• Large Trader Requirement, All Month/Any One Month Accountability Levels, Expiration Month Position Limit, and Aggregation Allocation for the New CAISO Electricity Swap Option Contract

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5744
      • Notice Date
      • 31 May 2011
      • Effective Date
      • 31 May 2011
    • 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









      California Independent System Operator (CAISO)
















      CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Month Day-Ahead LMP Swap Option