SER-5551 - CME Group

Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Twenty-Four (24) New Electricity Swap Futures Contracts

- To
- Members, Member Firms and Market Users
- From
- Market Regulation Department
- #
- SER-5551
- Notice Date
- 04 January 2011
- Effective Date
- 10 January 2011

In connection with the launch of twenty-four (24) new ERCOT calendar day electricity swap futures contracts on trade date January 10, 2011, please note below the corresponding all month/any one month accountability levels (NYMEX Rule 560), expiration month position limits (NYMEX Rule 559), reportable levels (NYMEXRule 561), and aggregation allocations for the new contracts. These contracts will be added to the Position Limit, Position Accountability and Reportable Level Table located in the Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook. 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 Glenn Hofferber, Associate Director, Market Surveillance, at 212.299.2884, and Ryne Toscano, Lead Market Surveillance Analyst, at 212.299.2879.

(Bold/underlining 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 561
*Electricity*
*ERCOT*
*ERCOT Reliability Council of Texas (ERCOT) Platts Megawatt Daily*
ERCOT Houston Competitive Load Zone Real-Time 5 MW Peak Calendar-Day Swap Futures	1009	EHM	700	500	100	25	EHM
ERCOT West Competitive Load Zone Real-Time 5 MW Peak Calendar-Day Swap Futures	1010	EWM	350	250	50	25	EWM
ERCOT North Competitive Load Zone Real-Time 5 MW Peak Calendar-Day Swap Futures	1011	ENM	1,050	750	150	25	ENM
ERCOT South Competitive Load Zone Real-Time 5 MW Peak Calendar-Day Swap Futures	1012	EUM	350	250	50	25	EUM
ERCOT Houston Competitive Load Zone Real-Time 5 MW Off-Peak Calendar-Day Swap Futures	1013	EHT	14,000	10,000	2,000	25	EHT
ERCOT West Competitive Load Zone Real-Time 5 MW Off-Peak Calendar-Day Swap Futures	1014	EWT	7,000	5,000	1,000	25	EWT

ERCOT North Competitive Load Zone Real-Time 5 MW Off-Peak Calendar-Day Swap Futures	1015	ENT	17,500	12,500	2,500	25	ENT
ERCOT South Competitive Load Zone Real-Time 5 MW Off-Peak Calendar-Day Swap Futures	1016	EST	5,250	3,750	750	25	EST
ERCOT Houston Competitive Load Zone Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1025	EHC	700	500	100	25	EHC
ERCOT West Competitive Load Zone Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1026	EWC	350	250	50	25	EWC
ERCOT North Competitive Load Zone Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1027	ERC	1,050	750	150	25	ERC
ERCOT South Competitive Load Zone Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1028	EUC	350	250	50	25	EUC
ERCOT Houston Competitive Load Zone Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1029	EOH	14,000	10,000	2,000	25	EOH
ERCOT West Competitive Load Zone Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1030	EWH	7,000	5,000	1,000	25	EWH

ERCOT North Competitive Load Zone Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1031	ENH	17,500	12,500	2,500	25	ENH
ERCOT South Competitive Load Zone Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1032	ETH	5,250	3,750	750	25	ETH
ERCOT Houston 345 kV Hub Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1041	EHF	700	500	100	25	EHF
ERCOT West 345 kV Hub Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1042	EWW	350	250	50	25	EWW
ERCOT North 345 kV Hub Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1043	ERW	1,050	750	150	25	ERW
ERCOT South 345 kV Hub Day-Ahead 5 MW Peak Calendar-Day Swap Futures	1044	EUW	350	250	50	25	EUW
ERCOT Houston 345 kV Hub Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1045	EHW	14,000	10,000	2,000	25	EHW
ERCOT West 345 kV Hub Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1046	EWF	7,000	5,000	1,000	25	EWF

ERCOT North 345 kV Hub Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1047	ERP	17,500	12,500	2,500	25	ERP
ERCOT South 345 kV Hub Day-Ahead 5 MW Off-Peak Calendar-Day Swap Futures	1048	EUP	5,250	3,750	750	25	EUP

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Large Trader Requirements, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Twenty-Four (24) New Electricity Swap Futures Contracts