06/27/2003
NYMEX Rule 9.34, Reporting Levels, relating to large trader reporting position quantities as required under NYMEX Rule 9.33, Position Reporting, have also been amended. The Rule 9.34 reporting levels are now set at one contract for the PJM Calendar-Month-LMP Swap, PJM Calendar-Week-LMP Swap and PJM Calendar-Day-Ahead-LMP Swap contracts. The rule also reflects that the Exchange has modified reporting levels in line with the Commodity Futures Trading Commission (“CFTC”) file format for Large Trader Reporting. The Exchange announced in Exchange Notice to Members No. 03-253, dated June 16, 2003, with the exception of the above PJM contracts and the ClearPortsm Cleared products, it would adopt CFTC reporting levels to conform with operational procedures associated with the conversion.
The amended version of the foregoing rules is attached hereto for you review and information.
[Amendments to NYMEX Rule 9.26
Strikethroughs indicate deletions; bolding & italics indicate additions.]
Strikethroughs indicate deletions; bolding & italics indicate additions.]
9.26 All Month/Any One Month Position Accountability
(A) Any person, as defined in Rule 1.26, who owns or controls positions in excess of the levels cited in Sections (C) and (D) of this Rule shall be subject to the following provisions pursuant to position accountability levels:
(1) promptly supply to the Exchange such information as the Exchange may request pertaining to the nature and size of the position, the trading strategy employed with respect to the position, and the position owner's or controller's hedging requirements, provided, however, that if the position owner or controller fails to supply such information as and when requested, the President or his designee may order the reduction of such position;
(2) agree, upon request by the President or his designee, not to increase the position owned or controlled as of the time the request was received; and
(3) agree to comply with any prospective limit prescribed by the President or his designee which exceeds the size of the position owned or controlled.
(B) For the purposes of this Rule 9.26, the futures-equivalent of an option contract and spread option contract is the previous day's NYMEX Risk Factor for that option. Further, long calls, short puts and long futures are on the same side of the market; short calls, long puts and short futures are on the same side of the market.
With respect to crack spread option contracts, a call option is the equivalent of a long product futures contract and a short crude oil futures contract; a put option is the equivalent of a short product futures contract and a long crude oil futures contract. Therefore, long crack spread option calls and short crack spread option puts are on the same side of the market; short crack spread option calls and long crack spread option puts are on the same side of the market.
With respect to calendar spread option contracts, a call option is the equivalent of a long futures contract in the first underlying futures in the spread and a short futures contract in the second underlying futures in the spread; a put option is the equivalent of a short futures contract in the first underlying futures in the spread and a long futures contract in the second underlying futures in the spread.
C) For purposes of this rule, a Crude Oil e-miNY(sm) contract shall be deemed equivalent to .40 of a Crude Oil light Sweet future cited in (i)(a) below. A Natural Gas e-miNY(sm) shall be deemed equivalent to .40 of a Natural Gas future cited in (x) below.
D) Except as provided in Rule 9.27, the any one month/all month position accountability levels for each futures contract traded on the Exchange are:
| Futures Contract | Net Futures or Futures-Equivalent Position Accountability Levels | |
| (i) | (a) Crude Oil Light Sweet and WTI Calendar Swap | 20,000 contracts |
| (b) NYMEX Brent Crude Oil | 20,000 contracts | |
| (ii) | Louisiana Light Sweet Crude Oil | 10,000 contracts |
| (iii) | West Texas Sour Crude Oil | 10,000 contracts |
| (iv) | West Texas Intermediate Midland Crude Oil | 10,000 contracts |
| (v) | Mars Blend Crude Oil | 10,000 contracts |
| (vi) | (reserved) | |
| (vii) | (reserved) | |
| (viii) | New York Harbor Unleaded Gasoline | 7,000 contracts |
| (ix) | New York Heating Oil | 7,000 contracts |
| (x) | Natural Gas and Henry Hub Swap | 12,000 contracts |
| (xi) | (reserved) | |
| (xii) | (reserved) | |
| (xiii) | Liquefied Propane Gas | 1,500 contracts |
| (xiv) | (reserved) | |
| (xv) | Palladium | 625 contracts |
| (xvi) | Platinum | 1,500 contracts |
| (xvii) | (reserved ) | |
| (xviii) | (reserved ) | |
| (xix) | (reserved ) | |
| (xx) | (reserved) | |
| (xxi) | (reserved) | |
| (xxii) | Central Appalachian Coal | 5,000 contracts |
The Position Accountability levels for the PJM Calendar Month LMP Swap, PJM Calendar Week LMP Swap and the PJM Calendar Day Ahead LMP Swap shall be 5,000 contracts in the aggregate.
