Administrative Amendments to NYMEX Chapter 5, Position Limits, Accountability Levels and Reportable Levels Table, and Clarification of the Diminishing Balance and Aggregation Allocation Columns within Chapter 5 Table

The New York Mercantile Exchange, Inc. (“NYMEX”) has amended NYMEX Chapter 5, Position Limits, Accountability Levels and Reportable Levels Table to improve the legibility of certain aggregation allocations.  In addition, this Advisory Notice provides clarifications of the Aggregation Allocation and Diminishing Balance Contracts columns within the Chapter 5 Table.  The administrative amendments will be effective on trade date October 9, 2009.

Aggregation Allocations

For commodities that aggregate into two separate contracts, the “Aggregate Into” columns have been formatted to denote a positive correlation in the Aggregate Into column (1) and a negative correlation in the Aggregate Into column (2) corresponding with the base commodity contract.  For example, if a customer is long the New York Heating Oil (Platts) vs. NYMEX Heating Oil Swap Contract (“YH”), then the customer is long the New York Heating Oil (Platts) Swap Contract (“YF”) and short the Heating Oil Financial Futures Contract (“BH”).  (Additionally, if a customer is short the YH contract, then the customer is short YF and long BH.)

Diminishing Balances

Diminishing Balance contracts are those whose front month volume in any given contract month diminishes as the contract month progresses towards month’s end.  With regard to determining a market participant’s open position at the specific moment of the contract month, the following example is relevant. 

The Diminishing Balance contract for purposes of the example is the NYMEX WTI Calendar Swap contract (“CS”).  If a market participant is long at the beginning of, or during, the month 1,000 CS in a contract month with 20 business days, each business day 50 contracts would diminish from their open position. 

            On Business Day 1 of the contract month, their position would equal 1,000;

            On Business Day 2 of the contract month, their position would equal 950;

            On Business Day 3 of the contract month, their position would equal 900; and so on.

The “Diminishing Balances” asterisk (*) denotation has been added to highlight specific futures contracts that diminish in size as the contract month progresses towards month end.

Questions regarding this Advisory Notice may be directed Anthony V. Densieski, Director, Market Surveillance at 212.299.2881, or Chris Reinhardt, Supervisor, Market Surveillance at 212.299.2884. 

(Bold/underline indicates additions; strikethrough indicates deletions.)

PLEASE SEE ATTACHED FOR TABLE.