SER-5490 - CME Group

Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Twenty-Four (24) New Electricity Swap Futures Contracts

- To
- Members, Member Firms and Market Users
- From
- Market Regulation Department
- #
- SER-5490
- Notice Date
- 01 December 2010
- Effective Date
- 06 December 2010

In connection with the launch of twenty-four (24) new ERCOT Calendar Month electricity swap futures contracts, please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), expiration month position limits (NYMEX Rule 559), reportable levels (NYMEXRule 561), and aggregation allocations for the new contracts. These contracts 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 effective on trade date December 6, 2010. 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 Glenn Hofferber, Associate Director, Market Surveillance, at 212.299.2884, and Ryne Toscano, Lead Market Surveillance Analyst, at 212.299.2879.

(Bold/underlining 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 561
*Electricity*
*ERCOT*
*ERCOT Reliability Council of Texas (ERCOT) Platts Megawatt Daily*
ERCOT Houston Competitive Load Zone Real-Time 5 MW Peak Swap Futures	1001	EHR	17,500	12,500	2,500	25	EHR
ERCOT West Competitive Load Zone Real-Time 5 MW Peak Swap Futures	1002	EWR	8,750	6,250	1,250	25	EWR
ERCOT North Competitive Load Zone Real-Time 5 MW Peak Swap Futures	1003	ERR	21,000	15,000	3,000	25	ERR
ERCOT South Competitive Load Zone Real-Time 5 MW Peak Swap Futures	1004	EUR	7,000	5,000	1,000	25	EUR
ERCOT Houston Competitive Load Zone Real-Time 5 MW Off-Peak Swap Futures	1005	EHI	280,000	200,000	40,000	25	EHI
ERCOT West Competitive Load Zone Real-Time 5 MW Off-Peak Swap Futures	1006	EWI	140,000	100,000	20,000	25	EWI

ERCOT North Competitive Load Zone Real-Time 5 MW Off-Peak Swap Futures	1007	ERI	350,000	250,000	50,000	25	ERI
ERCOT South Competitive Load Zone Real-Time 5 MW Off-Peak Swap Futures	1008	ESI	105,000	75,000	15,000	25	ESI
ERCOT Houston Competitive Load Zone Day-Ahead 5 MW Peak Swap Futures	1017	EHD	17,500	12,500	2,500	25	EHD
ERCOT West Competitive Load Zone Day-Ahead 5 MW Peak Swap Futures	1018	EWD	8,750	6,250	1,250	25	EWD
ERCOT North Competitive Load Zone Day-Ahead 5 MW Peak Swap Futures	1019	ERD	21,000	15,000	3,000	25	ERD
ERCOT South Competitive Load Zone Day-Ahead 5 MW Peak Swap Futures	1020	EUD	7,000	5,000	1,000	25	EUD
ERCOT Houston Competitive Load Zone Day-Ahead 5 MW Off-Peak Swap Futures	1021	EHY	280,000	200,000	40,000	25	EHY
ERCOT West Competitive Load Zone Day-Ahead 5 MW Off-Peak Swap Futures	1022	EWY	140,000	100,000	20,000	25	EWY

ERCOT North Competitive Load Zone Day-Ahead 5 MW Off-Peak Swap Futures	1023	ERY	350,000	250,000	50,000	25	ERY
ERCOT South Competitive Load Zone Day-Ahead 5 MW Off-Peak Swap Futures	1024	EUY	105,000	75,000	15,000	25	EUY
ERCOT Houston 345 kV Hub Day-Ahead 5 MW Peak Swap Futures	1033	EHE	17,500	12,500	2,500	25	EHE
ERCOT West 345 kV Hub Day-Ahead 5 MW Peak Swap Futures	1034	EWE	8,750	6,250	1,250	25	EWE
ERCOT North 345 kV Hub Day-Ahead 5 MW Peak Swap Futures	1035	ERE	21,000	15,000	3,000	25	ERE
ERCOT South 345 kV Hub Day-Ahead 5 MW Peak Swap Futures	1036	EUE	7,000	5,000	1,000	25	EUE
ERCOT Houston 345 kV Hub Day-Ahead 5 MW Off-Peak Swap Futures	1037	EHP	280,000	200,000	40,000	25	EHP
ERCOT West 345 kV Hub Day-Ahead 5 MW Off-Peak Swap Futures	1038	EWK	140,000	100,000	20,000	25	EWK
ERCOT North 345 kV Hub Day-Ahead 5 MW Off-Peak Swap Futures	1039	ERU	350,000	250,000	50,000	25	ERU
ERCOT South 345 kV Hub Day-Ahead 5 MW Off-Peak Swap Futures	1040	ERA	105,000	75,000	15,000	25	ERA

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Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Twenty-Four (24) New Electricity Swap Futures Contracts