[Amendments to NYMEX Rule 9.27.
Strikethroughs indicate deletions; underlining indicates additions.]
Strikethroughs indicate deletions; underlining indicates additions.]
9.27 Expiration and Current Delivery Month Position Limits or Position Accountability
(A) No person may own or control a net long position or a net short position in the expiration or current delivery month (as defined in this Rule 9.27 for energy and metals contracts respectively) in excess of the levels set forth in this Rule 9.27.
(B) The expiration position limits for energy contracts set forth below are effective on the open of trading of the last three trading days of the futures contract. The expiration position limits shall be calculated on a net futures-equivalent basis. For purposes of this rule, a Crude Oil e-miNY(sm) contract shall be deemed equivalent to .40 of a Crude Oil light sweet future cited in (i)(a) below. A Natural Gas e-miNY(sm) shall be deemed equivalent to .40 of a Natural Gas future cited in (x) below.
The expiration position limits for energy futures contracts listed below are:
| (i) | Crude Oil Light Sweet and WTI Calendar Swap | 1,000 contracts |
| (ii) | (reserved) | |
| (iii) | (reserved) | |
| (iv) | (reserved) | |
| (v) | (reserved) | |
| (vi) | (reserved) | |
| (vii) | (reserved) | |
| (viii) | New York Harbor Unleaded Gasoline | 1,000 contracts |
| (ix) | New York Heating Oil | 1,000 contracts |
| (x) | Natural Gas and Henry Hub Swap | 1,000 contracts |
| (xi) | (reserved) | |
| (xii) | (reserved) | |
| (xiii) | Liquefied Propane Gas | 250 contracts |
| (xiv) | Louisiana Light Sweet Crude Oil | 1,000 contracts |
| (xv) | West Texas Sour Crude Oil | 1,000 contracts |
| (xvi) | West Texas Intermediate Midland Crude Oil | 1,000 contracts |
| (xvii) | Mars Blend Crude Oil | 1,000 contracts |
| (xviii) | (reserved) | |
| (xix) | (reserved) | |
| (xx) | Central Appalachian Coal | 200 contracts |
Futures Contracts Listed for Trading Only on NYMEX ClearPortsm Trading and Listed for Clearing of OGG-Exchange Transactions Through NYMEX ClearPort(sm) Clearing
| Physical Delivery Contracts | Expiration Position Limits |
| Mid-Columbia Electricity | 350 contracts |
| Palo Verde Electricity | 350 contracts |
| PJM Electricity | 350 contracts |
| Cash-Settled Contracts | Expiration Position Limit Levels |
| Cash-Settled Crude Oil and Crude Oil
Products |
|
| WTI Calendar (see limit for Crude Oil Light Sweet above) | |
| WTI - Bow River Swap | 1,000 contracts |
| New York Harbor Gasoline Calendar Swap | 1,000 contracts |
| New York Harbor Heating Oil Calendar Swap | 1,000 contracts |
| New York Harbor Unleaded Gasoline vs. New York Harbor Heating Oil Swap | 1,000 contracts |
| New York Harbor Conv. Gasoline vs. New York Harbor Unleaded Gasoline Spread Swap | 1,000 contracts |
| New York Harbor LS Diesel vs. New York Harbor No. 2 Heating Oil Spread Swap | 1,000 contracts |
| Gulf Coast Gasoline vs. Gulf Coast Heat Oil Spread Swap | 1,000 contracts |
| Gulf Coast Jet vs. New York Harbor No. 2 Heating Oil Spread Swap | 1,000 contracts |
