05/30/2003
The manner of determining settlement prices under Rule 6.52C is 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 includes one Exchange employee. The Exchange employee serves as a voting member of that Committee and also serves as the Chairman of the PJM Settlement Price Committee. Further, this Exchange employee has final authority in all instances to veto and override price determinations made by that Committee.
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.