December 8, 2008
Clarification of Expiration Position Limits and All Month/Any One Month Position Accountability Levels in Connection with the Launch of New Electricity Swap Futures Contracts
In connection with the launch of twenty-six (26) new Electricity Swap Futures Contracts on trade date December 7, 2008 (prior Notice No. 08-609), NYMEX Rule 9.27 is amended to clarify that for calculations for expiration position limits on a futures-equivalent basis, a PJM Western Hub Peak Calendar-Month Real-Time LMP Swap Futures Contract will be deemed equivalent to two (2) NYMEX PJM Calendar-Day LMP Swap (PJM Interconnection, LLC) Futures Contracts ("JD").
Also, the expiration month limit for the PJM AEP Dayton Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract ("D7"), and the PJM AEP Dayton Hub Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract ("R7") has been decreased to 1,500 and 25,000, respectively, the all month accountability level decreased to 7,000 and 75,000, respectively, and the any one month accountability level decreased to 5,000 and 50,000, respectively.
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| Contract Name | Rule Chapter |
Commodity Code |
All Month Accountability
Level |
Any One Month Accountability
Level |
Expiration Month Limit |
Reporting Level |
Aggregate Into (1) |
Aggregate Into (2) |
Rule 9.26 |
Rule 9.26 |
Rule 9.27 |
Rule 9.34 |
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| Electricity | ||||||||
| PJM Interconnection, LLC | ||||||||
| PJM AEP Dayton Hub Peak Calendar-Month Day-Ahead LMP Swap Futures Contract | 156 |
D7 |
25 |
D7 |
||||
| PJM AEP Dayton Hub Off-Peak Calendar-Month Day-Ahead LMP Swap Futures Contract | 157 |
R7 |
25 |
R7 |
||||
NOTIFICATION OF AMENDMENTS TO NYMEX RULE
9.27
(Additions are in bold/italics.)
(Additions are in bold/italics.)
Rule 9.27, Expiration and Current Delivery Month Position Limits
(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, metals and soft contracts respectively) in excess of the levels set forth in Chapter 9, Appendix (A) below under 9.27 Expiration and Current Delivery Month Position Limits or Position Accountability.
Note: Specific reference to contract aggregation requirements prescribed in Chapter 9, Appendix (A).
(B) The expiration position limits for energy contracts for those contracts enumerated in Appendix (A), Chapter 9 for which expiration month position limits are designated, 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. Based on a futures-equivalent, a PJM Western Hub Peak Calendar-Month Real-Time LMP Swap Futures Contract shall be deemed equivalent to two (2) NYMEX PJM Calendar-Day LMP Swap (PJM Interconnection, LLC) Futures Contracts.
(C) The expiration month position limits for the PJM and the Uranium 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 for the PJM contracts.
(D) The current delivery month position limits for physically-delivered metals contracts are effective as of the close of business on the business day prior to the first notice day for any delivery month. No person shall maintain any position which, when combined with the number of contracts for which a delivery notice has been tendered or accepted during the delivery month, exceeds the maximum permissible current delivery month position limit for such contract. The current delivery month position limits for COMEX London Metals Futures contracts shall be effective as of the open of business on the first business day of the expiring contract month.
Should you have any questions or require any further information, please contact ExchangeInformation@cmegroup.com