SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 16-262 (7 of 14)

Organization: New York Mercantile Exchange, Inc. ("NYMEX")

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 07/07/2016 Filing Description: Initial Listing of Fourteen (14) 

ISO New England Day-Ahead Electricity Futures Contracts

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Official Product Name: See filing.

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected:

Rule Numbers: 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com 

1

Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

July 7, 2016

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

Three Lafayette Centre

1155 21st Street, N.W.

Washington, D.C. 20581

Re: CFTC Regulation 40.2(a) Certification. Notification Regarding the Initial Listing of 

Fourteen (14) ISO New England Day-Ahead Electricity Futures Contracts.

NYMEX Submission No. 16-262 (7 of 14)

Dear Mr. Kirkpatrick:

New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) is notifying the Commodity Futures 

Trading Commission (“CFTC” or “Commission”) that it is self-certifying the initial listing of fourteen (14) 

ISO New England Day-Ahead Electricity Futures contracts (the “Contracts”) for trading on CME Globex 

and for submission for clearing via CME ClearPort, effective on Sunday, July 24, 2016 for trade date 

Monday, July 25, 2016, as described below.

Contract Title Rulebook

Chapter

Commodity

Code

ISO New England Connecticut Zone 

Off-Peak Calendar-Day 5 MW DayAhead LMP Futures1330 NCO

ISO New England Connecticut Zone 

Peak Calendar-Day 5 MW DayAhead LMP Futures1331 NTP

ISO New England Maine Zone OffPeak Calendar-Day 5 MW DayAhead LMP Futures

1332 NMO

ISO New England Maine Zone Peak

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1333 NMP

ISO New England New Hampshire 

Zone Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1334 NHO

ISO New England New Hampshire 

Zone Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1335 NHP

ISO New England North East 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1336 NEO
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com 

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Contract Title Rulebook

Chapter

Commodity

Code

ISO New England North East 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1337 NNP

ISO New England Rhode Island 

Zone Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1338 NRO

ISO New England Rhode Island 

Zone Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1339 NRP

ISO New England South East 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1340 NSO

ISO New England South East 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1341 NSP

ISO New England West Central 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day Ahead 

LMP Futures

1342 NWO

ISO New England West Central 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures

1343 NWP

Settlement Type Financial 

Contract Size Peak: The contract quantity shall be 80 Megawatt hours (MWh) 

based on a flow rate of 5 Megawatts (MW) per peak hour. Each 

futures contract shall be valued as the contract quantity multiplied by 

the settlement price.

Off Peak: The contract quantity shall be 5 Megawatt hours (MWh). Each 

futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

Termination of Trading Trading shall cease on the business day prior to the contract day.

Minimum Price Fluctuation $0.01 per MWh

First Listed Day July 25, 2016

Listing Convention Daily contracts listed for the current month and next month 

CME Matching Algorithm First In, First Out

Block Trade Minimum

Threshold

10 contracts
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com 

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Exchange Fees Related to Peak Contracts

Exchange Fees

Member CrossDivision Non-Member

International 

Incentive 

Programs 

(IIP/IVIP)

CME Globex $0.35 $0.37 $0.40 $0.385

EFP $0.35 $0.40

Block $0.35 $0.40

EFR/EOO $0.35 $0.40

Agency Cross $0.35 $0.40

Processing Fees Member Non-Member

Cash Settlement $0.105 $0.12

Other Fees

Facilitation Fee $0.02

Give-Up Surcharge $0.05

Position Adjustment/Transfer $0.10

Exchange Fees Related to Off-Peak Contracts

Exchange Fees

Member CrossDivision Non-Member

International 

Incentive 

Programs 

(IIP/IVIP)

CME Globex $0.0263 $0.0281 $0.03 $0.0289

EFP $0.0263 $0.03

Block $0.0263 $0.03

EFR/EOO $0.0263 $0.03

Agency Cross $0.0263 $0.03

Processing Fees Member Non-Member

Cash Settlement $0.0079 $0.0090

Other Fees

Facilitation Fee) $0.02 

Give-Up Surcharge $0.05 

Position Adjustment/Transfer $0.10 

Trading and Clearing Hours

CME Globex 

and CME 

ClearPort

Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. Chicago Time/CT) with a 60-

minute break each day beginning at 5:00 p.m. (4:00 p.m. CT) 

The Exchange is also notifying the CFTC that it is self-certifying the insertion of the terms and conditions 

for the Contracts into the Position Limit, Position Accountability and Reportable Level Table and Header 

Notes located in the Interpretations and Special Notices Section of Chapter 5 of the NYMEX Rulebook in 

relation to the listing of the new contracts. These terms and conditions establish the all month/any one 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com 

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month accountability levels, expiration month position limit, reportable level, and aggregation allocation 

for the Contracts. Please see Appendix B attached under separate cover. 

