• Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Eight (8) New Electricity Swap Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5745
      • Notice Date
      • 12 May 2011
      • Effective Date
      • 16 May 2011

    • In connection with the launch of eight (8) new electricity swap futures contracts on trade date May 16, 2011 (see SER-5747 dated May 6, 2011), 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.  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.  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 Chris Reinhardt, Associate Director, Market Surveillance, at 212-299-2882, and Ryne Toscano, Supervisor, Market Surveillance, at 212.299.2879.


      (Bold/underlining indicates additions)

      NYMEX Rulebook Chapter 5 Position Limit Table

       

      Contract Name

      Rule Chapter

      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

      		              

      Midwest Independent Transmission System Operator, Inc. (MISO)

      		              

       

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

      1070

      PDM 

      25,000

      15,000

      3,500

      25

      PDM 

       

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

      1071

      PTM 

        35,000

      25,000

      5,000

      25

      PTM 

       

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

      1072

       FDM

      420,000

      300,000

      60,000

      25

       FDM

       

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

      1073

       FTM

      280,000

        200,000

      40,000

      25

       FTM

       

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

      1074

       PDD

      25,000

      15,000

      3,500

      25

       PDM

       

      Midwest ISO Indiana Hub 5 MW Peak Calendar-Day Real-Time Swap Futures

      1075

       PTD

      35,000

       

      25,000

      5,000

      25

       PTM

       

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

      1076

       FAD

      420,000

      300,000

      60,000

      25

       FDM

       

      Midwest ISO Indiana Hub 5 MW Off-Peak Calendar-Day Real-Time Swap Futures

      1077

       FTD

        280,000

      200,000

      40,000

      25

       FTM

       

       

       

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