SER-6637 - CME Group

Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Five (5) New Energy and Metals Realized Variance Futures Contracts

- To
- Members, Member Firms and Market Users
- From
- Market Regulation Department
- #
- SER-6637
- Notice Date
- 31 May 2013
- Effective Date
- 31 May 2013

In connection with the launch of five (5) new energy and metals variance realized futures contracts on trade date June 3, 2013 (see SER-6588R dated May 31, 2013), please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), spot month position limits (NYMEX Rule 559), reportable levels (NYMEX

Rule 561), and spot month aggregation allocations for the new contracts. Effective trade date June 3, 2013, and pending all relevant CFTC regulatory review periods, the terms and conditions for these contracts will be inserted into the NYMEX Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook.

Contract Name	Rule Chap-ter	Com-modity Code	Spot-Month Aggregate Into Futures Equivalent Leg (1)	Initial Spot-Month Limit (In Net Futures Equiva-lents)	All Month Account-ability Level	Any One Month Account-ability Level	Report-ing Level
WTI Crude Oil Realized Variance Futures (Quarterly)	1230	VLR	VLR	500,000	500,000	500,000	5,000
WTI Crude Oil Realized Variance Futures (Semi-Annual)	1230	VLS	VLS	500,000	500,000	500,000	5,000
WTI Crude Oil Realized Variance Futures (Annual)	1230	VLA	VLA	500,000	500,000	500,000	5,000

Brent Crude Oil Realized Variance Futures (Quarterly)	1231	VBQ	VBQ	400,000	400,000	400,000	5,000
Brent Crude Oil Realized Variance Futures (Semi-Annual)	1231	VBS	VBS	400,000	400,000	400,000	5,000
Brent Crude Oil Realized Variance Futures (Annual)	1231	VBY	VBY	400,000	400,000	400,000	5,000
Natural Gas Realized Variance Futures (Quarterly)	1232	VNQ	VNQ	200,000	200,000	200,000	5,000
Natural Gas Realized Variance Futures (Semi-Annual)	1232	VNS	VNS	200,000	200,000	200,000	5,000
Natural Gas Realized Variance Futures (Annual)	1232	VNA	VNA	200,000	200,000	200,000	5,000
Gold Realized Variance Futures (Quarterly)	1233	VGQ	VGQ	1,000,000	1,000,000	1,000,000	5,000
Gold Realized Variance Futures (Semi-Annual)	1233	VGS	VGS	1,000,000	1,000,000	1,000,000	5,000
Gold Realized Variance Futures (Annual)	1233	VGA	VGA	1,000,000	1,000,000	1,000,000	5,000
Silver Realized Variance Futures (Quarterly)	1234	VSQ	VSQ	200,000	200,000	200,000	5,000
Silver Realized Variance Futures (Semi-Annual)	1234	VSS	VSS	200,000	200,000	200,000	5,000
Silver Realized Variance Futures (Annual)	1234	VSY	VSY	200,000	200,000	200,000	5,000

Chris.Reinhardt@cmegroup.com (212) 299-2882Ryne.Toscano@cmegroup.com (212) 299-2879

The commodity codes are provided for the Clearing Members that file reports pursuant to NYMEX Rule 561.A in a machine-readable format.

Please refer questions on this subject to:

Market Surveillance

Chris Reinhardt

Ryne Toscano

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Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Five (5) New Energy and Metals Realized Variance Futures Contracts