Pursuant to Rule 101: Definition of the Term “Settlement Price,” the New York Clearing Corporation will utilize an alternate price for purposes of margining outstanding positions at the clearing member level today, March 10, 2005. The relevant provisions of the Rule are triggered whenever an Orange Juice futures contract month ends the trading day locked at either limit-up or limit-down; the alternate price is derived from the respective futures contract month’s corresponding options contract at the market close or the imputed value through futures spread prices. Under the Resolution, Clearing Members must use this same alternate price for purposes of collecting margins as required by margin rules.
The Orange Juice futures and options contract months for which NYCC will utilize an alternate price, the futures contract settlement price and the alternate price for business day March 10, 2005 are as follows:
Contract
Month | Settlement Price | Alternate Price for Settlement Purposes |
| July ’05 | .9980 | 1.0225 |
| September ’05 | 1.0050 | 1.0295 |
| November ’05 | 1.0100 | 1.0345 |
| January ’06 | 1.0200 | 1.0445 |
| March ’06 | 1.0300 | 1.0545 |
| May ’06 | 1.0400 | 1.0645 |
| July ’06 | 1.0500 | 1.0745 |
| September ’06 | 1.0600 | 1.0845 |
| January ’07 | 1.0700 | 1.0945 |
(All other months listed for trading not shown above will be margined at their Settlement Price.)