| Los Angeles Jet Fuel vs. New York Harbor No. 2 Heating Oil Spread Swap | 1,000 contracts |
| Los Angeles Carb Gasoline Swap | 1,000 contracts |
| Los Angeles Carb Gasoline vs. New York Harbor Gasoline Swap | 1,000 contracts |
| Gulf Coast No. 6 Fuel 3.0% Sulfur Swap | 1,000 contracts |
| Gulf Coast No. 6 Fuel Oil Crack Swap | 1,000 contracts |
| New York Harbor Residual Fuel 1.0% Sulfur Swap | 1,000 contracts |
| New York Harbor Residual Fuel Crack Swap | 1,000 contracts |
| Dubai Crude Oil Calendar Swap | 250 contracts |
| U.S Gulf Coast Unl 87 Crack Spread Calendar | 250 contracts |
| U.S Gulf Coast No. 2 Crack Spread Calendar | 250 contracts |
| Unl 87 Up-Down Spread Calendar Swap | 250 contracts |
| No.2 Up-Down Spread Calendar Swap | 250 contracts |
| Cash-Settled Electricity Power Products |
|
| NYISO Zone A LBMP Swap | 1,000 contracts |
| NYISO Zone G LBMP Swap | 1,000 contracts |
| NYISO Zone J LBMP Swap | 1,000 contracts |
| Cash-Settled Natural Gas Products |
|
| Henry Hub Swap (see limit for Natural Gas above) | |
| MichCon Basis Swap (Platts IFERC) | 2,000 contracts |
| Permian Basis Swap (Platts IFERC) | 2,000 contracts |
| M-3 Basis Swap (Platts IFERC) | 2,000 contracts |
| TCO Basis Swap (Platts IFERC) | 2,000 contracts |
| Malin Basis Swap (NGI) | 2,000 contracts |
| PG&E Citygate Basis Swap (NGI) | 2,000 contracts |
| NGPL Texok Basis Swap (Platts IFERC) | 2,000 contracts |
| NGPL LA Basis Swap (Platts IFERC) | 2,000 contracts |
| ANR OK Basis Swap (Platts IFERC) | 2,000 contracts |
| Sumas Basis Swap | 2,000 contracts |
| NGPL Mid-Con Basis Swap (Platts IFERC) | 2,000 contracts |
| Demarc Basis Swap (Platts IFERC) | 2,000 contracts |
| Ventura Basis Swap (Platts IFERC) | 2,000 contracts |
| Dominion Basis Swap (Platts IFERC) | 2,000 contracts |
| Waha Basis Swap | 2,000 contracts |
| CIG Rockies Basis Swap (Platts IFERC) | 2,000 contracts |
| AECO/NIT Basis Swap | 2,000 contracts |
| Chicago Basis Swap | 2,000 contracts |
| Henry Hub Basis Swap | 2,000 contracts |
| Houston Ship Channel Basis Swap | 2,000 contracts |
| San Juan Basis Swap | 2,000 contracts |
| SoCal Basis Swap | 2,000 contracts |
| Transco Zone 6 Basis Swap | 2,000 contracts |
| NYH Unleaded Crack Calendar Swap | 2,000 contracts |
| NYH No. 2 Crack Calendar Swap | 2,000 contracts |
| Northwest Rockies Basis | 2,000 contracts |
| Panhandle Basis | 2,000 contracts |
| Transco Zone 3 Basis Swap (Platts IFERC) | 500 contracts |
| TETCO STX Basis Swap (Platts IFERC) | 500 contracts |
| TETCO ELA Basis Swap (Platts IFERC) | 500 contracts |
| Columbia Gulf Louisiana Basis Swap (Platts IFERC) | 500 contracts |
(C) The expiration month position limit for the PJM contracts are effective on the opening of trading on all business days when a contract month becomes the first nearby month (or spot month) and continues on an intra-day basis thereafter until the conclusion of trading in the expiring contract. The expiration month position limit shall be calculated on a net futures-equivalent basis.
