• Large Trader Reporting Requirements, All Month/Any One Month Position Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Four (4) New Electricity Swap Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5100
      • Notice Date
      • 08 January 2010
      • Effective Date
      • 08 January 2010
    • In connection with the launch of four (4) new electricity swap futures contracts on trade date January 11, 2010, 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.   

       

       

      (Bold/underline indicates additions)

       

       

      Contract Name

      Rule Chap-ter

      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 560

      Electricity

       

       

       

       

       

       

       

       

      PJM Interconnection, LLC

      METED Zone

      PJM METED Zone Peak Calendar-Month Day-Ahead LMP Swap Futures

      272

      47

      9,000

      7,000

      2,000

      25

      47

      PJM METED Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures

      273

      46

      200,000

      80,000

      40,000

      25

      46

       

      PENELEC Zone

      PJM PENELEC Zone Peak Calendar-Month Day-Ahead LMP Swap Futures

      292

      49

      9,000

      7,000

      2,000

      25

      49

      PJM PENELEC Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures

      293

      50

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