In addition, NYMEX is self-certifying block trading on the Contracts with a minimum block threshold of ten 

(10) contracts. The minimum block threshold level of ten (10) contracts for the Contracts is aligned with 

the Exchange’s existing electricity contracts. 

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in 

the Commodity Exchange Act (“CEA” or “Act”) and staff identified that the Contracts may have some 

bearing on the following Core Principles:

 Compliance with Rules: Trading in the Contracts will be subject to all NYMEX Rules, including 

prohibitions against fraudulent, noncompetitive, unfair and abusive practices as outlined in 

NYMEX Rule Chapter 4, the Exchange’s trade practice rules, the majority of which are contained 

in Chapter 5 and Chapter 8 of the NYMEX Rulebook, and the dispute resolution and arbitration 

procedures of NYMEX Rule Chapter 6. As with all products listed for trading on one of CME 

Group’s designated Contracts markets, trading activity in the Contracts will be subject to 

monitoring and surveillance by CME Group’s Market Regulation Department. The Market 

Regulation Department has the authority to exercise its investigatory and enforcement power 

where potential rule violations are identified.

 Contract Not Readily Subject to Manipulation: The Contracts are not readily subject to 

manipulation as a result of the deep liquidity and robustness of the underlying futures market and 

the settlement index. 

 Prevention of Market Disruption: Trading in the Contracts will be subject to the Rules of 

NYMEX, which include prohibitions on manipulation, price distortion, and disruption to the cash 

settlement process. As with any new product listed for trading on a CME Group designated 

contract market, trading activity in the futures Contracts proposed herein will be subject to 

monitoring and surveillance by CME Group’s Market Regulation Department.

 Position Limitations or Accountability: The Exchange has a detailed calculation methodology 

for the position limits in the Contracts.

 Availability of General Information: The Exchange will publish on its website information in 

regard to Contracts specifications, terms, and conditions, as well as daily trading volume, open 

interest, and price information for the Contracts.

 Daily Publication of Trading Information: The Exchange will publish Contracts trading 

volumes, open interest levels, and price information daily on its website and through quote 

vendors for the Contracts.

 Execution of Transactions: The Contracts will be listed for trading on the CME Globex 

electronic trading and for clearing through CME ClearPort. The CME Globex trading venue 

provides for competitive and open execution of transactions. CME Globex affords the benefits of 

reliability and global connectivity.

 Trade Information: All requisite trade information for the Contracts will be included in the audit 

trail and is sufficient for the Market Regulation Department to monitor for market abuse.

 Financial Integrity of Contract: The Contracts will be cleared by the CME Clearing House, a 

derivatives clearing organization registered with the CFTC and subject to all CFTC regulations 

related thereto.

 Protection of Market Participants: NYMEX Rulebook Chapters 4 and 5 set forth multiple 

prohibitions that preclude intermediaries from disadvantaging their customers. These rules apply 

to trading in all of the Exchange’s competitive trading venues.
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 299 2299 christopher.bowen@cmegroup.com 

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 Disciplinary Procedures: Chapter 4 of the Rulebook contains provisions that allow the 

Exchange to discipline, suspend or expel members or market participants that violate the 

Rulebook. Trading in the Contracts will be subject to Chapter 4, and the Market Regulation 

Department has the authority to exercise its enforcement power in the event rule violations in 

these products are identified.

 Dispute Resolution: Disputes with respect to trading in the Contracts will be subject to the 

arbitration provisions set forth in Chapter 6 of the Rulebook. Chapter 6 allows all nonmembers to 

submit a claim for financial losses resulting from transactions on the Exchange to arbitration. A 

member named as a respondent in a claim submitted by a nonmember is required to participate 

in the arbitration pursuant to Chapter 6. Additionally, the Exchange requires that members 

resolve all disputes concerning transactions on the Exchange via arbitration.

