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VOLUME 27 – BULLETIN #035
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 16, 2007
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SUBJECT:
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USFE ISE Index Future Contracts
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The US Futures Exchange, (USFE), an all electronic exchange, will launch the following International Securities Exchange (ISE) Index Future contracts. Contract specifications and trading information are detailed below.
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ISE Homebuilders Index Future: Index includes residential construction companies and prefabricated house manufacturers.
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Exchange Code
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03
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Commodity Code
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UB
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Underlying:
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ISE Homebuilders Index
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Quotation:
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Index Points
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Contract Size:
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$100 per index point
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Minimum Tick Size:
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0.05
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Minimum Calendar Spread Tick Size:
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0.01
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Outright Tick Value:
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$5.00
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Block Trade
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50 contracts
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Reportable Position
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200 contracts
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Position Limits/Accountability
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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 3:15 pm on the first business following the last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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ISE SINndex Future: SINndex includes owners and operators of casinos and gaming facilities, producers of beer and malt liquors, distillers, vintners and producers of other alcoholic beverages, and manufacturers of cigarettes and other tobacco products.
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Exchange Code
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03
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Commodity Code
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UI
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Underlying:
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ISE SINndex Index
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Quotation:
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Index Points
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Contract Size:
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$100 per index point
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Minimum Tick Size:
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0.05
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Minimum Calendar Spread Tick Size:
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0.01
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Outright Tick Value:
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$5.00
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Block Trade
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50 contracts
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Reportable Position
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200 contracts
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Position Limits/Accountability
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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 3:15 pm on the first business following the last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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ISE Water Index Future: Index includes companies engaged in water distribution, water filtration, flow technology, and other water solutions.
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Exchange Code
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03
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Commodity Code
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UW
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Underlying:
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ISE Water Index
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Quotation:
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Index Points
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Contract Size:
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$100 per index point
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Minimum Tick Size:
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0.05
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Minimum Calendar Spread Tick Size:
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0.01
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Outright Tick Value:
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$5.00
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Block Trade
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50 contracts
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Reportable Position
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200 contracts
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Position Limits/Accountability
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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 3:15 pm on the first business following the last trading day. CCorp will use this final settlement price to cash settle outstanding open positions held by participants.
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ISE Natural Gas Index Future: Index has been created to allow investors to quickly take advantage of both event-driven news and long term trends in the natural gas industry. The securities selected for the index derive a substantial portion of their revenues from the exploration and production of natural gas.
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Exchange Code
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03
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Commodity Code
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UG
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Underlying:
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ISE Natural Gas Index
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Quotation:
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Index Points
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Contract Size:
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$100 per index point
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Minimum Tick Size:
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0.05
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Minimum Calendar Spread Tick Size:
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0.01
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Outright Tick Value:
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$5.00
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Block Trade
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50 contracts
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Reportable Position
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200 contracts
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Position Limits/Accountability
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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 3:15 pm on the first business following the 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 ISE 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 settlement value is calculated using the opening (first) reported sales price in the primary market of each component stock on the last business day (usually a Friday) before the settlement date. If a stock in the index does not open on the day in which the settlement value is determined, the last reported sales price will be used in calculating the settlement value
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Final Settlement Time:
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3:15pm Chicago Time
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Fair Value Method:
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On the last business day of the month, 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 closing values of the component stocks and accounts for both the remaining time to final futures settlement and expected dividends. Screen Price 9999.95
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Delivery Months:
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Four consecutive contracts on a March quarterly cycle (March, June, September, and December).
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Last Trading Day:
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The last trading day is the third Friday of the month. Trading in the expiring contract ceases at 8:30 a.m. on
the third Friday of the expiration month.
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EFP/EFS Details
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N/A
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MQM Messaging
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.
USFE Open Interest Reporting
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 processes 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.
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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