• Amendments to Eight (8) Western Electricity Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Research and Product Development
      • #
      • SER-6972
      • Notice Date
      • 03 January 2014
      • Effective Date
      • 20 January 2014
    • Effective Monday, January 20, 2014, for the trade date Tuesday, January 21, 2014,and pending all relevant CFTC regulatory review periods, the New York Mercantile Exchange, Inc. (NYMEX or Exchange) will amend the floating price and final settlement price rules for eight (8) existing electricity futures contracts based on the Mid-Columbia and Palo Verde trading points to revise the floating price reference.
       
      Contract Title
      Chapter
      Clearing Code
      Mid-Columbia Day-Ahead Peak Calendar-Month 5 MW Futures
      935
      MDC
      Mid-Columbia Day-Ahead Peak Calendar-Day 5 MW Futures
      936
      MDA
      Mid-Columbia Day-Ahead Off-Peak Calendar-Month 5 MW Futures
      937
      OMC
      Mid-Columbia Day-Ahead Off-Peak Calendar-Day 5 MW Futures
      938
      MXO
      Palo Verde Day-Ahead Peak Calendar-Month 5 MW Futures
      939
      PVD
      Palo Verde Day-Ahead Peak Calendar-Day 5 MW Futures
      940
      VDP
      Palo Verde Day-Ahead Off-Peak Calendar-Month 5 MW Futures
      941
      OVD
      Palo Verde Day-Ahead Off-Peak Calendar-Day 5 MW Futures
      942
      QVD
       
      These eight (8) contracts are listed for trading on CME Globex and the floor as well as for submission for clearing through CME ClearPort. The trading hours for open outcry are Monday – Friday 9:00 a.m. – 2:30 p.m. (8:00 a.m. – 1:30 p.m. Chicago Time/CT). The hours for CME Globex and CME ClearPort are Sunday – Friday 6:00 p.m. – 5:15 p.m. (5:00 p.m. – 4:15 p.m. CT) with a 45-minute break each day beginning at 5:15 p.m. (4:15 p.m. CT).
      The amendments to the product rule chapters are provided below.


       
      (underline indicates addition; strikethrough indicates deletion)


       
      Chapter 935
      Mid-Columbia Day-Ahead Peak Calendar-Month 5 MW Futures
       
      935101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract month shall be equal to the final settlement price for the Mid-Columbia Day-Ahead Peak Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). arithmetic average of the next-day, average, peak-hour electricity price indexes for the Mid-Columbia pricing point, as reported by the IntercontinentalExchange (ICE). The daily average price indexes are published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Mid C Peak." The floating price will utilize the price indexes listed under the “Average” column that specify flow dates within the contract month. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      935103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises one or more of its next-day price indexes that are used to compute the final settlement price for its Mid-Columbia Day-Ahead Peak Fixed Price Future. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       
      Chapter 936
      Mid-Columbia Day-Ahead Peak Calendar-Day 5 MW Futures
       
      936101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract day shall be equal to the final settlement price for the Mid-Columbia Day-Ahead Peak Daily Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). next-day, average, peak-hour electricity price index for the Mid-Columbia pricing point on the flow date that is contract day, as reported by the IntercontinentalExchange (ICE). The daily average price index is published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Mid C Peak." The floating price will utilize the price index listed under the “Average” column that specifies the flow date that is the contract day. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      936103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises the final settlement price for its Mid-Columbia Day-Ahead Peak Daily Fixed Price Future. referenced next-day price index. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       


       
      Chapter 937
      Mid-Columbia Day-Ahead Off-Peak Calendar-Month 5 MW Futures
       
      937101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract month shall be equal to the final settlement price for the Mid-Columbia Day-Ahead Off-Peak Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). weighted average of the next-day, average, off-peak electricity price indexes for the Mid-Columbia pricing point, as reported by the IntercontinentalExchange (ICE). Off-peak price indexes from peak days are weighted by eight (8) hours, while off-peak prices indexes from Sundays and North American Electric Reliability Corporation (NERC) holidays are weighted by 24 hours. The daily average price indexes are published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Mid C Off-Peak." The floating price will utilize the price indexes listed under the “Average” column that specify flow dates within the contract month. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
       
      937103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises one or more of its next-day price indexes that are used to compute the final settlement price for its Mid-Columbia Day-Ahead Off-Peak Fixed Price Future. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       
       
