Notice to Members
Notice No. 98 02/21/2006
Amendments to COMEX Division Rule 104.94
COMEX Division Rule 104.94, Settlement Price Procedures for Copper Contracts, has been amended to revise the hierarchy of factors to be considered and modify the procedures for determining the settlement price for spot month copper. The amendments have been approved by the Board of Governors at its February 2006 meeting, and will be effective on Tuesday, February 21, 2006, * * * * Proposed Rule Amendment (Bold/Italics indicates additions; Bold/Strikethroughs indicate deletions.) COMEX Rule 104.94 Settlement Price Procedures for Copper Contracts (A)(i) The term "base month" shall mean the March, May, July, September and December delivery months; (ii) the term "most active month" with respect to this Rule and the Rules in Chapters 111 and 117 shall mean the base month that is not the current delivery month, with the greatest reported open interest on the official COMEX daily open interest report. (B) The settlement price for the current delivery month shall be comprised of the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions that occur in the closing range combined with the weighted average price of all spreads executed between the current delivery month and the most active month and all spread bids and offers between the current delivery month and the most active month actively represented during the final 30 minutes of trading. If no outright transactions occur in the closing range or no spreads are executed or there are no spread bids and offers actively represented during the final 30 minutes of trading in the current delivery month, the settlement price shall be the last trade price, unless during the closing range a bid higher or offer lower than the last trade price is made. In such event, such higher bid or lower offer shall be the settlement price. during the final 30 minutes of trading in the current delivery month, or, if in the opinion of the Settlement Committee, the settlement price determined is inconsistent with value indicated by other spread relationships established during the last thirty minutes of trading, the spread relationships occurring within the last thirty minutes, between and among contract months from the current delivery month to the most active month, shall be utilized by the Settlement Committee in their best judgment to establish a settlement price at a level consistent with such other transactions or market information, with greater weight given to the weighted average of executed spread trades, and lesser weight given to the implied midpoint of spread bids and offers actively represented during the final 30 minute period of trading. In such event, the Committee shall prepare a written record of the basis for any settlement price so established. (C) The settlement price for the most active month shall be the weighted average price (rounded to the nearest minimum fluctuation) of all outright transactions that occur in the closing range. If no outright transactions occur in the closing range of the most active month, the settlement price shall be the last trade price, unless during the closing range a bid higher or offer lower than the last trade price is made. In such event, such higher bid or lower offer shall be the settlement price. (D) In all other delivery months, the settlement prices 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) greater weight given to spreads executed later in the trading day in large volumes, and (b) lesser weight given to (i) spreads traded in lesser volumes, (ii) spread bids and offers actively represented later in the trading day, and (iii) spread 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 outright bid, or higher than the best outright offer, that: (a) was for at least 20 contracts, and (b) had been posted with the Exchange and had remained available for execution and unfilled for the final 30 minutes of trading of that trading day. (E) If any settlement price, determined pursuant to Paragraph (D), is inconsistent with transactions that occurred during the closing range for other delivery months of the same futures contract or with other market information known to the Committee, 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.
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