Pursuant to Section 5c(c) of the Act and CFTC Regulation 40.2(a), the Exchange hereby certifies that 

listing the Contracts complies with the Act, including regulations under the Act. There were no substantive 

opposing views to listing of the Contracts. 

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.cmegroup.com/market-regulation/rule-filings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 

or via e-mail at CMEGSubmissionInquiry@cmegroup.com.

Sincerely,

/s/ Christopher Bowen

Managing Director and Chief Regulatory Counsel

Attachments: Appendix A: NYMEX Rulebook Chapters

Appendix B: Position Limit, Position Accountability, and Reportable Level Table in 

 Chapter 5 of the NYMEX Rulebook (attached under separate cover)

Appendix C: NYMEX Rule 588.H. (“Globex Non-Reviewable Trading Ranges”)

Appendix D: Cash Market Overview and Analysis of Deliverable Supply
6

APPENDIX A

NYMEX Rulebook Chapters

Chapter 1330

ISO New England Connecticut Zone Off-Peak Calendar-Day 5 MW Day-Ahead LMP 

Futures

1330100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1330101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Connecticut Zone Day-Ahead LMP for off peak hours provided by ISO New England, for 

the contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1330102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1330102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1330102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1330102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1330102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1330102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1330102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day.

1330102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1330103. FINAL SETTLEMENT 
7

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
8

Chapter 1332

ISO New England Maine Zone Off-Peak Calendar-Day 5 MW Day-Ahead LMP 

Futures

1332100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1332101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Maine Zone Day-Ahead LMP for off peak hours provided by ISO New England, for the 

contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1332102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1332102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1332102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1332102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1332102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1332102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1332102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day.

1332102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1332103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
9

Chapter 1334

ISO New England New Hampshire Zone Off-Peak Calendar-Day 5 MW Day-Ahead 

LMP Futures

1334100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1334101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England New Hampshire Zone Day-Ahead LMP for off peak hours provided by ISO New England, 

for the contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1334102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1334102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1334102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1334102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1334102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1334102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1334102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1334102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1334103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
10

Chapter 1336

ISO New England North East Massachusetts Zone Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1336100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1336101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England North East Massachusetts Zone Day-Ahead LMP for off peak hours provided by ISO New 

England, for the contract day. For settlement of this contract, the prices provided by ISO New 

England will be considered final on the Payment Date and will not be subject to any further 

adjustment. 

1336102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1336102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1336102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1336102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1336102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1336102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1336102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1336102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1336103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
11

Chapter 1338

ISO New England Rhode Island Zone Off-Peak Calendar-Day 5 MW Day-Ahead 

LMP Futures

1338100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1338101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Rhode Island Zone Day-Ahead LMP for off peak hours provided by ISO New England, for 

the contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1338102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1338102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1338102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1338102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1338102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1338102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1338102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1338102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1338103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
12

Chapter 1340

ISO New England South East Massachusetts Zone Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1340100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1340101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England South East Massachusetts Zone Day-Ahead LMP for off peak hours provided by ISO New 

England, for the contract day. For settlement of this contract, the prices provided by ISO New 

England will be considered final on the Payment Date and will not be subject to any further 

adjustment. 

1340102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1340102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1340102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1340102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1340102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1340102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1340102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1340102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1340103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
13

Chapter 1342

ISO New England West Central Massachusetts Zone Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures

1342100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1342101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England West Central Massachusetts Zone Day-Ahead LMP for off peak hours provided by ISO 

New England, for the contract day. For settlement of this contract, the prices provided by ISO New 

England will be considered final on the Payment Date and will not be subject to any further 

adjustment. 

1342102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange. 

1342102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange. 

1342102.B. Trading Unit 

The contract quantity shall be 5 Megawatt hours (MWh). Each futures contract shall be valued as 

the contract quantity multiplied by the settlement price. 

1342102.C. Peak Days and Peak Hours 

Off-Peak shall mean Monday through Friday Hour Ending (HE) 0100-0700 and 2400 Eastern 

Prevailing Time (EPT) and Saturday-Sunday HE 0100-2400 EPT including North American Electric 

Reliability Corporation holidays. 

1342102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01 per MWh. 

