• Large Trader Reporting Requirements, All Month/Any One Month Position Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Three (3) New PJM Zone Swap Option Contracts, and One (1) Cinergy Swaption Contract

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5249
      • Notice Date
      • 20 May 2010
      • Effective Date
      • 20 May 2010

    • In connection with the launch of three (3) new PJM Zone swap option contracts and one (1) Cinergy swaption contract on trade date May 24, 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 Joe Hawrysz, Director, Global Market Surveillance, at 312.341.7750.   

       

       

       

       

       

      (Bold/underline indicates additions.)

       

       

      Contract Name

      Rule Chapter

      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 561

       

      Electricity

       

       

       

       

       

       

       

      Midwest Independent Transmission System Operator, Inc. (MISO)

       

       

       

       

       

       

       

      Midwest ISO Cinergy Hub Peak Option on Calendar Futures Strip

      921

      OEM

      3,500

      2,500

      500

      25

      EM

       

      JCPL Zone

       

       

       

       

       

       

       

      PJM JCPL Zone Peak Calendar-Month Day-Ahead LMP Swap Option

      923

      JCL

      9,000

      7,000

      2,000

      25

      J2

       

      PEPCO Zone

       

       

       

       

       

       

       

      PJM PEPCO Zone Peak Calendar-Month Day-Ahead LMP Swap Option

      924

      PEP

      9,000

      7,000

      2,000

      25

      R8

       

      PSEG Zone

       

       

       

       

       

       

       

      PJM PSEG Zone Peak Calendar-Month Day-Ahead LMP Swap Option

      922

      PSG

      9,000

      7,000

      2,000

      25

      L6

       

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