04/08/2003
The manner of determining settlement prices under new Rule 6.52C will be comparable to that used for other Exchange futures contracts except that:
(a) strips as well as spreads will be recognized for settlement purposes for this PJM contract; and
(b) the minimum number of PJM monthly contracts needed (for best bids and offers to be represented in the settlement process) will be 20 outrights, strips or spreads.
The Settlement Committee will include one Exchange employee. The Exchange employee will serve as a voting member of that Committee and also serve as the Chairman of the PJM Settlement Price Committee. Further, this Exchange employee will have final authority in all instances to veto and to override price determinations made by that Committee.
Rule 6.51 "Settlement Price Committee"
(A) Except as provided in Subsection (B) below, the Settlement Price Committee, which shall be a Regular Committee, shall consist of such members or permittees as the Chairman shall appoint with the consent of the Board. The Committee shall be divided into sub-committees for each futures and options contract traded. To the extent possible, each sub-committee shall consist of at least three (3) Members, at least one of whom shall be a Floor Broker, one of whom shall be a Floor Trader, and one of whom shall represent trade interests (either personal, of his employer, or of a substantial customer base). In addition, the President shall designate a staff member for each commodity, except natural gas, who shall assist the Committee in gathering information relevant to the establishment of settlement prices and who shall be responsible to assure that written records of the settlement process are prepared, in accordance with the Rules. On any day on which there is insufficient representation of any group on a subcommittee, the Chairman or a Vice Chairman of the Settlement Committee, or their designee, shall supervise the settlement price determination for that contract.
(B)(1) For crude oil, heating oil, gasoline futures contracts and for all option contracts, the Settlement Price Committee shall consist of such Members or Non-Member representatives of Member Firms, such as Member Firm employees, as the Chairman shall appoint with the consent of the Board provided further. For the coal futures contract, the Settlement Price Committee shall also consist of representatives of Non-Member Firms. For the PJM electricity futures contract, the Settlement Price Committee also shall consist of representatives of Non-Member Firms and additionally shall include one (1) Exchange employee dedicated to service as a voting member on this committee.
(1) Futures and Option Contracts Traded Solely on the Trading Floor or Traded on the Trading Floor and on (as applicable) NYMEX ACCESS® or NYMEX ClearPortsm Trading. For each such futures and option contract, to the extent possible, each sub-committee shall consist of at least six (6) Committee members who shall be designated by the Chairman of the Committee to establish settlement prices for such contract and of whom at least three of the six Committee members shall be Floor traders and three shall represent trade or other off-the-floor customer interests except that the PJM Electricity Settlement Committee additionally shall include one Exchange employee. Finally, in any case in which the Committee members designated by the Chairman to establish settlement prices are unable to do so by agreement of a majority, the Chairman or a Vice Chairman of the Settlement Price Committee, or their designee, shall have the authority to establish such settlement price. Notwithstanding the above, with respect to the PJM Electricity Settlement Committee, the Exchange employee serving as a voting member of that committee also shall serve as the Chairman of the PJM Settlement Price Committee and further shall have final authority in all instances to veto and to override price determinations made by that committee.
(2) Futures and Option Contracts Traded Solely on NYMEX ACCESS®. For each such futures and option contract, to the extent possible, each sub-committee shall consist of at least three (3) Committee members who shall be designated by the Chairman of the Committee to establish settlement prices for such contract and of whom at least two of the three Committee members shall be Electronic Traders and one shall represent trade or other off-the-floor customer interests. Finally, in any case in which the three Committee members designated by the Chairman to establish settlement prices are unable to do so by agreement of a majority, the Chairman or a Vice Chairman of the Settlement Price Committee, or their designee, shall have the authority to establish such settlement price.
(C) At the conclusion of the RTH trading session on the Exchange Floor each day, settlement prices shall be determined for every contract listed.
(D) The Settlement Price Committee, or any subcommittee thereof, shall have the authority to request from any member representing that certain market information should be considered in the determination of a settlement price, such documentation as it deems appropriate including, but not limited to, trading cards and order tickets.
Rule 6.52C "Settlement Prices for PJM Electricity Monthly Futures Contract"
(A) For each PJM Electricity Monthly futures contract, the settlement price for each delivery month that: (1) as of the opening of business for that day has more than ten percent (10%) of the total open interest for all delivery months of the futures contract and (2) for which 10% of the closing range volume in that commodity is done in that delivery month (excluding, for the purposes of this calculation volume done during the closing range on the last day of trading in an expiring contract), shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions in that delivery month which occur in the closing range.
(B) In all other delivery months for such futures contracts that do not satisfy the open interest and volume criteria set forth in paragraph (A), the settlement price shall be determined based upon spread relationships between and among contract months, which relationships shall be determined in the judgment of the Settlement Price Committee with: (a) greatest weight given to spreads or strips executed late in the trading day in large volumes, and (b) lesser weight given to (i) spreads or strips traded in lesser volumes, (ii) spread or strip bids and offers actively represented late in the trading day, and (iii) spread or strip transactions, bids and offers from earlier in the trading day. Notwithstanding the foregoing, no settlement price shall be established that would be lower than the best bid, or higher than the best offer that: (a) was for at least 20 contracts for outrights or 20 contracts for spreads, and (b) had been posted with the Exchange and remained available for execution and unfilled for the final twenty (20) minutes of trading.
(C) If any settlement price, determined pursuant to paragraphs (A) or (B), is inconsistent with transactions that occurred during the closing range in other delivery months of the same futures contract or with market information known to the Settlement Price Committee, (including, but not limited to, (i) bids or offers for outright transactions and spreads that were unfilled during the closing range, (ii) bids, offers or transactions in strips, and (iii) outright transactions executed prior to the closing range) the Committee may establish a settlement price at a level consistent with such other transactions or market information. In such event the Committee shall prepare a written record of the basis for any settlement price so established.
Please call David Schneiderman, Director Trade Practice Surveillance at (212) 299-2857, Nancy Minett, Vice President Compliance, at (212) 299-2940, or Thomas LaSala, Senior Vice President, Compliance and Risk Management at (212) 288-2897 if you have any questions.