United States: CME lean hogs alternative final settlement methodology

In recent public notices, the CME Group has informed the market of its inability to calculate the Lean Hog Index which is used to determine final settlement value of Lean Hog futures contracts due to the shutdown of USDA’s Agricultural Marketing Service website used to report cash price information. Under CME Rule 701 (Declaration of Force Majeure), the CME Group is authorized to change final settlement procedures for currently listed contracts. Accordingly, the October 2013 Lean Hog futures and options contracts’ final settlement will follow the methods detailed below.

• In the event that USDA price reporting of the relevant data is available for both October 11 and 14 by October 15, 2013, then that data will be used to determine the final settlement price for October 2013 futures and options contracts, pursuant to the current methodology for calculating the CME Lean Hog Index.
• If USDA price reporting of the relevant data is not available for both October 11 and 14 by October 15, 2013, then final settlement for October 2013 Lean Hog futures and options contracts will be calculated by using the volume weighted average price of the October 2013 futures contract for trades occurring during the 2-day period of October 11 and 14, 2013, incorporating both Floor-based and Globex-based trading activity during Regular Trading Hours only (9:05 a.m. to 1:00 p.m. on October 11 and 9:05 a.m. to 12:00 noon on October 14). The alternate final settlement price will be applied to any open positions in October 2013 futures and options on the normally scheduled date of October 16, 2013.