07/18/2006
Futures Contract: Northern Illinois Hub – Peak (UM), Northern Illinois Hub – Off Peak (UO), AEP–Dayton Hub – Peak (VM), AEP–Dayton Hub – Off Peak (VP) , and PJM Western Hub LMP On Peak Monthly (JM)
Contract Months: All Months
Outright (Scan) Margin Rates for Dow Jones Mid–Columbia
Electricity Prices Index Swap (DO)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1: 1st Nearby | $6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
| Tier 2: 2nd – 6th Nearby | $10,000 |
$10,000 |
$11,000 |
$11,000 |
$13,500 |
$13,500 |
| Tier 3: 7th – 11th Nearby | $5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
| Tier 4: Greater than 11th Nearby | $5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
NYMEX Division Outright (Scan) Margins on Northern Illinois Hub – Off Peak (UO)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1: 1st Nearby | $6,000 |
$5,000 |
$6,600 |
$5,500 |
$8,100 |
$6,750 |
| Tier 2: 2nd – 6th Nearby | $4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
| Tier 3: 7th – 11th Nearby | $3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
| Tier 4: Greater than 11th Nearby | $2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on AEP–Dayton Hub – Peak (VM)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1: 1st Nearby | $7,000 |
$6,500 |
$7,700 |
$7,150 |
$9,450 |
$8,775 |
| Tier 2: 2nd – 6th Nearby | $10,000 |
$10,000 |
$11,000 |
$11,000 |
$13,500 |
$13,500 |
| Tier 3: 7th – 11th Nearby | $5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
| Tier 4: Greater than 11th Nearby | $3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
NYMEX Division Outright (Scan) Margins on AEP–Dayton Hub – Off Peak (VP)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1: 1st Nearby | $4,000 |
$3,000 |
$4,400 |
$3,300 |
$5,400 |
$4,050 |
| Tier 2: 2nd – 6th Nearby | $4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
| Tier 3: 7th – 11th Nearby | $4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
| Tier 4: Greater than 11th Nearby | $3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on PJM Western Hub LMP On Peak Monthly (JM)
| Tiers | Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| JM (Tier 1: 1st Nearby) | $9,000 |
$8,500 |
$9,900 |
$9,350 |
$12,150 |
$11,475 |
| JM (Tier 2: 2nd – 4th Nearby) | $7,500 |
$7,500 |
$8,250 |
$8,250 |
$10,125 |
$10,125 |
| JM (Tier 3: 5th – 6th Nearby) | $6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
| JM (Tier 4: 7th – 8th Nearby) | $6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
| JM (Tier 5: 9th – 10th Nearby) | $5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
| JM (Tier 6: 11th – 12th Nearby) | $5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
| JM (Tier 7: 13th – 16th Nearby) | $3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
| JM (Tier 8: Greater than 16th Nearby) | $3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
This notice supersedes all previous notices regarding margin rates for the Electricity Futures contracts listed above.