1342102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1342102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1342102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1342103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
14

Chapter 1331

ISO New England Connecticut Zone Peak Calendar-Day 5MW Day-Ahead LMP 

Futures

1331100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1331101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Connecticut Day-Ahead LMP for peak hours provided by ISO New England, for the 

contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1331102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1331102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1331102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1331102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1331102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1331102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1331102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1331102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1331103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
15

Chapter 1333

ISO New England Maine Zone Peak Calendar- Day 5 MW Day-Ahead LMP Futures

1333100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1333101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Maine Zone Day-Ahead LMP for peak hours provided by ISO New England, for the 

contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1333102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1333102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1333102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1333102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1333102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1333102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1333102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1333102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1333103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day. 
16

Chapter 1335

ISO New England New Hampshire Zone Peak Calendar-Day 5MW Day-Ahead LMP 

Futures

1335100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1335101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England New Hampshire Zone Day-Ahead LMP for peak hours provided by ISO New England, for 

the contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1335102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1335102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1335102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1335102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1335102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1335102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable

exemptions from the specified position limits. 

1335102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1335102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1335103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
17

Chapter 1337

ISO New England North East Massachusetts Zone Peak Calendar-Day 5MW DayAhead LMP Futures

1337100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1337101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England North East Massachusetts Day-Ahead LMP for peak hours provided by ISO New England, 

for the contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1337102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1337102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1337102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1337102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1337102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1337102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1337102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1337102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1337103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
18

Chapter 1339

ISO New England Rhode Island Zone Peak Calendar-Day 5MW Day-Ahead LMP 

Futures

1339100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1339101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England Rhode Island Zone Day-Ahead LMP for peak hours provided by ISO New England, for the 

contract day. For settlement of this contract, the prices provided by ISO New England will be 

considered final on the Payment Date and will not be subject to any further adjustment. 

1339102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1339102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1339102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1339102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1339102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1339102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1339102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1339102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1339103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
19

Chapter 1341

ISO New England South East Massachusetts Zone Peak Calendar-Day 5MW DayAhead LMP Futures

1341100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1341101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England South East Massachusetts Zone Day-Ahead LMP for peak hours provided by ISO New 

England, for the contract day. For settlement of this contract, the prices provided by ISO New 

England will be considered final on the Payment Date and will not be subject to any further 

adjustment. 

1341102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1341102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1341102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1341102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1341102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1341102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1341102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1341102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1341103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
20

Chapter 1343

ISO New England West Central Massachusetts Zone Peak Calendar-Day 5MW

Day-Ahead LMP Futures

1343100. SCOPE OF CHAPTER 

The provisions of these rules shall apply to all futures contracts bought or sold on the Exchange for 

cash settlement based on the Floating Price. The procedures for trading, clearing and cash 

settlement of this contract, and any other matters not specifically covered herein shall be governed 

by the general rules of the Exchange. 

1343101. CONTRACT SPECIFICATIONS 

The Floating Price for each contract day will be equal to the arithmetic average of the ISO New 

England West Central Massachusetts Zone Day-Ahead LMP for peak hours provided by ISO New 

England, for the contract day. For settlement of this contract, the prices provided by ISO New 

England will be considered final on the Payment Date and will not be subject to any further 

adjustment. 

1343102. TRADING SPECIFICATIONS 

The number of days open for trading at a given time shall be determined by the Exchange.

1343102.A. Trading Schedule 

The hours of trading for this contract shall be determined by the Exchange.

1343102.B. Trading Unit 

The contract quantity shall be 80 Megawatt hours (MWh) based on a flow rate of 5 Megawatts 

(MW) per peak hour. Each futures contract shall be valued as the contract quantity multiplied by the 

settlement price. 

1343102.C. Peak Days and Peak Hours 

Peak day shall mean a Monday through Friday, excluding North American Electric Reliability 

Corporation holidays. Peak hour shall mean from Hour Ending (HE) 0800 Eastern Prevailing Time 

(EPT) through HE 2300 EPT. 

1343102.D. Price Increments 

Prices shall be quoted in U.S. dollars and cents per MWh. The minimum price fluctuation shall be 

$0.01per MWh. 