The expiration month position limit for PJM electricity futures contracts listed for trading on the Exchange is 500 contract units (on any one day ) in the aggregate for the following contracts:
PJM Calendar-Month-LMP Swap (PJM Interconnection, LLC)
PJM Calendar-Week-LMP Swap (PJM Interconnection, LLC)
PJM Calendar-Day-Ahead-LMP Swap (PJM Interconnection, LLC)
The current delivery month position limits for metals futures contracts are:
| (i) | Palladium | 225 contracts |
| (ii) | Platinum | 700 contracts |
(1) Unless otherwise agreed, all orders received for execution on NYMEX ACCESS® shall be deemed to be cancelled if not executed during the trading session for which they were received.
[Amendments to NYMEX Rule 9.34.
Strikethroughs indicate deletions; underlining indicates additions.]
Strikethroughs indicate deletions; underlining indicates additions.]
9.34 Reporting Levels
(A) The quantities fixed for the purposes of filing a report under Rule 9.33
are:
| Commodity |
|
| Crude Oil Light Sweet | 350 contracts |
| NYMEX Brent Crude Oil | 350 contracts |
| PJM Calendar-Month-LMP Swap | |
| (PJM Interconnection, LLC) | |
| PJM Calendar-Week-LMP Swap | |
| (PJM Interconnection, LLC) | |
| PJM Calendar Day-Ahead-LMP Swap | |
| (PJM Interconnection, LLC) | |
| New York Harbor Unleaded Gasoline | 150 contracts |
| New York Heating Oil | 250 contracts |
| Liquefied Propane Gas | 25 contracts |
| Natural Gas | |
| Palladium | |
| Platinum | |
| Central Appalachian Coal | 25 contracts |
| Crude Oil L.S. Options Long Put | |
| Crude Oil L.S. Options Long Call | |
| Crude Oil L.S. Options Short Put | |
| Crude Oil L.S. Options Short Call | |
| New York Heating Oil Long Put | |
| New York Heating Oil Long Call | |
| New York Heating Oil Short Put | |
| New York Heating Oil Short Call | |
| N.Y.H. Unleaded Gasoline Long Put | |
| N.Y.H. Unleaded Gasoline Long Call | |
| N.Y.H. Unleaded Gasoline Short Put | |
| N.Y.H. Unleaded Gasoline Short Call | |
| Platinum Options Long Put | |
| Platinum Options Long Call | |
| Platinum Options Short Put | |
| Platinum Options Short Call | |
| Heating Oil-Crude Oil L.S. Spread Long Put | 25 contracts |
| Heating Oil-Crude Oil L.S. Spread Long Call | 25 contracts |
| Heating Oil-Crude Oil L.S. Spread Short Put | 25 contracts |
| Heating Oil-Crude Oil L.S. Spread Short Call | 25 contracts |
| N.Y.H. Unleaded Gas-Crude Oil L.S. Spread Long Put | 25 contracts |
| N.Y.H. Unleaded Gas-Crude Oil L.S. Spread Long Call | 25 contracts |
| N.Y.H. Unleaded Gas-Crude Oil L.S. Spread Short Put | 25 contracts |
| N.Y.H. Unleaded Gas-Crude Oil L.S. Spread Short Call | 25 contracts |
| Natural Gas Options Long Put | |
| Natural Gas Options Long Call | |
| Natural Gas Options Short Put | |
| Natural Gas Options Short Call | |
| Central Appalachian Coal Options Long Put | 25 contracts |
| Central Appalachian Coal Options Long Call | 25 contracts |
| Central Appalachian Coal Options Short Put | 25 contracts |
| Central Appalachian Coal Options Short Call | 25 contracts |
| Futures Contracts Traded Only
