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VOLUME 27 – BULLETIN #032
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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August 13, 2007
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SUBJECT:
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USFE NORDIX Financial Wind Index Contracts
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The US Futures Exchange, (USFE), an all electronic exchange, will launch the following NORDIX Financial Wind Index contracts. Contract specifications and trading information are detailed below.
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NORDIX Financial Wind Index – New York Region 1
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Exchange Code
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03
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Commodity Code
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N1
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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NORDIX Financial Wind Index – New York Region 2
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Exchange Code
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03
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Commodity Code
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N2
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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NORDIX Financial Wind Index – Texas Region 1
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Exchange Code
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03
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Commodity Code
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N3
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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NORDIX Financial Wind Index – Texas Region 2
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Exchange Code
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03
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Commodity Code
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N4
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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NORDIX Financial Wind Index – Texas Region 3
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Exchange Code
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03
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Commodity Code
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N5
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants..
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NORDIX Financial Wind Index – Texas Region 4
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Exchange Code
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03
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Commodity Code
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N6
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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NORDIX Financial Wind Index – Texas Region 5
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Exchange Code
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03
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Commodity Code
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N7
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Underlying:
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NORDIX Financial Wind Variability Index
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Quotation:
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Index Points
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Contract Size:
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$500 USD per index point
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Minimum Tick Size:
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0.01
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Minimum Calendar Spread Tick Size:
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None
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Outright Tick Value:
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$5.00
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Block Trade
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10 Contracts
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Reportable Position
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25 Contracts
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Position Limit
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25,000 Contracts
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Final Settlement
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The final settlement price will be determined and posted by USFE at 8:30 am on the first business following last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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Additional specifications applicable to each NORDIX Financial Wind Index contracts are as follows:
Daily Settlement Price:
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Based on trading conditions at close or a fair value calculation
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Final Settlement Price Determination:
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The final settlement price is based on the sum of daily deviations from the daily twenty year averages in wind speed over the month.
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Final Settlement Time:
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2:00 pm Chicago Time
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Trading Hours (CT)
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9:15 am to 2:00 pm Chicago Time
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Fair Value Method:
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The exchange will use a fair value calculation of the index futures as the settlement price of the next futures contract to expire instead of the normally calculated daily settlement price. The fair value calculation is based on the sum of daily deviations from the daily twenty year averages in wind speed over the month so far and accounts for the remaining time to final futures settlement.
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Delivery Months:
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One contract every month for twelve consecutive months.
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Last Trading Day:
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Last business day of the month.
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EFP/EFS Details
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N/A
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MQM Messaging
Firms will receive trade confirmations as well as Give-Up confirmations and/or duplications via MQM.
USFE Open Interest Reporting
USFE participants will submit open interest to The Clearing Corporation (CCorp) using the current convention for USFE. Participants will have the ability to submit USFE final open interest via FTP using the Open Interest Position Record Layout or through CCorp’s Position Management user interface (UI). Additionally, USFE participants will also have the ability to verify the accuracy of their open interest adjustments and make applicable updates using the Position Management UI prior to the 10:00 AM next business day deadline. Please contact your CSS representative should you need additional information regarding open interest reporting.
USFE 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. Please contact your CSS representative should you need additional information regarding large trader reporting.
Should you have any questions, please call or e-mail one of the following Client Services and Support Representatives:
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