• Revised Amendments to NYMEX Rules 9A.26 and 9A.27 for Various CAISO Electricity Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-4863
      • Notice Date
      • 29 April 2009
      • Effective Date
      • 30 April 2009

    • Effective on trade date April 30, 2009, these amendments include the reduction of accountability levels (NYMEX Rule 9A.26) and expiration position limits (NYMEX Rule 9A.27) for various California Independent System Operator (CAISO) Real-Time and Day-Ahead electricity futures contracts (see attached Chapter 9A, Appendix A).  The amendments are based on discussions with staff of the CFTC’s Division of Market Oversight.    

       

      Contract related questions can be directed to Anthony V. Densieski, Director, Market Surveillance at 212.299.2881, or Chris Reinhardt, Supervisor, Market Surveillance at 212.299.2884.  Please contact Martin Jacobs, Senior Director, Applications Development at 212.299.2829 if you have any information services questions. 

       

       

       

       

      Attachment

       

       


      (Bold/underline indicates additions; strikethrough indicates deletions

       

      Contract Name

      Rule Chapter

      Commodity Code

      All Month Accountability Level

      Any One Month Accountability Level

      Expiration Month Limit

      Reporting Level

      Aggregate Into (1)

      Rule 9A.26

      Rule 9A.26

      Rule 9A.27

      Rule 9A.34

      Electricity

       

       

       

       

       

       

       

      California Independent System Operator (CAISO)

       

       

       

       

       

       

       

      NP15

      CAISO NP15 EZ Gen Hub 5 MW Peak Calendar-Day Day-Ahead LMP Swap Futures

      346

      3Z

      35,000 1,500

      25,000 1,000

      5,000 200

      25

      4X

      CAISO NP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Day-Ahead LMP Swap Futures

      348

      2Z

      300,000 14,000

      200,000 10,000

      60,000 2,000

      25

      3X

      CAISO NP15 EZ Gen Hub 5 Peak Calendar-Day Real-Time LMP Swap Futures

      268

      2F

      35,000 1,500

      25,000 1,000

      5,000 200

      25

      1Y

      CAISO NP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Real-Time LMP Swap Futures

      270

      2J

      300,000 14,000

      200,000 10,000

      60,000 2,000

      25

      2D

      SP15

       

       

       

       

       

       

       

      CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Day Day-Ahead LMP Swap Futures

      347

      9Z

      40,000 1,500

      30,000 1,200

      6,000 250

      25

      9X

      CAISO SP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Day-Ahead LMP Swap Futures

      349

      4Z

      400,000 15,000

      250,000 12,000

      75,000 2,500

      25

      5X

      CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Day Real-Time LMP Swap Futures

      269

      2H

      40,000 1,500

      30,000 1,200

      6,000 250

      25

      1Z

      CAISO SP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Real-Time LMP Swap Futures

      271

      2K

      400,000 15,000

      250,000 12,000

      75,000 2,500

      25

      2E

       

       

       

       

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