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Large Trader Reporting Requirements, All Month/Any One Month Position Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Sixteen (16) New ERCOT and Two (2) New PJM DOM Electricity Swap Futures Contracts
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- To
- Members, Member Firms and Market Users
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- From
- Market Regulation Department
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- #
- SER-4994
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- Notice Date
- 15 September 2009
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- Effective Date
- 15 September 2009
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In connection with the launch of sixteen (16) new ERCOT and two (2) new PJM DOM electricity swap futures contracts on trade date September 21, 2009, please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), expiration month position limits (NYMEX Rule 559), reportable levels (NYMEX Rule 561) and aggregation allocations for the new contracts. The commodity codes are provided for the Clearing Members that file reports pursuant to NYMEX Rule 561.A 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
Com-modity Code
All Month Account-ability Level
Any One Month Account-ability Level
Expira-tion Month Limit
Report-ing Level
Aggre-gate Into (1)
Rule 560
Rule 560
Rule 559
Rule 561
Electricity
ERCOT
ERCOT Reliability Council of Texas (ERCOT) Platts Megawatt Daily
ERCOT Houston Zone MCPE 5 MW Peak Swap Futures
276
I1
2,000
1,500
250
25
2N
ERCOT Houston Zone MCPE 5 MW Peak Calendar-Day Swap Futures
278
I3
75
50
10
5
2N
ERCOT Houston Zone MCPE 5 MW Off-Peak Swap Futures
277
I2
30,000
20,000
4,000
25
2W
ERCOT Houston Zone MCPE 5 MW Off-Peak Calendar-Day Swap Futures
279
I4
1,500
1,000
200
25
2W
ERCOT North Zone MCPE 5 MW Peak Swap Futures
280
I5
2,000
1,500
300
25
2P
ERCOT North Zone MCPE 5 MW Peak Calendar-Day
Swap Futures
282
I7
100
75
15
1
2P
ERCOT North Zone MCPE 5 MW Off-Peak Swap Futures
281
I6
35,000
25,000
5,000
25
2X
ERCOT North Zone MCPE 5 MW Off-Peak Calendar-Day Swap Futures
283
I8
2,000
1,500
250
5
2X
ERCOT South Zone MCPE 5 MW Peak Swap Futures
284
I9
750
500
100
5
2Q
ERCOT South Zone MCPE 5 MW Peak Calendar-Day Swap Futures
286
K1
35
25
5
1
2Q
ERCOT South Zone MCPE 5 MW Off-Peak Swap Futures
285
J1
10,000
7,500
1,500
25
2Y
ERCOT South Zone MCPE 5 MW Off-Peak Calendar-Day Swap Futures
287
M1
500
400
75
5
2Y
ERCOT West Zone MCPE 5 MW Peak Swap Futures
288
N1
900
600
125
5
2R
ERCOT West Zone MCPE 5 MW Peak Calendar-Day Swap Futures
290
R1
35
25
5
1
2R
ERCOT West Zone MCPE 5 MW Off-Peak Swap Futures
289
O1
15,000
10,000
2,000
25
3D
ERCOT West Zone MCPE 5 MW Off-Peak Calendar-Day Swap Futures
291
R4
750
500
100
25
3D
PJM Interconnection, LLC
DOM Zone
PJM DOM Zone Peak Calendar-Month Day-Ahead LMP Swap Futures
274
R5
14,000
10,000
2,000
25
R5
PJM DOM Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures
275
U1
280,000
200,000
40,000
25
U1
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