CME Group Electricity Swap Futures

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CME Group announced on March 11, 2009, that it would begin trading 10 new Midwest and California ISO electricity swap futures contracts, starting on March 22 for trade date March 23. The contracts are listed on NYMEX and will be available through CME ClearPort.[1]

The new swap futures contracts and their commodity codes are:

  • Midwest ISO Cinergy Hub 5 MW off-peak calendar month real-time (H4);
  • Midwest ISO Cinergy Hub 5 MW off-peak calendar month day-ahead (K2);
  • CAISO NP15 EZ Gen Hub 5 MW peak calendar month day-ahead LMP (4X);
  • CAISO SP15 EZ Gen Hub 5 MW peak calendar month day-ahead LMP (9X);
  • CAISO NP15 EZ Gen Hub 5 MW off-peak calendar month day-ahead LMP (3X);
  • CAISO SP15 EZ Gen Hub 5 MW off-peak calendar month day-ahead LMP (5X);
  • CAISO NP15 EZ Gen 5 MW peak calendar day day-ahead LMP (3Z);
  • CAISO SP15 EZ GEN 5 MW peak calendar day day-ahead LMP (9Z);
  • CAISO NP15 EZ Gen Hub 5 MW off-peak calendar day day-ahead LMP (2Z); and
  • CAISO SP15 EZ Gen 5 MW off-peak calendar day day-ahead LMP (4Z).

The exchange will list these contracts for 2009 plus the next five calendar years, and the first contract month will be May 2009. Peak contracts will be 80 megawatt hours in size, and off-peak contracts will be five megawatt hours. All contracts will have a minimum price fluctuation of $0.05.

References

  1. CME Group Announces the Launch of New Electricity Swap Futures Contracts. CME Group.