03/07/2006
Contracts:
Cinergy Hub LMP – Peak (EM), Cinergy Hub LMP – Off Peak (EJ), Northern Illinois Hub – Peak (UM), Northern Illinois Hub – Off Peak (UO), AEP-Dayton Hub – Peak (VM), AEP-Dayton Hub – Off Peak (VP), NYISO Zone A LBMP – Peak (KA), NYISO Zone G LBMP – Peak (KG), NYISO Zone J LBMP – Peak (KJ),NYISO Zone A LBMP – Off Peak (KB), NYISO Zone G LBMP – Off Peak (KH), NYISO Zone J LBMP – Off Peak (KK), New England Internal Hub – Peak (NI), New England Internal Hub – Off Peak (KI), PJM Western Hub LMP Off Peak Monthly (JP), Dow Jones South Path – 15 Index (DV), Dow Jones North Path – 15 Index (DN), Dow Jones Mid-Columbia Index (DO), and Dow Jones Palo Verde Index (DP)Contract Months:All Months
NOTE: The revised margins are in bold.
UM, VM, EM, NI, KB, KH, KK, KI, JP, UO, VP, EJ Intra-Commodity Margin Tiers |
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Tiers |
New |
Old |
1 |
1st Nearby |
All Months |
2 |
2nd - 6th Nearby |
N/A |
3 |
7th - 11th Nearby |
N/A |
4 |
Greater than 11th Nearby |
N/A |
DO, DP, DV, DN Intra-Commodity Margin Tiers |
||
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd - 6th Nearby |
2nd Nearby |
3 |
7th - 11th Nearby |
Greater than 2nd Nearby |
4 |
Greater than 11th Nearby |
N/A |
KA, KG and KJ Intra-Commodity Margin Tiers |
||
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd - 6th Nearby |
Greater than 1st Nearby |
3 |
7th - 11th Nearby |
N/A |
4 |
Greater than 11th Nearby |
N/A |
NYMEX Division Intra-Commodity Margins For UM and UO |
||||||
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$800 |
$550 |
$880 |
$675 |
$1,080 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$800 |
$110 |
$880 |
$135 |
$1,080 |
| Tier 3 - 7th - 11th Nearby | $100 |
$800 |
$110 |
$880 |
$135 |
$1,080 |
| Tier 4 - Greater than 11th Nearby | $100 |
$800 |
$110 |
$880 |
$135 |
$1,080 |
NYMEX Division Intra-Commodity Margins For VM and NI |
||||||
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$1,000 |
$110 |
$1,100 |
$135 |
$1,350 |
| Tier 3 - 7th - 11th Nearby | $100 |
$1,000 |
$110 |
$1,100 |
$135 |
$1,350 |
| Tier 4 - Greater than 11th Nearby | $100 |
$1,000 |
$110 |
$1,100 |
$135 |
$1,350 |
NYMEX Division Intra-Commodity Margins For EM, KB, and JP |
||||||
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$2,000 |
$550 |
$2,200 |
$675 |
$2,700 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$2,000 |
$110 |
$2,200 |
$135 |
$2,700 |
| Tier 3 - 7th - 11th Nearby | $100 |
$2,000 |
$110 |
$2,200 |
$135 |
$2,700 |
| Tier 4 - Greater than 11th Nearby | $100 |
$2,000 |
$110 |
$2,200 |
$135 |
$2,700 |
NYMEX
Division Intra-Commodity Margins For KH, KK, KI, and EJ |
||||||
Clearing
Member / Maintenance Margin |
Member
Customer Initial Margin |
Non-Member
Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
| Tier 3 - 7th - 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
| Tier 4 - Greater than 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
NYMEX
Division Intra-Commodity Margins For VP |
||||||
Clearing
Member / Maintenance Margin |
Member
Customer Initial Margin |
Non-Member
Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$1,200 |
$550 |
$1,320 |
$675 |
$1,620 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$1,200 |
$110 |
$1,320 |
$135 |
$1,620 |
| Tier 3 - 7th - 11th Nearby | $100 |
$1,200 |
$110 |
$1,320 |
$135 |
$1,620 |
| Tier 4 - Greater than 11th Nearby | $100 |
$1,200 |
$110 |
$1,320 |
$135 |
$1,620 |
NYMEX
Division Intra-Commodity Margins For KA, KG, and KJ |
||||||
Clearing
Member / Maintenance Margin |
Member
Customer Initial Margin |
Non-Member
Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
| Tier 3 - 7th - 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
| Tier 4 - Greater than 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
NYMEX
Division Intra-Commodity Margins For DO, DP, DV and DN |
||||||
Clearing
Member / Maintenance Margin |
Member
Customer Initial Margin |
Non-Member
Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $500 |
$2,000 |
$550 |
$2,200 |
$675 |
$2,700 |
| Tier 2 - 2nd - 6th Nearby | $100 |
$2,500 |
$110 |
$2,750 |
$135 |
$3,375 |
| Tier 3 - 7th - 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
| Tier 4 - Greater than 11th Nearby | $100 |
$1,500 |
$110 |
$1,650 |
$135 |
$2,025 |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or William Doherty at (212) 299-2925. This notice supersedes all previous notices regarding margins rates and tiers for the Electricity Futures contracts listed above.