12/29/2005
FUTURES CONTRACTS: NYISO Zone A — Peak (KA), NYISO Zone G — Peak (KG), and NYISO Zone J — Peak (KJ)
CONTRACT MONTHS: All Months
NOTE: The revised tiers and margins are in bold
NYMEX Division Outright (Scan) NYISO-Peak Financially
Settled Electricity Futures Contracts Spread Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
All Months |
2 |
Greater than 1st Nearby |
NA |
| Contract |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| KA - Tier 1 (1st Nearby) | $4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
| KA - Tier 2 (Greater than 1st Nearby) | $6,000 |
$4,000 |
$6,600 |
$4,400 |
$8,100 |
$5,400 |
| KG - Tier 1 (1st Nearby) | $4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
| KG - Tier 2 (Greater than 1st Nearby) | $6,000 |
$4,000 |
$6,600 |
$4,400 |
$8,100 |
$5,400 |
| KJ - Tier 1 (1st Nearby) | $4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
| KJ - Tier 2 (Greater than 1st Nearby) | $6,000 |
$4,500 |
$6,600 |
$4,950 |
$8,100 |
$6,075 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$500 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
2 |
$1,500 |
$1,000 |
$1,650 |
$1,100 |
$2,025 |
$1,350 |
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 KJ leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $2,000 starting on Friday, December 30, 2005.
| One Long Tier 1 KJ | (1 * $4,500) | = | $4,500 |
| One Short Tier 2 KJ | (1 * $ 6,000) | = | $6,000 |
| Net Scan Risk | ($6,000-$4,500) | = | $1,500 |
| Spread Rate | (1* $ 500) | = + | $500 |
| Total Requirement | = | $2,000 |
| Summary | |
| Clearing Member (Maintenance Margin): | $2,000 |
| Member Customer (Initial Margin): | $2,200 |
| Non-Member Customer (Initial Margin): | $2,700 |
This notice supersedes all previous notices regarding margin rates and tiers for the Electricity Futures contracts listed above.