Rule Amendments to Three Electricity Futures Contracts

Effective trade date Thursday, July 9, 2009, the New York Mercantile Exchange, Inc. is implementing rule amendments for the contracts listed below. The amendments to Rules 635.07, 762.07, and 765.07 are made to rectify a clerical error.  These amendments revise the final settlement rule for the three electricity futures contracts such that the cash settlement for a peak day that is not a business day is calculated on the following day as it is not possible for cash settlement to be calculated on the preceding day.

Should you have any questions concerning the above, please contact Brad Leach at (212) 299-2609.

Rule Amendments

(bold/underline indicates insertion; strikethrough indicates deletion)

NYMEX PJM Calendar-Month LMP Swap (PJM Interconnection, LLC) Futures Contract

635.07 Final Settlement

Delivery under the NYMEX PJM Calendar-Month LMP Swap contract shall be by cash settlement. Cash Settlement will take place in accordance with the following.

Starting with the close of trading on the peak day prior to the contract month, the daily flow (equal to 40 MWH) corresponding to the following peak day is subtracted from the quantity of each contract every business day until contract termination. The subtracted quantity is cash-settled based on the Daily Floating Price for the corresponding peak day.

For peak days that are not also business days, subtraction of the daily flow corresponding to the peak day will take place on the business day immediately preceding following this (these) day(s).

In the event a business day is not also a peak day, no subtraction of a daily flow will be performed on the business day immediately prior.

Northern Illinois Hub Calendar-Month LMP Swap (PJM Interconnection, LLC) Contract

762.07 Final Settlement

Delivery under the NYMEX Northern Illinois Hub Calendar-Month LMP Swap contract shall be by cash settlement. Beginning with the peak day prior to the beginning of the contract month, cash settlement with liquidation will be performed for a proportionate number of outstanding contracts for each position holder each day based on the number of remaining peak days in the contract month. The proportion will equal the ratio of one (1) to the number of remaining peak days. The cash-settlement price will be based on the Daily Floating Price which is determined for that the following peak day.

For peak days that are not also business days, cash-settlement will take place on the business day immediately preceding following this (these) day(s) separately, and in chronological succession, for each such peak day up to and including the next coincident peak day and business day.

In the event a business day is not also a peak day, no cash-settlement will be performed on the business day immediately prior. Cash-settlement will be resumed on the business day that immediately precedes the next coincident peak day and business day.

NYMEX AEP-Dayton Hub Calendar-Month LMP Swap (PJM Interconnection, LLC) Contract

765.07 Final Settlement

Delivery under the NYMEX AEP-Dayton Hub Calendar-Month LMP Swap contract shall be by cash settlement. Cash Settlement will take place in accordance with the following.

Starting with the close of trading on the peak day prior to the contract month, the daily flow (equal to 40 MWH) corresponding to the following peak day is subtracted from the quantity of each contract every business day until contract termination. The subtracted quantity is cash-settled based on the Daily Floating Price for the corresponding peak day.

For peak days that are not also business days, subtraction of the daily flow corresponding to the peak day will take place on the business day immediately preceding following this (these) day(s).

In the event a business day is not also a peak day, no subtraction of a daily flow will be performed on the business day immediately prior.