04/01/2003
Contract Months: Spot Month
Due to the average price settlement process on the NYISO futures contracts during the cash settlement period (Spot-Month) of the NYISO Electricity Futures Contracts, margins are reduced on a pro rata basis. This is dependent upon the number of business days during the calendar month of these contracts. Each day, the spot month margin is reduced by the reciprocal of the number of business days during the month. For example, in April 2003, there are 21 business days during the month. Each day the margin will be reduced by one-twenty first (4.76%) of the original margin.
For example, the April 2003 Contracts for NYISO Zone J have initial Clearing Member Margins of $5,000, and Zones A & G, have Clearing Member Margin of $3,750. In addition, each has an assessment of $3,500. The spot month initial margin levels would be:
Clearing Member Margin |
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| Date | Zone J | Zone A & Zone G | Spot Assessment | Zone J | Zone A & Zone G |
| 1-Apr | $5,000 | $3,750 | $3,500 | $8,500 | $7,250 |
| 2-Apr | $4,762 | $3,571 | $3,500 | $8,262 | $7,071 |
| 3-Apr | $4,524 | $3,393 | $3,500 | $8,024 | $6,893 |
| 4-Apr | $4,286 | $3,214 | $3,500 | $7,786 | $6,714 |
| 7-Apr | $4,048 | $3,036 | $3,500 | $7,548 | $6,536 |
| 8-Apr | $3,810 | $2,857 | $3,500 | $7,310 | $6,357 |
| 9-Apr | $3,571 | $2,679 | $3,500 | $7,071 | $6,179 |
| 10-Apr | $3,333 | $2,500 | $3,500 | $6,833 | $6,000 |
| 11-Apr | $3,095 | $2,321 | $3,500 | $6,595 | $5,821 |
| 14-Apr | $2,857 | $2,143 | $3,500 | $6,357 | $5,643 |
| 15-Apr | $2,619 | $1,964 | $3,500 | $6,119 | $5,464 |
| 16-Apr | $2,381 | $1,786 | $3,500 | $5,881 | $5,286 |
| 17-Apr | $2,143 | $1,607 | $3,500 | $5,643 | $5,107 |
| 21-Apr | $1,905 | $1,429 | $3,500 | $5,405 | $4,929 |
| 22-Apr | $1,667 | $1,250 | $3,500 | $5,167 | $4,750 |
| 23-Apr | $1,429 | $1,071 | $3,500 | $4,929 | $4,571 |
| 24-Apr | $1,190 | $893 | $3,500 | $4,690 | $4,393 |
| 25-Apr | $952 | $714 | $3,500 | $4,452 | $4,214 |
| 28-Apr | $714 | $536 | $3,500 | $4,214 | $4,036 |
| 29-Apr | $476 | $357 | $3,500 | $3,976 | $3,857 |
| 30-Apr | $238 | $179 | $3,500 | $3,738 | $3,679 |
Member Customer Margins are 10% higher, while Non-Member Customers are 35% higher. This notice supersedes all previous notices regarding margins for the NYMEX NYISO A, NYISO G, NYISO J Futures Contracts.