06/02/2004
| Effective Date: | Friday, June 4, 2004 (close of business) |
| Futures Contracts: | Dow Jones SP15 Electricity Price Index Swap |
| Dow Jones NP15 Electricity Price Index Swap | |
| Dow Jones Mid-Columbia Electricity Price Index Swap | |
| Dow Jones Palo Verde Electricity Price Index Swap | |
| Contract Months: | All Months |
NYMEX Division Outright (Scan) Margins on Dow Jones SP15 Electricity Prices Index Swap (DV)
| Tiers | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby Month) | $7,000 |
$7,700 |
$9,450 |
| 2 (2nd Nearby Month) | $4,000 |
$4,400 |
$5,400 |
| 3 (Greater than 2nd Nearby) | $3,000 |
$3,300 |
$4,050 |
NYMEX Division Outright (Scan) Margins on Dow Jones NP15 Electricity Prices Index Swap (DN)
| Tiers | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby Month) | $7,500 |
$8,250 |
$10,125 |
| 2 (2nd Nearby Month) | $4,500 |
$4,950 |
$6,075 |
| 3 (Greater than 2nd Nearby) | $3,000 |
$3,300 |
$4,050 |
NYMEX Division Outright (Scan) Margins on Dow Jones Mid-Columbia Electricity Prices Index Swap (DO)
| Tiers | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby Month) | $6,000 |
$6,600 |
$8,100 |
| 2 (2nd Nearby Month) | $4,500 |
$4,950 |
$6,075 |
| 3 (Greater than 2nd Nearby) | $4,500 |
$4,950 |
$6,075 |
NYMEX Division Outright (Scan) Margins on Dow Jones Palo Verde Electricity Prices Index Swap (DP)
| Tiers | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby Month) | $6,500 |
$7,150 |
$8,775 |
| 2 (2nd Nearby Month) | $8,000 |
$8,800 |
$10,800 |
| 3 (Greater than 2nd Nearby) | $6,000 |
$6,600 |
$8,100 |
NYMEX Division Intra-Commodity Spread Margins for Dow Jones SP15 (DV), NP15 (DN),
Mid-Columbia (DO), and Palo Verde (DP) Electricity Prices Index Swaps
| Tiers | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby Month) | $2,000 |
$2,200 |
$2,700 |
| 2 (2nd Nearby Month) | $2,500 |
$2,750 |
$3,375 |
| 3 (Greater than 2nd Nearby) | $1,500 |
$1,650 |
$2,025 |
NYMEX Division Inter-Commodity Spread Credits For Dow Jones Electricity Price Index Swaps
| Spread | Priority |
Ratio |
% Credit |
| DV:DP | 65 |
1:01 |
85 |
| DV:DN | 68 |
1:01 |
80 |
| DV:NG/DV:NN | 86 |
1:1/1:4 |
70 |
| DO:NG/DO:NN | 87 |
1:1/1:4 |
70 |
| DV:DO | 88 |
1:01 |
70 |
| DN:DP | 89 |
1:01 |
70 |
| DO:DP | 90 |
1:01 |
70 |
| DP:NG/DP:NN | 109 |
1:1/1:4 |
65 |
| DN:DO | 110 |
1:01 |
65 |
| DN:NG/DN:NN | 211 |
1:1/1:4 |
60 |
Current systems calculate the margin requirement for spread positions by first determining the "Scan Risk" and then multiplying the number of spreads by a rate set by the Exchange. Scan Risk is determined by netting the outright margin required for each leg of a spread. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below is provided an example where the legs of a spread are margined differently.
Scan Risk Example at Clearing Member Rates
A spread consisting of one DV leg in Tier 1 and another in Tier 3 will have its requirement (at the clearing member rates) calculated at $6,000 starting on Friday, June 4, 2004.
| One Long Tier 1 DV | (1 * $7,000) | = |
$7,000 | |
| One Short Tier 3 DV | (1 * $3,000) | = |
- |
$3,000 |
| Net Scan Risk | ($7,000-$3,000) | = |
$4,000 | |
| Spread Rate | (1* $2000) | = |
+ |
$2,000 |
| Total Requirement | = |
$6,000 |
Summary
| Clearing Member (Maintenance Margin): | $6,000 |
| Member Customer (Initial Margin): | $6,600 |
| Non-Member Customer (Initial Margin): | $8,100 |