• Large Trader Requirement, All Month/Any One Month Accountability Levels, Expiration Month Position Limits, and Aggregation Allocations for Four (4) New Electricity Swap Futures Contracts

      • To
      • Members, Member Firms and Market Users
      • From
      • Market Regulation Department
      • #
      • SER-5584
      • Notice Date
      • 04 February 2011
      • Effective Date
      • 07 February 2011
    • In connection with the launch of four (4) new electricity swap futures contracts on trade date February 7, 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 (NYMEX Rule 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/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

       

       

       

       

       

       

       

      Ontario

       

       

       

       

       

       

       

      Ontario Peak Calendar-Month Swap Futures  

      960

      OPM

      40,000

      24,000

      6,000

      25

      OPM

      Ontario Peak Calendar-Day Swap Futures

      964

      OPD

      2,000

      1,200

      300

      25

      OPM

      Ontario Off-Peak Calendar-Month Swap Futures

      961

      OFM

      500,000

      200,000

      100,000

      25

      OFM

      Ontario Off-Peak Calendar-Day Swap Futures

      965

      OFD

      25,000

      20,000

      5,000

      25

      OFM