Message-ID: <32106633.1075858943393.JavaMail.evans@thyme> Date: Wed, 24 Oct 2001 09:11:31 -0700 (PDT) From: marketing@nymex.com To: marketing@nymex.com Subject: (01-353) Approved Amendments to COMEX Rule 4.94, "Settlement Pric e Procedures for Copper Contracts" Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Exchange Information @ENRON X-To: Exchange Information X-cc: X-bcc: X-Folder: \TJONES (Non-Privileged)\Jones, Tana\Deleted Items X-Origin: Jones-T X-FileName: TJONES (Non-Privileged).pst Notice to Members No: 01-353 October 23, 2001 TO: ALL COMEX DIVISION MEMBERS ALL COMEX DIVISION MEMBER FIRMS ALL COMEX DIVISION CLEARING MEMBERS FROM: J. Robert Collins, Jr., President SUBJECT: Approved Amendments to COMEX Rule 4.94, "Settlement Price Procedures for Copper Contracts" The Exchange has complied with regulatory requirements by filing with the Commodity Futures Trading Commission amendments to COMEX Rule 4.94, "Settlement Price Procedures for Copper Contracts". The approved amendments to Rule 4.94 modify the settlement price procedure for the current delivery month by taking into consideration, not only the weighted average price (rounded to the nearest minimum fluctuation) of all outright transaction that occur in the closing range, but also the weighted average for all spreads executed and all spread bids and offers actively represented between the most active month and the current delivery month during the final thirty minutes of trading. A copy of the amended Rule 4.94 is attached. These Rule amendments will become effective on Monday, October 29, 2001. Should you have any questions please contact Michael Campanelli at 212-299-2072, Albert J. Getz at 212-299-2608 or Ploumi Efkarpidis at 212-299-2334. Approved Rule Amendments (Asterisk indicates additions: bracketing indicates deletions) Rule 4.94 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 of COMEX Chapters 11 and 17 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. * [(B)] *(C) * The settlement price for the [current delivery month and 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 [either the current delivery month and] the most active month, the settlement price [for the applicable month] 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. [(C)] *(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 late 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 late 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. [(D)] *(E)* If any settlement price, determined pursuant to Paragraph [(C)] *(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.