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VOLUME 28 – BULLETIN #030
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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May 1, 2008
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SUBJECT:
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Chicago Climate Futures Exchange, IFEX Event Linked Binary Futures U.S. Tropical Wind Events
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Chicago Climate Futures Exchange (CCFE), an all-electronic exchange, will add a second event to the current IFEX Event Linked Futures (“ELF”), contract that will be cleared by The Clearing Corporation (TCC). Listed below are the commodity codes, and a review of the contract specifications:
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Industry Loss Warranty Binary Futures U.S. Tropical Wind by Claim Event 2 IFEX
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Exchange Code:
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03
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Contract Size:
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$100 multiplied by the Event Claim Index.
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Quotation:
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U.S. Dollars
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Minimum Tick Increment:
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0.05 Event Claim index point per contract = $5.00 per contract.
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Minimum /Maximum Event Claim Index Range:
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-0- / 100
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Trading Hours:
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7:00 a.m. – 3:00 p.m. Chicago Time.
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Contract Listing Cycle:
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Minimum of two annual December contract series. Each contract will have a contract risk period of January 1 – December 31 of the contract year.
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Industry Loss Reporting Service:
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Property Claim Services (PCS).
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Covered Event:
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A ‘Covered Event’ will be deemed to have occurred with respect to any listed Loss Trigger Level when the Exchange confirms that on or before the Contract expiration for an Event Claim if:
(i) a final PCS Report has been issued which reports an Industry Loss Amount resulting from an Eligible Event in an amount equal to or in excess of the applicable Loss Trigger Level for such Event Claim; or if,
(ii) as of the Contract expiration a final PCS Report has not been issued with respect to an Eligible Event, the most recent interim PCS Report which has been issued indicates an Industry Loss Amount resulting from such Eligible Event in an amount equal to or in excess of the applicable Loss Trigger Level for an Event Claim.
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Last Trading Day:
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The scheduled last trading day for any listed contract is the last trading day of the 18th calendar month following the end of the Contract Risk Period for the listed contracts. CCFE may declare a Last Trading Day for a listed contract earlier than the scheduled Last Trading Day in circumstances, as specified by CCFE rules. |
Cash Settlement:
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Listed contracts are cash settled on the last trading day at an index of either 100, if an industry loss amount resulting from an eligible event in an amount equal to or in excess of an applicable loss trigger level for such event claim product, or 0.
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Reportable Position Limits:
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25 contracts
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Nearby Expiration Month Speculative Position Limits:
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4,000 contracts
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Month Year
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Contract / Loss Trigger
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Loss Period
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Commodity Code
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Dec 08
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Second Event – 10 Billion
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2008
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17
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Dec 08
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Second Event - 20 Billion
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2008
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18
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Dec 08
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Second Event – 30 Billion
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2008
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19
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Dec 08
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Second Event – 40 Billion
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2008
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20
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Dec 08
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Second Event – 50 Billion
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2008
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21
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Dec 09
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Second Event – 10 Billion
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2009
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17
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Dec 09
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Second Event - 20 Billion
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2009
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18
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Dec 09
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Second Event – 30 Billion
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2009
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19
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Dec 09
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Second Event – 40 Billion
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2009
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20
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Dec 09
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Second Event – 50 Billion
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2009
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21
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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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