VOLUME 27 – BULLETIN #052
TO:
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ALL CLEARING PARTICIPANTS
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FROM:
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CLIENT SERVICES AND SUPPORT
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DATE:
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September 20, 2007
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SUBJECT:
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Chicago Climate Exchange, European Carbon Financial Instrument Futures (ECFI)
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Chicago Climate Exchange (CCX), an all-electronic exchange, will trade the following futures contract that will be cleared by CCorp.
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European Carbon Financial Instrument Futures (ECFI)
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Exchange Code:
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03
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Commodity Code:
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KE
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Contract Size:
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1,000 European Union carbon dioxide emission allowances. Each emission allowance is an entitlement to emit one metric ton of carbon dioxide gas under the European Union Emissions Trading Scheme.
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Quotation
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U.S. Dollars
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Minimum Tick Increment
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$0.01 per ton = $10
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Deliverable Instruments
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Cash Settled
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Trading Hours
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7:00 a.m. – 3:00 p.m. Chicago time
7:00 a.m. – 11:00 a.m. Chicago time on last trading day.
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First Trading Day
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The first trading day of a standard cycle contract is the first business day following an expiration day of standard cycle contract.
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Last Trading Day
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The last trading day of a contract is the last Monday of the contract month. When the last Monday falls on a non-business day, the last trading day shall be the prior Monday of the expiration month.
Trading will cease at 11:00 a.m. Chicago time (17:00 London time) on the last trading day.
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Final Settlement Price
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Final settlement price is the US dollar value (rounded to the nearest $0.01) of the final settlement price on the corresponding ICE Futures Exchange ICE – ECX CFI futures contract. The Federal Reserve Bank of New York’s 12:00 p.m. ET buying rate for the Euro/U.S. Dollar will be used to convert the ICE Futures Exchange’s settlement price to US dollar value.
For expiring contracts for which there is no corresponding expiring contract on the ICE Futures, CCFE will use the daily settlement price of the front month ICE Futures ECX CFI futures contract as a basis for determining the final settlement price.
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Contract Months:
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Standard cycle contract listings:
• Six consecutive quarterly contracts on a March, June, September, December cycle
• Front two serial calendar months
• Annual December contracts through 2012 |
Reportable Position Limits:
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25 contracts
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Nearby Expiration Month Speculative Position Limits:
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5,000 contracts
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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. Below are the process and availability.
Process
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Application
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Available
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DUE
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Final Open Interest File Due
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FTP Put
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Anytime during current business day
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8;00 p.m.
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Final Open Interest
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Position Management
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7:15 p.m.
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8:00 p.m.
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Online verification of final open interest
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Position Management
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7;15 p.m.
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8;00 p.m.
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Adjustments to final open interest
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Position Management
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After end of day final processing
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10;00 a.m. next business day.
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Position Adjustments
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Position Management
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10;15 a.m.
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7;00 p.m.
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Intra-firm position adjustments
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Position management
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After end of day final processing
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7;00 p.m.
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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 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 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 will be adjusted as closing positions. Additionally, futures created form option assignments will be considered closing positions.
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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