropriate cash interest adjustment to each if their individual clients that are holding open positions in a SEF contract. For additional information on the Cash Interest Adjustment Data File, please refer to Volume 27 – Bulletin #041.

Trade Management:

MQM add duplication messages will be sent to the Clearing Participants back office systems in the TREX record format. Clearing Participants may submit MQM change records to CCorp to change non-critical trade information, or mark a trade as a give-up. Clearing Participants can also mark trades as give ups via the CCorp Trade Management system. Current GAPI processing between CCorp and the Clearing Participant will be used.

Position Management:

Clearing Participants should submit open interest to CCorp, either by submitting an Open interest FTP file or using the web based Position Management System. Position Management also allows participants users to perform intra-day position adjustments and intra firm transfers. Listed below are the processes and availability.

Process	Application	Available	DUE
Final Open Interest File Due	FTP Put	Anytime during current business day	8:00 p.m.
Final Open Interest	Position Management	7:15 p.m.	8:00 p.m.
Online verification of final open interest	Position Management	7:15 p.m.	8:00 p.m.
Adjustments to final open interest	Position Management	After end of day final processing	10:00 a.m. next business day.
Position Adjustments	Position Management	10:15 a.m.	7:00 p.m.
Intra-firm position adjustments	Position management	After end of day final processing	7:00 p.m.

Validation of Final Open Interest:

Participants can only submit one final position record by origin for each valid contract that it is currently trading in and/or is holding positions in. CCorp will perform a maximum long and minimum long calculation for each final position reported. The calculation will be performed using the participant’s incoming prior day position, adjustments, current day’s buys, current day’s sells, transfers, exercises (if applicable), and deliveries (if applicable). If a participant’s submitted final position falls outside these calculated parameters, the final reported position will be in error. Participants have the opportunity to review and update errors prior to final processing, please refer to table above. If a firm fails to update an error, CCorp will adjust the final long position accordingly which will be as close as possible to the firm’s reported position using the current day’s activity. Furthermore, CCorp will assume any activity in a contract that a participant does not report a final position in to be adjusted as closing positions. Additionally, futures created form option assignments will also be considered closing positions.

Large Trader Reporting:

The Clearing Corporation (CCorp) will facilitate large trader reporting functionality for the US Futures Exchange.

Firms have the option of either submitting large trader information via an FTP put command, or entering their large trader data through the Exchange Reporting screens on the OTIS® system. Firms that will be submitting large trader positions via FTP should use the P6 record layout when reporting.

Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives: