VOLUME 27 – BULLETIN #070
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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November 15, 2007
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SUBJECT:
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Chicago Climate Futures Exchange, Certified Emission Reduction Futures Options
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Chicago Climate Futures Exchange (CCFE), an all-electronic exchange, will trade the following future option contract that will be cleared by CCorp.
Exchange Code:
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03
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Commodity Code:
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WR
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Contract Size:
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One CCFE Certified Emission Reduction futures contract (of a specified contract month) of 1,000 Certified Emission Reductions (“CERs”)
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Quotation:
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U.S. Dollars / metric ton CO2
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Minimum Tick Increment:
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$0.01 per CER = $10.00 per contract.
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Strike Price Intervals
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Call and Put options based on twenty-five strike prices in the series will be listed at the introductions of the contract. Strike prices will be listed at $1 increments with 8 listed below the at the money strike price and 16 listed above the at the money strike price. Additional strikes will be listed on the trading day following the day a related futures contract settles for the first time above or below an existing option strike price.
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Contract Months
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At launch the December 08 will be listed. The exchange may list additional months.
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Trading Hours
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7:00 a.m. – 3:00 p.m. U.S. Central Time
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Last Trading Day:
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The last day of trading is the fifth business day prior to the expiration of the underlying CER futures
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Exercise
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European style. Option exercise results in an underlying futures position in the related contract month. Options in the money at the close on the last day of trading are automatically exercised unless the Clearing Participant instructs CCorp to do not exercise, Participants may also instruct CCorp to exercise an at the money or out of the money option. All special instructions must be entered by 5:00 p.m. Chicago time, all unexercised options will expire.
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Option Premium
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CCorp will collect the full option premium from the buying Clearing Participant and pay the full option premium to the selling Clearing Participant.
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Reportable Position Limits:
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25 contracts gross in each option.
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Nearby Expiration Month Speculative Position Limits:
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1,000 contracts.
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Trade Management:
MQM trade 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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