1343102.E. Position Limits, Exemptions, Position Accountability and Reportable Levels 

The applicable position limits and/or accountability levels, in addition to the reportable levels, are 

set forth in the Position Limit, Position Accountability and Reportable Level Table in the 

Interpretations & Special Notices Section of Chapter 5. 

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 

Regulation Department may grant qualified exemptions in its sole discretion. 

Refer to Rule 559 for requirements concerning the aggregation of positions and allowable 

exemptions from the specified position limits. 

1343102.F. Termination of Trading 

Trading shall cease on the business day prior to the contract day. 

1343102.G. Payment Date 

Payment Date shall be five (5) business days following termination of trading. 

1343103. FINAL SETTLEMENT 

Final settlement under the contract shall be by cash settlement. Final settlement, following 

termination of trading for a contract day, will be based on the Floating Price. The final settlement 

price will be the Floating Price calculated for each contract day.
21

APPENDIX B

Position Limit, Position Accountability, and Reportable Level Table in

Chapter 5 of the NYMEX Rulebook

(attached under separate cover)
22

APPENDIX C

NYMEX Chapter 5

(“Trading Qualifications and Practices”)

Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) 
23

APPENDIX D

Cash Market Overview and Analysis of Deliverable Supply

ISO NEW ENGLAND

ISO New England1(ISO-NE) is an independent, not-for-profit corporation that is the Regional 

Transmission Organizations (RTO) serving Connecticut, Maine, Massachusetts, New Hampshire, Rhode 

Island, and Vermont. This RTO is primarily responsible for providing centrally dispatched instructions for 

the generation and flow of electricity, developing and operating the New England wholesale electricity 

marketplace, and managing comprehensive bulk electric power system and wholesale markets' planning 

processes. ISO-NE has operated as an RTO since February 1, 2005, and it manages day-ahead and 

real-time energy markets, a forward capacity market, regulation market (e.g., frequency regulation), 

reserve markets, and annual and monthly auctions of financial transmission rights (FTRs). ISO-NE prices 

power at each state-level load zones, except for Massachusetts, which is divided into northeastern, 

southeastern, and western/central regions. The RTO also prices power at the Mass Hub (also referred to 

the Internal Hub).

MARKET COMPETITIVENESS AND OVERSIGHT

Independent system operators (ISO) and RTO markets manage the generation and transmission of 

electricity within their respective service areas. ISO/RTO markets are highly competitive were established 

following Federal Energy Regulatory Commission (FERC) orders. FERC Order No. 888 identified barriers 

to competitive wholesale electricity markets and required that those barriers be removed. FERC Order 

No. 889 established open access to system information. FERC Order No. 2000 provided the framework 

for the formation of ISO/RTO markets. Under FERC oversight ISO-NE operates and monitors its 

respective market to ensure the competitiveness and reliability of the electricity system. Specifically, 

FERC monitors and investigates energy markets with respect to manipulation, and it enforces regulatory 

requirements through imposition of civil penalties and other means. Specifically, the Office of 

Enforcement within FERC ensures compliance with FERC statutes, rules, and orders. In this regard, the 

enforcement office monitors energy markets and gathers relevant data to prohibit market manipulation, 

fraud, and violations of electric reliability standards. 

 

1

http://www.iso-ne.com/
24

The ISO/RTOs are also monitored by the North American Electric Reliability Corporation (NERC), a nonprofit organization made up of stakeholders responsible for developing reliability standards (both 

seasonal and long term) and ensuring compliance with those standards. NERC has various committees, 

sub-committees, task forces, and working groups investigating and analyzing system disruptions to 

prevent market manipulation. NERC is subject to oversight by FERC.

In addition to governmental and industry organizations, each ISO/RTO is monitored by an independent 

market monitor. The market monitors regularly evaluate the competitiveness of their respective markets, 

recommend improvements plans, and review the implementation of those plans. Market monitors publish 

quarterly and annual market reports to raise public awareness of the state of their respective markets.

DAY-AHEAD VERSUS REAL-TIME MARKET

ISO-NE offers two basic energy markets for physical market participants: a real-time (or spot) market and 

a day-ahead market. The real-time and day-ahead markets are interrelated as the day-ahead market is a 

forward market for pricing power that is delivered during a given hour on the following day. In contrast, 

the real-time market prices electricity that flows during a particular hour on the same day. Each hour has 

a separate auction in the day-ahead and real-time markets. Moreover, the day-ahead and real-time 

markets adopt a competitive auction process developed by the stakeholders from both the generation and 

load sides. Hourly market-clearing prices or locational marginal prices (LMPs) are published for both the 

day-ahead and real-time markets to reflect dynamic and competitive pricing and are publicly available on 

a timely basis to ensure competiveness and transparency. This submission includes contracts based on

day-ahead market.

