Clearing House Advisory Notices
To | Clearing Member Firms; Back Office Managers; Delivery Personnel
From | Clearing House Department
Subject | Settlement of the June 2006 GSCI Contract
Notice Date | 2006-06-15
Notice Number | 06-151
Effective Date | 2006-06-15
Please be advised that due to the August Live Cattle contract limit move today, the final settlement of the June 2006 Goldman Sachs Commodity Index (GSCI) will not occur today. Under the terms of the GSCI contract, the Research Department will not calculate a final settlement if a component contract month’s settlement price on the day of regular calculation of the final settlement price is unavailable because of an unanticipated and/or unannounced closure of component contract market, then the price of such component contract to be used in calculating the final settlement price shall be next available official settlement Price. In the interim, clearing members are advised not to delete June GSCI futures and options positions from their bookkeeping systems, as they are still active contracts in the clearing system. Please note that although the contract does not as yet have a final settlement price, the June GSCI is no longer eligible for trading. The holders of long options positions may exercise these positions however; these options will not be marked to a final futures settlement price until it is derived. For the purposes of tonight's settlement processing the Clearing House Department will mark all June GSCI futures positions to an indicative market price of 463.40. If the Live Cattle contract does not settlement limit Friday, the Exchange will calculate the final settlement for the June GSCI. Otherwise, the Clearing House Department will invoke the same set of procedures Friday night as described above for tonight's settlement processing. Again, clearing members must maintain June GSCI futures and options on their books until the official final settlement is calculated. For more information, please contact the Clearing House Risk Unit, at (312) 648-3888, or the Deliveries Unit, at (312) 930-3172. Printer friendly version...