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Enron Mail |
Notice No. 00-338
October 3, 2000 MEMORANDUM TO: ALL NYMEX AND COMEX MEMBERS FROM: Neal L. Wolkoff, Executive Vice President DATE: October 3, 2000 RE: Notice of CFTC Approval of New NYMEX Rule 6.40C: ("Average Price Calculations by Futures Commission Merchants") Please be advised that the CFTC has approved new NYMEX Rule 6.40C ("Average Price Calculations by Futures Commission Merchants"), which is attached and is now in effect. New NYMEX Rule 6.40C, which is consistent with a recent CFTC "Advisory," permits FCMs, under certain conditions specified in the rule, to use their own internal, proprietary systems to generate average price ("AP") calculations when multiple prices are received on an order or series of orders. AP calculations are not being provided by the Exchange for NYMEX Division contracts. New NYMEX Rule 6.40C is applicable only to NYMEX Division contracts. A similar proposal for COMEX Division contracts remains pending with the CFTC. The conditions specified in NYMEX Rule 6.40C include the following: 1. The customer has requested average price reporting; 2. Each individual trade is submitted to and cleared by the Exchange at the executed price; 3. The FCM calculates and confirms to its customers a weighted mathematical average price; 4. The FCM possesses the records to support the calculations and the allocations to customer accounts and maintains all such records pursuant to CFTC regulations and further makes such records available for inspection by affected customers upon request; and 5. The FCM identifies each trade to which an average price is assigned as having an average price on each confirmation statement and monthly statement on which the trade is reported to the customer. If you have any questions, please contact Tom LaSala, Vice President, Compliance Department, at (212) 299-2897, or Brian Regan, Senior Associate General Counsel, at (212) 299-2207. Approved New NYMEX Rule 6.40C ("Average Price Calculations by Futures Commission Merchants") (Entire rule is new.) Rule 6.40C Average Price Calculations by Futures Commission Merchants (A) Eligible Accounts. An FCM, subject to compliance with the conditions specified in this rule, may report and/or confirm to customers an average of multiple execution prices and may use its own proprietary system to make such average price calculations, regardless of whether the Exchange also provides a service for average price calculations for the applicable NYMEX Division contract, provided: (a) that such prices were obtained as the result of the execution of an order or series of orders to purchase or sell the same futures and/or the same option series for the same account or group of accounts; or (b) that such prices were obtained as the result of the execution of trades to purchase or sell the same futures and/or the same option series for the FCM's proprietary account(s), provided further however, that trades for such a proprietary account are not averaged with trades for any other account. For purposes of this rule, eligible accounts may include multiple accounts that are part of a managed account program or other common investment program. Eligible accounts may include individual non-discretionary accounts, except that prices for non-discretionary accounts may not be averaged with prices for other non-discretionary accounts. Eligible accounts also may include individual discretionary accounts consistent with the provisions of Exchange Rule 6.41. (B) An FCM may use its own system to calculate average prices for contracts executed on the Exchange provided that the following conditions are met for all such transactions: 1. The customer has requested average price reporting; 2. Each individual trade is submitted to and cleared by the Exchange at the executed price; 3. The FCM calculates and confirms to its customers a weighted mathematical average price, as calculated pursuant to the requirements of Section (C) below; 4. The FCM possesses the records to support the calculations and the allocations to customer accounts and maintains all such records pursuant to CFTC regulations and further makes such records available for inspection by affected customers upon request; and 5. The FCM identifies each trade to which an average price is assigned as having an average price on each confirmation statement and monthly statement on which the trade is reported to the customer. (C) Calculation of Average Price. The weighted mathematical average price shall be computed by FCMs by: (a) multiplying the number of contracts purchased or sold at each execution price by that price; (b) adding the results together; and © dividing by the total number of contracts. For a series of orders, the average price may be computed based on the average price of each order in that series. FCMs may confirm to customers either the actual average price or the average price rounded to the next price increment, provided however, that in confirming the average price rounded to the next price increment, the FCM must round the average price up to the next price increment for a buy order or down to the next price increment for a sell order, and must pay any residual thus created to the customer, except that any residual amount of less than one cent may be retained by the FCM. __________________________________________________ Please click on the link below to indicate you have received this email. "http://208.206.41.61/email/email_log.cfm?useremail=tana.jones@enron.com&refdo c=(00-338)" Note: If you click on the above line and nothing happens, please copy the text between the quotes, open your internet browser, paste it into the web site address and press Return.
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