• Adoption of CME/CBOT/NYMEX/COMEX Rule 812 (“Final Settlement Price”) and Revision to CME/CBOT/NYMEX/COMEX Rule 813 (“Settlement Price”)

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6257
      • Notice Date
      • 31 May 2012
      • Effective Date
      • 14 June 2012
    • Pending all relevant regulatory review periods, effective on June 14, 2012, CME, CBOT, NYMEX and COMEX will adopt new Rule 812 (“Final Settlement Price”) and a revision to Rule 813 (“Settlement Price”).
      New Rule 812 (“Final Settlement Price”) is being added to clarify that certain products have final settlement prices that are not the last daily settlement price determined on the day the contracts expire.  The new rule clarifies that where a final settlement price is not based on the last daily settlement price for the contract, the applicable product chapter in the Rulebook will set forth the methodology for determining the final settlement price.  The new rule also has a provision allowing the CEO, President, COO, or their delegate, the ability to determine a final settlement price in a circumstance where the price cannot be determined based on the established methodology set forth in the applicable product chapter or where such methodology yields a clearly aberrant price. 
      The minor revision to Rule 813 changes its title from “Settlement Price” to “Daily Settlement Price” as a means of clarifying that the Rule pertains to the determination of daily settlement prices.
      The text of Rule 812 and the revision to Rule 813 are set forth below, with additions underscored and deletions overstruck.
      CME/CBOT/NYMEX/COMEX Chapter 8 – Clearing House and Performance Bonds
      812.      Final Settlement Price
      Certain products, as described in the applicable product chapters, have procedures for establishing a final settlement price that are distinct from the procedures for establishing the daily settlement price for the product on the last day of trading.  For such products, if a final settlement price is unable to be determined or if the applicable procedures result in a clearly aberrant final settlement price inconsistent with market value and alternative settlement procedures are not otherwise specified in the relevant product chapter, then the Chief Executive Officer, President or Chief Operating Officer, or their delegate, may establish may establish a final settlement price that reflects the true market value at the time of final settlement.
      813.      Daily Settlement Price
      Daily sSettlement prices shall be determined each business day for each product pursuant to one or more of the procedures set forth below. The settlement price shall be a price consistent with the minimum tick increment for the product; if the calculated settlement price is not a standard tick increment, the calculated settlement price will be rounded either to the nearest tick or to the tick closer to the previous day’s settlement price. The procedure used to determine the settlement price of a product will depend on the product group, level of activity and liquidity during the defined closing time period, and the trading venue(s) used to derive the settlement. To the extent that any members participate in the creation of settlement prices, they agree to assign and transfer to the Exchange any and all right, title and interest in and to the settlement prices, including, but not limited to, all copyright in the settlement prices.
      [The remainder of the Rule is unchanged.]
      Questions regarding the revisions to CME/CBOT/NYMEX/COMEX Rule 619 may be directed to Robert Sniegowski, Market Regulation Department, at 312.341.5991 or Erin Schwartz, Market Regulation Department, at 312.341.3083.
      For media inquiries concerning this Special Executive Report, please contact CME Group Corporate Communications at 312.930.3434 or news@cmegroup.com.