NEW ENGLAND ZONES

ISO New England zone is defined as an aggregation of nodes in the New England Balancing Authority 

Area. New England is divided into the following eight load zones: Maine (ME), New Hampshire (NH), 

Vermont (VT), Rhode Island (RI), Connecticut (CT), Western/Central Massachusetts (WCMA), Northeast 

Massachusetts and Boston (NEMA), and Southeast Massachusetts (SEMA). Generators are paid the 

real-time LMP for electric energy at their respective nodes, and participants serving demand pay the price 

at their respective load zones.

 ISO-NE Connecticut: a group of 247 nodes. The Connecticut zone is the largest subset of nodes 

in the ISO-NE control area.
25

 ISO-NE Maine: a group of 171 nodes in the state of Maine. This zone covers the largest 

geographic area in the ISO-NE control area.

 ISO-NE Rhode Island: a group of 58 nodes in the state of Rhode Island.

 ISO-NE New Hampshire: is the smallest zone in the ISO-NE control area with 11 nodes.

 ISO-NE South East Massachusetts: a group of 124 nodes covering the south east region in the 

state of Massachusetts.

 ISO-NE North East Massachusetts: a group of 114 nodes covering the north east region in the 

state of Massachusetts.

 ISO-NE West Central Massachusetts: a group of 166 nodes covering west central 

Massachusetts. 

DELIVERABLE SUPPLY ESTIMATION

Load data reflect the amount of electricity that is produced and consumed in real time. The analysis of 

deliverable supply is based on actual load information reported by an RTO/ISO. 

The deliverable supply for each zonal contract is based on the maximum one-hour load realized in the 

specified zone for the time period of January 1, 2013 to June 14, 2016 as illustrated in Table 1. Because 

the maximum load theoretically can occur during any one hour of the day, the maximum load is applied to 

the deliverable supply calculations for both peak and off-peak contracts. It is assumed that there are 368 

peak hours and 424 off-peak hours in ISO New England market. Table 2 shows the monthly deliverable 

supply adjusted to reflect the contract size of 80 MWh for the peak and 5 MWh for the off-peak contracts. 

The spot month position limits for the daily contracts are estimated based on the current position limits for 

the monthly contracts assuming 21 peak days and 9 off-peak days in the month. The spot month limit for 

the monthly contract will not be changed. Table 3 includes the parent monthly contracts and 

corresponding daily contracts which they aggregate into.

Table 1: Maximum Hourly Load MW2

Zone 

Maximum 

Hourly 

Load MW

Connecticut

 

6,730 

Maine

 

2,026 

NE Massachusetts

 

5,071 

New Hampshire

 

2,370 

Rhode Island

 

1,875 

 

2

The data was collected using NRGSTREAM application.
26

Zone 

Maximum 

Hourly 

Load MW

SE Massachusetts

 

3,293 

WC Massachusetts

 

3,527 

Table 2: Position Limits Calculation

Location

Maximum 

Hourly 

Load

Period

Contract 

Size 

(MW)

Monthly 

Deliverable 

Supply 

(MW)

Monthly 

Deliverable 

Supply 

(Contracts)

Position 

Limit for 

Monthly

(Current)

Position 

Limits 

for Daily 

(Actual)

Position 

Limits for 

Daily 

(Rounded) 

Percentage 

of 

Deliverable 

Supply

ISO-NE

Maine 2026.00 Peak 80

 

745,568 

 

9,319.60 1,770 84 80 19%

Off-Peak 5

 

859,024 

 

171,804.80 26,790 19,089 19,085 16%

New Hampshire 2370.40 Peak 80

 

872,307 

 

10,903.84 2,440 116 115 22%

Off-Peak 5

 

1,005,050 

 

201,009.92 34,760 22,334 22,330 17%

SE Massachusetts 3292.50 Peak 80

 

1,211,640 

 

15,145.50 2,260 108 105 15%

Off-Peak 5

 

