• Large Trader Requirement, Initial Spot-Month Limit, All Month/Single Month Accountability Levels, Reporting Level, and Spot Month Aggregation Allocation for the New PJM Western Hub Electricity Calendar Strip Option Contract, and Amendments to the All Month/Single Month Accountability Levels and Spot Month Position Limits of Sixteen (16) Existing Related Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-6989
      • Notice Date
      • 09 January 2014
      • Effective Date
      • 13 January 2014
    • In connection with the launch of the new PJM Western Hub electricity calendar strip option contract on trade date January 13, 2014 (see SER-6948R dated December 13, 2013), please note below the corresponding all month/single month accountability levels (NYMEX Rule 560), initial spot month position limit (NYMEX Rule 559), reportable level (NYMEXRule 561), and spot month aggregation allocation for the new contract. Effective trade date January 13, 2014, 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, as noted below.
       
      The commodity codes are provided for the Clearing Members that file reports pursuant to NYMEX Rule 561.A in a machine-readable format. 
       
      Additional administrative amendments were made to the all month/single month accountability levels and spot month position limits of sixteen (16) existing related electricity contracts that were affected by the launch of the new contracts.  
       
      (Bold/underline indicates additions, strikethrough indicates deletions)
       
       

      Contract Name
      Rule Chap-ter
      Com-modity Code
      Spot-Month Aggre-gate Into Futures Equiva-lent Leg (1)
      Initial Spot-Month Limit (In Net Futures Equiva-lents)
      Single Month Account-ability Level Leg (1) / Leg (2)
      All Month Account-ability Level Leg (1) / Leg (2)
      Report-ing Level
      PJM Western Hub Day-Ahead Off-Peak Calendar-Month 5 MW Futures
      175
      E4
      E4
      120,000 729,000
      250000 1,000,000
      300000 1,000,000
      25
       
      PJM Western Hub  Day-Ahead Off-Peak Calendar-Day 5 MW Futures
      951
      PWO
      E4
      120,000 729,000
      250000 1,000,000
      300000 1,000,000
      25
      PJM Western Hub Day-Ahead Peak Calendar-Month 5 MW Futures
      174
      J4
      J4
      7,000 39,000
      30000 50,000
      50,000
      25
      PJM Western Hub Day-Ahead Peak Calendar-Day 5 MW Futures
      950
      PWP
      J4
      7,000 39,000
      30000 50,000
      50,000
      25
       
      PJM Western Hub 50 MW Peak Calendar-Month Real-Time LMP Futures
      178
      4S
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Electricity Option on Calendar Futures Strip
      354
      6O
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM West Hub Real Time 50 MW Same Day Option
      1069
      J01-J31
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Western Hub Real-Time Peak Calendar-Day 5 MW Futures
      637
      JD
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Western Hub Real-Time Peak Calendar-Month 2.5 MW Futures
      635
      JM
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Calendar-Month LMP Option
      380
      JO
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Western Hub Peak Calendar-Month Real-Time LMP Futures
      176
      L1
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM 50 MW Calendar-Month LMP Option
      312
      PML
      JM
      2,090 3,700
      5,000
      7,000
      25
      PJM Off-Peak Calendar-Month LMP Futures
      635A
      JP
      JP
      600 3,700
      3000 5,000
      4500 7,000
      25
      PJM Western Hub Real-Time Off-Peak Calendar-Month 5 MW Futures
      177
      N9
      JP
      600 3,700
      3000 5,000
      4500 7,000
      25
      PJM West Hub Real Time 50 MW Off-Peak Option
      1179
      N9P
      JP
      600 3,700
      3000 5,000
      4500 7,000
      25
      PJM Western Hub Real-Time Off-Peak Calendar-Day 5 MW Futures
      952
      WOR
      JP
      600 3,700
      3000 5,000
      4500 7,000
      25

       


       

       
      PJM Western Hub Real-Time Off-Peak Calendar-Month 50 MW Option on Calendar Futures Strip
      758
      6OO
      JP
      3,700
      5,000
      7,000
      25

       
       
       
       
       
      Please refer questions on this subject to:
      Market Surveillance
      Chris Reinhardt                                      Chris.Reinhardt@cmegroup.com                        (212) 299-2882
      Ryne Toscano                                       Ryne.Toscano@cmegroup.com                                     (212) 299-2879

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