On November 23, 2016, North American Derivatives Exchange, Inc. (“Nadex”, the “Exchange”) submitted to the Commodity Futures Trading Commission (the “Commission”), pursuant to Section 5c(c)(1) of the Commodity Exchange Act, as amended (“Act”), and section §40.6(a) of the regulations promulgated by the Commission under the Act (the “Regulations”), its intent to amend its settlement procedures for all currency, commodity, and indices contracts. Under the new procedures, in instances where 25 or more trades in the case of non-FX products, or 10 or more midpoints in the case of FX products are collected in the last 10 seconds leading up to expiration of the Nadex contract, Nadex would use all trades (or midpoints) collected during that period. For non-FX products, the highest 20% and lowest 20% of trades will be removed from the data set. The remaining prices in the data set will be averaged and rounded to one decimal point past the precision of the underlying market (except for the Wall Street 30 which will be rounded to the point of precision of the underlying market). For foreign currency products, the highest 30% and lowest 30% of midpoint prices will be removed from the data set. The remaining prices in the data set will be averaged and rounded to one decimal point past the precision of the underlying market. For both non-FX and foreign currency products, if the removal of the highest and lowest 20% of trades or 30% of midpoints would result in a non-integer number of trade (or midpoint) prices, the number of the number of trade (or midpoint) prices to be removed from the data set will be rounded down to the nearest integer. The expiration value calculation process will remain as it is currently if the time it takes to collect 25 trades in the case of non-FX products, or 10 or more midpoints in the case of FX products exceeds 10 seconds. Settlement procedures will not change for the Bitcoin or Event contracts. Absent Commission objection, this submission will become effective December 19, 2016.
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