• Large Trader Requirement, All Month/Any One Month Accountability Levels, Expiration Month Position Limit, Diminishing Balances and Aggregation Allocation for the New NY ULSD (Argus) vs. Heating Oil Spread Balmo Swap Futures Contract

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6173
      • Notice Date
      • 22 March 2012
      • Effective Date
      • 26 March 2012
    • In connection with the launch of the new NY ULSD (Argus) vs. Heating Oil Spread Balmo Swap Futures contract on trade date March 26, 2012 (see SER-6153 dated March 8, 2012), 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), diminishing balances 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
      Diminish- ing Balances Contracts
      All Month Account-ability Level
      Any One Month Account-ability Level
      Expira-tion Month Limit
      Report-ing Level
      Aggre-gate Into (1)
      Aggre-gate Into (2)
      Rule 560
      Rule 560
      Rule 559
      Rule 561
      NY ULSD (Argus) vs. Heating Oil Spread BALMO Swap Futures
      10,000/ 7,000
      10,000/ 5,000
      1,000/ 1,000