CFM50520 - Derivative contracts: underlying subject matter: futures and options
CTA09/S583 sets out what is meant by the underlying subject matter (USM) of a relevant contract.
If the contract is an option, its USM is the property that would fall to be delivered if the option were exercised. The property does not have to be actually delivered.
If the contract is a future, its USM is the property which, if the future were to run to delivery, would fall to be delivered at the date and price agreed when the contract is made. Again, the property does not have to actually be delivered.
If you are dealing with a future or option, and the property that falls to be delivered is another derivative contract, the USM of the contract you are looking at is the subject matter of that other derivative contract.
There are examples at CFM50530.
If more than one sort of property falls to be delivered on maturity of the future or option, the derivative contract will have more than one USM.
The qualification that the USM of a future is the property whose price and delivery date is agreed at the outset of the contract means that something does not become the USM of a future just because it is handed over (or might be handed over) at the maturity of the contract. In the first example at CFM50530, the company receives cash in settlement of the sugar futures. This does not mean that cash is an USM of the contract. It is a means of payment. The same is true even if a company settles a contract by a payment in foreign currency, or even by handing over a parcel of bonds or shares to the value of the agreed price.