• Harmonization of CME Products for Processing True Cash Settled Options

      • To
      • Clearing Member Firms; Back Office Managers; Software Providers
      • From
      • CME Clearing
      • #
      • 11-11
      • Notice Date
      • 12 January 2011
      • Effective Date
      • 24 January 2011
    • Please be advised that effective Monday, January 24, 2011 with the migration of CME products to the new Positions system, CME Clearing will harmonize the processing of “true” cash settled options for CME products to be identical to that of current NYMEX cash settled options. This means that when the options are exercised or assigned, they simply generate a cash movement, rather than a transaction in their underlying product.
      The current list of cash settled options for CME products are a subset of weather asset class and include the binary hurricane, snowfall, and rainfall options which may be identified by a settlement method code of CASH in the SPAN® file. The list of product codes can be found at the end of the advisory.
      This change is now available for testing in our New Release environment. Firms may request test data in order to review the Clearing reports as well as the FIXML trade register. We encourage all firms to participate in testing. Please refer to Clearing House Advisory notice 09-346 for additional information (http://www.cmegroup.com/tools-information/lookups/advisories/clearing/ChAdv09346.html).
      If you have any questions or require further information please contact CME Clearing at 312-207-2525 or ccs@cmegroup.com.

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