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Large Trader Reporting Requirements, All Month/Any One Month Position Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Four (4) New Electricity Swap Futures Contracts
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- To
- Members, Member Firms and Market Users
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- From
- Market Regulation Department
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- #
- SER-5100
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- Notice Date
- 08 January 2010
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- Effective Date
- 08 January 2010
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In connection with the launch of four (4) new electricity swap futures contracts on trade date January 11, 2010, 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. 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 Anthony V. Densieski, Director, Market Surveillance at 212.299.2881, or Chris Reinhardt, Supervisor, Market Surveillance at 212.299.2884.
(Bold/underline indicates additions)
Contract Name
Rule Chap-ter
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 560
Electricity
PJM Interconnection, LLC
METED Zone
PJM METED Zone Peak Calendar-Month Day-Ahead LMP Swap Futures
272
47
9,000
7,000
2,000
25
47
PJM METED Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures
273
46
200,000
80,000
40,000
25
46
PENELEC Zone
PJM PENELEC Zone Peak Calendar-Month Day-Ahead LMP Swap Futures
292
49
9,000
7,000
2,000
25
49
PJM PENELEC Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures
293
50
200,000
150,000
40,000
25
50
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