Notice to Members
Notice No. 152
03/27/2003
Large Trader Reporting Requirements, Accountability Levels and Expiration and Current Delivery Month Limits for the Monthly, Weekly and Daily Pennsylvania / New Jersey / Maryland (PJM) Financial Swap Contracts
This is a reminder that the monthly, weekly and daily financially settled PJM Swap contracts are scheduled to be introduced on April 11, May 22 (for the trade date of May 23) and May 29 (for the trade date of May 30) respectively. The Daily Large Trader Report for the monthly traded contracts, submitted on April 14, 2003 for close of business April 11, 2003, must include reportable positions for these contracts. Moreover, for the weekly traded contracts, submitted on May 26, 2003 for close of business May 23, 2003 and the daily traded contracts submitted on June 2, 2003 for close of business May 30, 2003 must also include reportable positions for these contracts.

For all of these products, the quantity fixed for filing reports pursuant to NYMEX Rule 9.33 (Position Reporting) is 25 contracts. If a person controls or holds a position equal to, or greater than 25 long or short in any one month in any of the PJM financially settled contracts, then all the above PJM contracts (daily, weekly and monthly), whether above the reportable level or not, shall be deemed reportable positions.

For the Clearing Members that file reports pursuant to NYMEX Rule 9.33 in a machine-readable format, the Exchange commodity codes and six-digit CFTC commodity codes for these additional products are as follows:
Contract Name Commodity Code Six Digit Code
     
PJM Calendar-Month LMP Swap
JM
38650
PJM Calendar-Week LMP Swap
JW
38651
PJM Calendar-Day LMP Swap
JD
38652

Additionally, 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 PJM financially settled contracts are as follows:

Any One Month/All Months Net Futures or Futures-Equivalent
Position Accountability Levels = 5,000 contracts
*Expiration and Current Delivery Month Position Limits = 600 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. 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.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com