      Chapter 938
      Mid-Columbia Day-Ahead Off-Peak Calendar-Day 5 MW Futures
       
      938101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract day shall be equal to the final settlement price for the Mid-Columbia Day-Ahead Off-Peak Daily Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). next-day, average, off-peak hour electricity price index for the Mid-Columbia pricing point on the flow date that is contract day, as reported by the IntercontinentalExchange (ICE). The daily average price index is published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Mid C Off-Peak." The floating price will utilize the price index listed under the “Average” column that specifies the flow date that is the contract day. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      938103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises the final settlement price for its Mid-Columbia Day-Ahead Off-Peak Daily Fixed Price Future. referenced next-day price index. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       
      Chapter 939
      Palo Verde Day-Ahead Peak Calendar-Month 5 MW Futures
       
      939101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract month shall be equal to the final settlement price for the Palo Verde Day-Ahead Peak Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). arithmetic average of the next-day, average, peak-hour electricity price indexes for the Palo Verde pricing point, as reported by the IntercontinentalExchange (ICE). The daily average price indexes are published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Palo Verde Peak." The floating price will utilize the price indexes listed under the “Average” column that specify flow dates within the contract month. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      939103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises one or more of its next-day price indexes that are used to compute the final settlement price for its Palo Verde Day-Ahead Peak Fixed Price Future. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       
      Chapter 940
      Palo Verde Day-Ahead Peak Calendar-Day 5 MW Futures
       
      940101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract day shall be equal to the final settlement price for the Palo Verde Day-Ahead Peak Daily Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). next-day, average, peak-hour electricity price index for the Palo Verde pricing point on the flow date that is contract day, as reported by the IntercontinentalExchange (ICE). The daily average price index is published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Palo Verde Peak." The floating price will utilize the price index listed under the “Average” column that specifies the flow date that is the contract day. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      940103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises the final settlement price for its Palo Verde Day-Ahead Off-Peak Daily Fixed Price Future. referenced next-day price index. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       
      Chapter 941
      Palo Verde Day-Ahead Off-Peak Calendar-Month 5 MW Futures
       
      941101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract month shall be equal to the final settlement price for the Palo Verde Day-Ahead Off-Peak Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). weighted average of the next-day, average, off-peak electricity price indexes for the Palo Verde pricing point, as reported by the IntercontinentalExchange (ICE). Off-peak price indexes from peak days are weighted by eight (8) hours, while off-peak prices indexes from Sundays and North American Electric Reliability Corporation (NERC) holidays are weighted by 24 hours. The daily average price indexes are published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Palo Verde Off-Peak." The floating price will utilize the price indexes listed under the “Average” column that specify flow dates within the contract month. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
      941103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises one or more of its next-day price indexes that are used to compute the final settlement price for its Palo Verde Day-Ahead Off-Peak Fixed Price Future. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
       


       
      Chapter 942
      Palo Verde Day-Ahead Off-Peak Calendar-Day 5 MW Futures
       
      942101. CONTRACT SPECIFICATIONS
      The Floating Price for each contract day shall be equal to the final settlement price for the Palo Verde Day-Ahead Off-Peak Daily Fixed Price Future, as reported by the IntercontinentalExchange (ICE Futures U.S.). next-day, average, off-peak hour electricity price index for the Palo Verde pricing point on the flow date that is contract day, as reported by the IntercontinentalExchange (ICE). The daily average price index is published by ICE at www.theice.com under the headings "Market Data: Indices: Market: ICE OTC: Report: North American Power: Hub: Palo Verde Off-Peak." The floating price will utilize the price index listed under the “Average” column that specifies the flow date that is the contract day. For the purpose of calculating the floating price, an average price index associated with a multi-day flow period will be interpreted as the average price index applying to each day in the associated flow period.
       
       
      942103. FINAL SETTLEMENT
      Final settlement under the contract shall be by cash settlement. Final settlement, following the termination of trading for a contract month, will be based on the Floating Price. The final settlement price will be the Floating Price calculated for the contract month. Revisions to the final settlement price will be considered within ten (10) business days following the termination of trading if ICE Futures U.S. revises the final settlement price for its Palo Verde Day-Ahead Off-Peak Daily Fixed Price Future. referenced next-day price index. Revisions to the final settlement price will not be considered after the tenth business day following the termination of trading.
       
      Please refer questions on this subject to:
      Research and Product Development
      Greg Price                                             Gregory.Price@cmegroup.com                                       (212) 299-2625
       
      Products and Services
      Kristen Bauer                                       Kristen.Bauer@cmegroup.com                                        (713) 658-9294