06/09/2006
It has become apparent in conducting these discussions that there are still a number of questions regarding the impact of the proposed rules, which contain certain modifications of the timing of the closing range in the underlying physical contracts. In light of the fact that some of the first contracts being listed side-by-side will be expiring within six business days, NYMEX will defer the accountability approach to a later date. In calculating expiration position limits, market participants should be aware that all of the new penultimate cash-settled contracts – WTI Crude Oil Financial Contract (WS), Henry Hub Penultimate Financial Futures Contract (HP), Heating Oil Financial Futures Contract (BH), RBOB Gasoline Financial Contract (RT) – as well as the new last day for Natural Gas – Henry Hub Financial Last Day Futures Contract (HH) – will aggregate into the underlying physical contracts and be subject to expiration and current delivery month position limits as prescribed by NYMEX Rule 9.27, as well as all month/any one month position accountability levels as prescribed by NYMEX Rule 9.26. NYMEX Staff will be conducting additional informational sessions/calls in the coming week to further address and explain the expiration accountability proposal for purposes of a deferred implementation.
Please note that a Notice to Members regarding amendments to Chapter 9, Appendix (A) reflecting the new contracts, as well as their handling pursuant to Rules 9.26 and 9.27, is forthcoming.