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Notice I-14-16

June 25, 2014

Diminutive notional value contracts

In August 2012, NFA's Board of Directors adopted an Interpretive Notice entitled NFA Bylaw 1301(b): NFA Assessment Fee - Diminutive Notional Value Contracts and Security Futures Products that imposed a reduced NFA assessment fee for certain diminutive notional value (DNV) contracts and security futures products. DNV contracts typically have a notional value of $200 or less. The NFA assessment fee for qualified DNV contracts is $0.00008 per round-turn, with a minimum fee of $.01 per round-turn.

The 2012 Interpretive Notice also authorized the Executive Committee to designate certain contracts as DNV contracts upon application by a contract market or exempt commercial market. In 2012, the Executive Committee determined that over 50 contracts qualified for DNV status and the corresponding reduced assessment fee. All DNV contracts, with the exception of a NYMEX micro crude oil futures contract, are traded on ICE Futures U.S. and most are North American Monthly Mini-Sized Power futures and options contracts (ICE Power Contracts).

Effective April 28, 2014, ICE increased the size of many ICE Power Contracts that NFA had previously designated as qualified DNV contracts. These ICE Power Contracts now have notional values of several thousand dollars, which substantially exceed the typical DNV qualifying contract's notional value. As a result, effective July 31, 2014 NFA's Executive Committee has removed the DNV designation from the vast majority of ICE Power Contracts that were previously designated as DNVs. Therefore, as of August 1, 2014, these ICE Power Contracts will no longer be considered qualified DNV contracts subject to the reduced assessment fee rate, and Member FCMs should charge the full assessment fee rate of $.04 a round-turn to these contracts. A list of ICE Power Contracts that lose the DNV designation as of July 31, 2014 is attached as Exhibit A and a list of futures contracts for which the DNV designation will remain in place as of August 1, 2014 is attached as Exhibit B.

NFA lists all qualifying DNV contracts on its website in the attachment to the Interpretive Notice 9016 entitled NFA Bylaw 1301: NFA Assessment Fee Questions and Answers for FCMs.

Finally, it has come to NFA's attention that some FCMs may not have charged their customers the reduced assessment fee rate for qualified DNV contracts from October 2012 through the present. If this is the case for your firm, please contact Stephanie Zwolan at 312-781-1331 or szwolan@nfa.futures.org no later than July 31, 2014 if you would like to apply for a refund on behalf of your customers.

Questions concerning this notice should be directed to Stephanie Zwolan, Revenue Analyst, Treasurer's Office at szwolan@nfa.futures.org.


EXHIBIT A
Contracts that Lose their Designation as Qualified DNV Contracts Effective July 31, 2014

Symbol

Contract Name

Exchange

ADD

PJM AEP Dayton Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

BGZ

PJM BGE Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

CEO

PJM ComEd Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

HEB

ERCOT Houston 345KV Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

HZD

ERCOT Houston Load Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

ICO

ISO New England Connecticut Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

IED

ISO New England Maine Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

IHD

ISO New England New Hampshire Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

IMD

ISO New England SE Massachusetts Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

IND

ISO New England NE Massachusetts Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

JCD

PJM JCPL Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

MCD

MISO Indiana Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

MLD

MISO Illinois Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

NEB

ERCOT North 345KV Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

NEV

ERCOT Houston 345KV Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

NID

PJM NI Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

NOM

ISO New England Massachusetts Hub Day-Ahead Off-Peak Mini Fixed Price Future

ICE Futures U.S.

NZD

ERCOT North Load Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

OEH

ERCOT Houston Load Zone Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

OEN

ERCOT North Load Zone Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

OES

ERCOT South Load Zone Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

OEW

ERCOT West Load Zone Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

OMI

PJM Western Hub Real-Time Off-Peak Mini Fixed Price Future

ICE Futures U.S.

PCO

PJM PECO Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PED

PJM Eastern Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PJD

PJM Western Hub Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PMD

PJM METED Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PPH

PJM PEPCO Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PPO

PJM PPL Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PSB

PJM PSEG Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PTD

PJM AECO Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PUD

PJM APS Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PXD

PJM DPL Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PZD

PJM PENELEC Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

SEB

ERCOT South 345KV Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

SZD

ERCOT South Load Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

WEB

ERCOT West 345KV Real-Time Off-Peak Fixed Price Future

ICE Futures U.S.

ZCD

NYISO Zone C Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

ZFD

NYISO Zone F Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.


EXHIBIT B
Qualifying DNV Contracts Effective August 1, 2014

Symbol

Contract Name

Exchange

MCL

Micro Crude Oil Futures

NYMEX

CFD

Weekly - Brent CFD vs Second Month Swap Future

ICE Futures U.S.

CFN

Daily - Dated Brent Swap Future

ICE Futures U.S.

CFO

Weekly - Brent CFD vs First Month Swap Future

ICE Futures U.S.

CFT

Weekly - Brent CFD vs Third Month Swap Future

ICE Futures U.S.

HEC

ERCOT Houston 345KV Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

HZC

ERCOT Houston Load Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

IWD

ISO New England West Central Massachusetts Day-Ahead Off-Peak Fixed Price

ICE Futures U.S.

JCC

PJM JCPL Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

NDC

ERCOT North 345KV Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

NIC

PJM NI Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

NZC

ERCOT North Load Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

PEC

PJM Eastern Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

PPG

PJM PEPCO Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

PQD

PJM Duquesne Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

PSD

PJM PSEG Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

SEC

ERCOT South 345KV Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

SZC

ERCOT South Load Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

WEC

ERCOT West 345KV Hub Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

WZC

ERCOT West Load Zone Day-Ahead Off-Peak Daily Fixed Price Future

ICE Futures U.S.

WZD

ERCOT West Load Zone Day-Ahead Off-Peak Fixed Price Future

ICE Futures U.S.

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