• Administrative Amendments to Increase the All Month/Any One Month Accountability Levels and Expiration Month Limits for Eight (8) Existing Midwest ISO Cinergy Hub Electricity Swap Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5181
      • Notice Date
      • 25 March 2010
      • Effective Date
      • 29 March 2010

    • The New York Mercantile Exchange, Inc. is amending the all month/any one month account-ability levels (NYMEX Rule 560) and expiration month limits (NYMEX Rule 559) for eight (8) existing Midwest ISO Cinergy Hub electricity swap futures contracts.  The accountability levels and position limits of the Cinergy futures and options contracts have been increased to reflect the substantial OTC volume in this market.  These adjusted levels and limits will be added to the Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook.  These changes will be made effective on trade date March 29, 2010.

       

      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; 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 560

      Rule 560

      Rule 559

      Rule 561

      Electricity

       

       

       

       

       

       

       

      Midwest Independent Transmission System Operator, Inc. (MISO)

       

       

       

       

       

       

       

       

      Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Futures

      774

      EM

      1,500 3,500

      1,000 2,500

      200 500

      25

      EM

       

      Midwest ISO Cinergy Hub Peak Calendar-Month LMP Swap Option

      383

      OY

      1,500 3,500

      1,000 2,500

      200 500

      25

      EM

       

      Midwest ISO Cinergy Hub Calendar-Day Peak LMP Swap Futures

      774B

      CC

      1,500 3,500

      1,000 2,500

      200 500

      25

      EM

       

      Midwest ISO Cinergy Hub 5 MW Peak Calendar-Month Real-Time Swap Futures

      802

      H3

      1,500 3,500

      1,000 2,500

      200 500

      25

      EM

       

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

      859

      H5

      14,000 25,000

      10,000 15,000

      2,000 3,500

      25

      H5

       

      Midwest ISO Cinergy Hub Off-Peak LMP Swap Futures

      774A

      EJ

      700 2,250

      500 1,500

      100 300

      25

      EJ

       

      Midwest ISO  Cinergy Hub 5 MW Off-Peak Calendar-Month Real-Time Swap Futures

      803

      H4

      700 2,250

      500 1,500

      100 300

      25

      EJ

       

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

      893

      K2

      250,000 150,000

      200,000 125,000

      40,000 60,000

      25

      K2

       

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