06/17/2003
The commodity codes for the PJM contracts are as follows:
PJM Calendar-Month LMP Swap = JM
PJM Calendar-Week LMP Swap = JW
PJM Calendar-Day LMP Swap = JD
The accountability levels, pursuant to NYMEX Rule 9.26 (All Month/Any One Month Position Accountability) and expiration position limits, pursuant to NYMEX Rule 9.27 (Expiration and Current Delivery Month Position Limits or Position Accountability), for the above contracts are as follows:
Any One Month/All Month Net Futures or Futures-Equivalent Position Accountability Levels = 5,000 contracts
* Expiration and Current Delivery Month Position Limits = 500 contracts
* Trading in a current delivery month shall cease one business day prior to the last "peak day". Position limits for the next delivery month are effective on the opening of trading the next business day and continue on an intra-day basis thereafter until the conclusion of trading in the expiring contract. The expiration position limits shall be calculated on a net futures-equivalent basis. For position limit purposes, all the above contracts will be aggregated (i.e., daily, weekly and monthly). No person may own or control a net long or a net short position in excess of these limits.
FILE FORMAT CHANGE
All Clearing Members expecting to clear business in the weekly and daily contracts on day one of the launch, must file reports pursuant to NYMEX Rule 9.33 in a revised machine readable format. This file format is not new, it is described in CFTC Regulation 17.00 (g) effective October 1, 1997. It is the file format already used for direct daily Large Trader reporting to the CFTC. Those FCMs who will need to use the new file format may test it immediately by arrangement, and must test before they can use it in production. Arrangements for conducting such testing can be made by contacting Martin Jacobs, Director of Application Development (Compliance Systems) at (212) 299-2829.
When the conversion to CFTC format is done, NYMEX will accept all existing CFTC reportable levels with these exceptions: (1) PJM reporting at the one-contract level as above and (2) ClearPort products, to which NYMEX reporting levels apply. If the FCMs prefer to create only ONE file for both CFTC and NYMEX, the CFTC will accept a file which includes these two variations. The Commission has indicated that the variations will have no impact on the CFTC Large Trader reporting system.
Further, any Clearing Members/Non-Clearing FCMs/Foreign Brokers who want to convert to the CFTC format for their own convenience, supporting one format instead of two, are invited to do so. Please contact Martin Jacobs at (212) 299-2829 or e-mail at mjacobs@nymex.com to arrange for testing.
Any general questions can be forwarded to Nicholas Galati, Director of Market Surveillance, at (212) 299-2920, Anthony Densieski, Director of Market Surveillance-Investigations, at (212) 299-2881, or Bonnie Yurga, Supervisor of Market Surveillance, at (212) 299-2879.