Clearing House Advisory Notice
From | Clearing House Department
Subject | Settlement of the May GSCI Contract (05/16/00)
Effective Date | 05/16/00
Notice Number | 00-40
Please be advised that due to a limit offer settlement in June 2000 Lean Hogs at the Chicago Mercantile Exchange, the final settlement of the May 2000 Goldman Sachs Commodity Index (GSCI) will not occur today. Under the terms of the GSCI contract, the Clearing House will not calculate a final settlement while any component contract settles to a limit price, for up to 10 days after the last day of trading. In the interim, clearing members, are advised not to delete May 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 May 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 May GSCI futures positions to an indicative market price of 223.52. If June Lean Hogs settles to a non-limit price Tuesday, the Exchange will calculate the final settlement for the May GSCI. Otherwise, the Clearing House will invoke the same set of procedures Tuesday night as described above for tonight's settlement processing. Again, clearing members must maintain May 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) 930-3185.