In connection with the launch of the new CAISO electricity swap option contract on trade date June 6, 2011 (see SER-5768 dated May 19, 2011), please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), expiration month position limit (NYMEX Rule 559), reportable level (NYMEX Rule 561), and aggregation allocation for the new contract. This contract 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. The commodity code is 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 Chris Reinhardt, Associate Director, Market Surveillance, at 212.299.2882, and Ryne Toscano, Supervisor, Market Surveillance, at 212.299.2879.
NYMEX Rulebook Chapter 5 Position Limit Table
(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 |
|
|
|
|
|
|
|
California Independent System Operator (CAISO) |
|
|
|
|
|
|
|
SP15 |
|
|
|
|
|
|
|
CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Month Day-Ahead LMP Swap Option |
1068 |
CSZ |
40,000 |
30,000 |
6,000 |
25 |
9X |