on NYMEX ClearPortsm Trading |
|
| Henry Hub Swap | |
| WTI Calendar Swap | |
| Louisiana Light Sweet Crude Oil | |
| West Texas Sour Crude Oil | 25 contracts |
| West Texas Intermediate Midland Crude Oil | |
| Mars Blend Crude Oil | 25 contracts |
| WTI - Bow River Swap | 25 contracts |
| New York Harbor Gasoline Calendar Swap | |
| New York Harbor Heating Oil Calendar Swap | |
| New York Harbor Unleaded Gasoline vs. New York Harbor Heating Oil Swap | 25 contracts |
| New York Harbor Conv. Gasoline vs. New York Harbor Unleaded Gasoline Spread Swap | |
| New York Harbor LS Diesel vs. New York Harbor No. 2 Heating Oil Spread Swap | 25 contracts |
| Gulf Coast Gasoline vs. Gulf Coast Heat Oil Spread Swap | 25 contracts |
| Gulf Coast Jet vs. New York Harbor No. 2 Heating Oil Spread Swap | 25 contracts |
| Los Angeles Jet Fuel vs. New York Harbor No. 2 Heating Oil Spread Swap | 25 contracts |
| Los Angeles Carb Gasoline Swap | |
| Los Angeles Carb Gasoline vs. New York Harbor Gasoline Swap | |
| Gulf Coast No. 6 Fuel 3.0% Sulfur Swap | 25 contracts |
| Gulf Coast No. 6 Fuel Oil Crack Swap | 25 contracts |
| New York Harbor Residual Fuel 1.0% Sulfur Swap | 25 contracts |
| New York Harbor Residual Fuel Crack Swap | 25 contracts |
| NYISO Zone A LBMP Swap | 25 contracts |
| NYISO Zone G LBMP Swap | 25 contracts |
| NYISO Zone J LBMP Swap | 25 contracts |
| MichCon Basis Swap (Platts IFERC) | |
| Permian Basis Swap (Platts IFERC) | |
| M-3 Basis Swap (Platts IFERC) | 25 contracts |
| TCO Basis Swap (Platts IFERC) | |
| Malin Basis Swap (NGI) | 25 contracts |
| PG&E Citygate Basis Swap (NGI) | |
| NGPL Texok Basis Swap (Platts IFERC) | |
| NGPL LA Basis Swap (Platts IFERC) | |
| ANR OK Basis Swap (Platts IFERC) | |
| Panhandle Basis Swap (Platts IFERC) | |
| NGPL Mid-Con Basis Swap (Platts IFERC) | |
| Demarc Basis Swap (Platts IFERC) | |
| Ventura Basis Swap (Platts IFERC) | |
| Dominion Basis Swap (Platts IFERC) | 25 contracts |
OTC Clearing Contracts |
|
| Physical Delivery Contracts | |
| Mid-Columbia Electricity | 25 contracts |
| Palo Verde Electricity | 25 contracts |
| PJM Electricity | 25 contracts |
| Cash-Settled Contracts | |
| Dubai Crude Oil Calendar Swap | 25 contracts |
| U.S. Gulf Coast Unl 87 Crack Spread Calendar | 25 contracts |
| U.S. Gulf Coast No. 2 Crack Spread Calendar | 25 contracts |
| Unl 87 Up-Down Spread Calendar Swap | 25 contracts |
| No. 2 Up-Down Spread Calendar Swap | 25 contracts |
| AECO/NIT Basis Swap | 25 contracts |
| Chicago Basis Swap | |
| Henry Hub Basis Swap | 25 contracts |
| Houston Ship Channel Basis Swap | 25 contracts |
| San Juan Basis Swap SoCal Basis Swap | 25 contracts |
| SoCal Basis Swap | 25 contracts |
| Transco Zone 6 Basis Swap | 25 contracts |
| NYH Unleaded Crack Calendar Swap | 25 contracts |
| NYH No. 2 Crack Calendar Swap | 25 contracts |
| Northwest Rockies Basis | 25 contracts |
| Panhandle Basis | 25 contracts |
| E-Miny Crude Oil | |
| E-Miny Natural Gas | |
| CIG Rockies Basis Swap | 25 contracts |
| Sumas Basis Swap | 25 contracts |