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

(c) 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=sara.shackleton@enron.com&
refdoc=(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.