05/06/2008
The Average Pricing System ("APS") will enable clearing members to average price multiple trades executed at multiple prices. Once the AP is calculated by the clearing member, the trades that filled the customer's order(s) will be sent to NYMEX by the clearing members via the NYMEX TMS API, with an average price and instructions to allocate to accounts as per the customer's breakdown.
Clearing members must establish a separate average price account ("APA") per customer, in which the original trades must be allocated before the average price transaction is submitted.
The original trades which occurred to fill the customer orders will still clear as executed. A new additional "trade" transaction will be created at the AP, with one side offsetting the original trade, and the other side allocated to the final destination accounts.
The average price facility will be available for all products on NYMEX, COMEX, and the Dubai Mercantile Exchange ("DME").
Clearing members will also have the ability to obtain a report on demand to see any out-of-balance volume in their average price accounts, which are required to be pre-registered in the NYMEX Account (RAV) Manager System. Any out-of-balance volume in an APA will be billed at the established non-member rate.
Assumptions:
- NYMEX will merely facilitate APS transactions.
- The clearing members will be responsible for calculating the average price and the distribution of any residuals with their customers.
- If an APS transaction that has been sent to NYMEX needs to be corrected, the entire original transaction must be voided and a new transaction must be submitted.
- APS transactions will not be price discovered or be part of settlement.
- APS transaction will clear at the average price.
- APS transactions will clear to the product’s minimum price fluctuation (tick).
- Official changes to the NYMEX Rulebook regarding APS transactions will be released under separate cover.
- APS transactions will be permitted only for competitive trades (non-competitive trades, such as EFPs and block trades, are not allowed to be average priced).
- APS transactions may be executed on the NYMEX and COMEX divisions, both floor traded and / or electronically traded, such as on CME Globex®. The Dubai Mercantile Exchange will also allow for the average pricing of trades for their products.