Clearing House Advisory Notice
To | Back Office Managers, Firm Personnel
From | Clearing House Department
Subject | Settlement of the July GSCI Contract
Effective Date | 07/30/03
Notice Number | 03-58
Please be advised that due to Live Cattle and Feeder Cattle contract limit moves today, the final settlement of the July 2003 Goldman Sachs Commodity Index (GSCI) will not occur today, July, 16, 2003. Under the terms of the GSCI contract, the Clearing House 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 July 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 July 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 will mark all July GSCI futures positions to an indicative market price of 233.70. If the Live Cattle and Feeder Cattle contract doesn�t settlement limit Thursday, the Exchange will calculate the final settlement for the July GSCI. Otherwise, the Clearing House will invoke the same set of procedures Thursday night as described above for tonight's settlement processing. Again, clearing members must maintain July 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.