• Large Trader Reporting Requirements, All Month/Any One Month Position Accountability Levels, Expiration Month Position Limits, Reporting Levels and Aggregation Allocations for Eighteen (18) New Electricity Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-4892
      • Notice Date
      • 11 June 2009
      • Effective Date
      • 11 June 2009
    • In connection with the launch of eighteen (18) new electricity futures contracts on trade date June 15, 2009, please note below the corresponding all month/any one month accountability levels (Rule 9A.26), expiration month position limits (Rule 9A.27), reportable levels (Rule 9A.34) and aggregation allocations for the new contracts.  The commodity codes are provided for the Clearing Members that file reports pursuant to NYMEX Rule 9A.33 in a machine-readable format.   

       

      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. 

       

      (Bold/underline indicates additions.)

       

       

      Contract Name

      Rule Chapter

      Commodity Code

      All Month Accountability Level

      Any One Month Accountability Level

      Expiration Month Limit

      Reporting Level

      Aggregate Into (1)

      Aggre-gate Into (2)

      Rule 9A.26

      Rule 9A.26

      Rule 9A.27

      Rule 9A.34

      ERCOT Broker Houston Index (ERCOT-Hou.) SNL Energy Power Daily

      ERCOT Houston Zone MCPE 50 MW Peak Swap Futures

      186

      2N

      2,000

      1,500

      250

      25

      2N

      ERCOT Houston Zone  MCPE 50 MW Peak Calendar Day Swap Futures

      188

      2S

      75

      50

      10

      5

      2N

      ERCOT Houston Zone MCPE 50 MW Off-Peak Swap Futures

      187

      2W

      30,000

      20,000

      4,000

      25

      2W

      ERCOT Houston Zone MCPE 50 MW Off-Peak Calendar-Day  Swap Futures

      189

      3E

      1,500

      1,000

      200

      25

      2W

      ERCOT North Zone MCPE 50 MW Peak Swap Futures

      190

      2P

      2,000

      1,500

      300

      25

      2P

      ERCOT North Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      196

      2T

      100

      75

      15

      1

      2P

      ERCOT North Zone MCPE 50 MW Off-Peak Swap Futures

      195

      2X

      35,000

      25,000

      5,000

      25

      2X

      ERCOT North Zone MCPE 50 MW Off-Peak Calendar-Day  Swap Futures

      197

      3F

      2,000

      1,500

      250

      5

      2X

      ERCOT South Zone MCPE 50 MW Peak Swap Futures

      198

      2Q

      750

      500

      100

      5

      2Q

      ERCOT South Zone  MCPE 50 MW Peak Calendar-Day Swap Futures

      201

      2U

      35

      25

      5

      1

      2Q

      ERCOT South Zone MCPE 50 MW Off-Peak Swap Futures

      199

      2Y

      10,000

      7,500

      1,500

      25

      2Y

      ERCOT South Zone MCPE 50 MW Off-Peak Calendar-Day  Swap Futures

      202

      3H

      500

      400

      75

      5

      2Y

      ERCOT West Zone MCPE 50 MW Peak Swap Futures

      203

      2R

      900

      600

      125

      5

      2R

      ERCOT West Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      205

      2V

      35

      25

      5

      1

      2R

      ERCOT West Zone MCPE 50 MW Off-Peak Swap Futures

      204

      3D

      15,000

      10,000

      2,000

      25

      3D

      ERCOT West Zone MCPE 50 MW Off-Peak Calendar-Day  Swap Futures

      208

      3J

      750

      500

      100

      5

      3D

       

      Midwest Independent Transmission System Operator, Inc. (MISO)

      Midwest ISO Illinois Hub 5 MW Peak Calendar-Month Day-Ahead LMP Swap Futures

      184

      4Q

      5,000

      4,000

      750

      25

      4Q

      Midwest ISO Illinois Hub 5 MW Off-Peak Calendar-Month Day-Ahead LMP  Swap Futures

      185

      4R

      70,000

      50,000

      10,000

      25

      4R