1,396,020 

 

279,204 32,390 31,023 31,020 12%

WC Massachusetts 3527.00 Peak 80

 

1,297,936 

 

16,224 2,640 126 125 16%

Off-Peak 5

 

1,495,448 

 

299,090 37,900 33,232 33,230 13%

NE Massachusetts 5071.2 Peak 80

 

1,866,202 

 

23,328 3,850 183 180 17%

Off-Peak 5

 

2,150,189 

 

430,038 55,620 47,782 47,780 13%

Rhode Island 1875.20 Peak 80

 

690,074 

 

8,626 1,590 76 75 18%

Off-Peak 5

 

795,085 

 

159,017 22,720 17,669 17,665 14%

Connecticut 6729.70 Peak 80

 

2,476,530 

 

30,957 4,750 226 225 15%

Off-Peak 5

 

2,853,393 

 

570,679 67,840 63,409 63,405 12%
27

Table 3: Existing Parent Monthly Contracts and

New Daily Contracts Aggregation Relationship

Commodity

Code

Existing Parent Monthly

Contract Title New Daily Contract Title CommodityCode

P3

ISO New England Connecticut Zone 5 

MW Off-Peak Calendar-Month DayAhead LMP Futures

ISO New England Connecticut 

Zone Off-Peak Calendar-Day 5 

MW Day-Ahead LMP Futures NCO

P2

ISO New England Connecticut Zone 5 

MW Peak Calendar-Month DayAhead LMP Futures

ISO New England Connecticut 

Zone Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures NTP

W2

ISO New England Maine Zone 5 MW 

Off-Peak Calendar-Month Day-Ahead 

LMP Futures

ISO New England Maine Zone 

Off-Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures NMO

P9

ISO New England Maine Zone 5 MW 

Peak Calendar-Month Day-Ahead 

LMP Futures

ISO New England Maine Zone 

Peak Calendar-Day 5 MW DayAhead LMP Futures NMP

U3

ISO New England New Hampshire 

Zone 5 MW Off-Peak Calendar-Month 

Day-Ahead LMP Futures

ISO New England New 

Hampshire Zone Off-Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures NHO

U2

ISO New England New Hampshire 

Zone 5 MW Peak Calendar-Month 

Day-Ahead LMP Futures

ISO New England New 

Hampshire Zone Peak CalendarDay 5 MW Day-Ahead LMP 

Futures NHP

P8

ISO New England North East 

Massachusetts Zone 5 MW Off-Peak 

Calendar-Month Day-Ahead LMP 

Futures

ISO New England North East 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures NEO

P7

ISO New England North East 

Massachusetts Zone 5 MW Peak 

Calendar-Month Day-Ahead LMP 

Futures

ISO New England North East 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures NNP

U5

ISO New England Rhode Island Zone 

5 MW Off-Peak Calendar-Month DayAhead LMP Futures

ISO New England Rhode Island 

Zone Off-Peak Calendar-Day 5 

MW Day-Ahead LMP Futures NRO

U4

ISO New England Rhode Island Zone 

5 MW Peak Calendar-Month DayAhead LMP Futures

ISO New England Rhode Island 

Zone Peak Calendar-Day 5 MW 

Day-Ahead LMP Futures NRP

P5

ISO New England South East 

Massachusetts Zone 5 MW Off-Peak 

Calendar-Month Day-Ahead LMP 

Futures

ISO New England South East 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures NSO

P4

ISO New England South East 

Massachusetts Zone 5 MW Peak 

Calendar-Month Day-Ahead LMP 

Futures

ISO New England South East 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead 

LMP Futures NSP

L9

ISO New England West Central 

Massachusetts Zone 5 MW Off-Peak 

Calendar-Month Day Ahead LMP 

Futures

ISO New England West Central 

Massachusetts Zone Off-Peak 

Calendar-Day 5 MW Day Ahead 

LMP Futures NWO

R6

ISO New England West Central 

Massachusetts Zone 5 MW Peak 

Calendar-Month Day-Ahead LMP 

ISO New England West Central 

Massachusetts Zone Peak 

Calendar-Day 5 MW Day-Ahead NWP
28

Commodity

Code

Existing Parent Monthly

Contract Title New Daily Contract Title CommodityCode

Futures LMP Futures