07/20/2006
FUTURES CONTRACTS:
CONTRACT MONTHS: All Months
Contract Name ERCOT Seller’s Choice Calendar Day Peak Swap (Platts Megawatt Daily) Contract ERCOT Houston Calendar Day Peak Swap (Platts Megawatt Daily) Contract ERCOT North Calendar Day Peak Swap (Platts Megawatt Daily) Contract ERCOT Hub Average MCPE Trading Hub Calendar Day Peak Swap Contract ERCOT Houston MCPE Trading Hub Calendar Day Peak Swap Contract ERCOT North MCPE Trading Hub Calendar Day Peak Swap Contract ERCOT Seller’s Choice Peak Swap (Platts Megawatt Daily) Contract ERCOT Houston Peak Swap (Platts Megawatt Daily) Contract ERCOT North Peak Swap (Platts Megawatt Daily) Contract ERCOT Hub Average MCPE Trading Hub Peak Swap Contract ERCOT Houston MCPE Trading Hub Peak Swap Contract ERCOT North MCPE Trading Hub Peak Swap Contract
Outright (Scan) Spread Tiers for VT, HT, MT, VN, HN,
and MN
Tiers |
New |
1 |
All Months |
NYMEX Division Outright (Scan) Margin on New Electricity Swap Contracts
| Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
New |
New |
New |
|
VC |
$1,500 |
$1,650 |
$2,025 |
HE |
$2,500 |
$2,750 |
$3,375 |
MC |
$2,000 |
$2,200 |
$2,700 |
VY |
$2,000 |
$2,200 |
$2,700 |
HY |
$3,000 |
$3,300 |
$4,050 |
MY |
$2,500 |
$2,750 |
$3,375 |
VT |
$4,500 |
$4,950 |
$6,075 |
HT |
$7,000 |
$7,700 |
$9,450 |
MT |
$7,000 |
$7,700 |
$9,450 |
VN |
$5,000 |
$5,500 |
$6,750 |
HN |
$7,500 |
$8,250 |
$10,125 |
MN |
$7,500 |
$8,250 |
$10,125 |
Spot month margins will decline automatically during the pricing month for VT, HT, MT, VN, HN, and MN. The spot month margin will decay by dividing one by the number of business days during the month.
For example, the September 2006 Contracts for VT, HT, MT, VN, HN, and MN have initial Clearing Member Margins of $4,500, $7,000, $7,000, $5,000, $7,500, and $7,500 respectively. Consequently, the spot month initial margin levels would be:
Erosion Process for The 1st Nearby Month
Date |
VT |
HT |
MT |
VN |
HN |
MN |
1-Sep |
4500 |
7000 |
7000 |
5000 |
7500 |
7500 |
5-Sep |
4275 |
6650 |
6650 |
4750 |
7125 |
7125 |
6-Sep |
4050 |
6300 |
6300 |
4500 |
6750 |
6750 |
7-Sep |
3825 |
5950 |
5950 |
4250 |
6375 |
6375 |
8-Sep |
3600 |
5600 |
5600 |
4000 |
6000 |
6000 |
11-Sep |
3375 |
5250 |
5250 |
3750 |
5625 |
5625 |
12-Sep |
3150 |
4900 |
4900 |
3500 |
5250 |
5250 |
13-Sep |
2925 |
4550 |
4550 |
3250 |
4875 |
4875 |
14-Sep |
2700 |
4200 |
4200 |
3000 |
4500 |
4500 |
15-Sep |
2475 |
3850 |
3850 |
2750 |
4125 |
4125 |
18-Sep |
2250 |
3500 |
3500 |
2500 |
3750 |
3750 |
19-Sep |
2025 |
3150 |
3150 |
2250 |
3375 |
3375 |
20-Sep |
1800 |
2800 |
2800 |
2000 |
3000 |
3000 |
21-Sep |
1575 |
2450 |
2450 |
1750 |
2625 |
2625 |
22-Sep |
1350 |
2100 |
2100 |
1500 |
2250 |
2250 |
25-Sep |
1125 |
1750 |
1750 |
1250 |
1875 |
1875 |
26-Sep |
900 |
1400 |
1400 |
1000 |
1500 |
1500 |
27-Sep |
675 |
1050 |
1050 |
750 |
1125 |
1125 |
28-Sep |
450 |
700 |
700 |
500 |
750 |
750 |
29-Sep |
225 |
350 |
350 |
250 |
375 |
375 |
Intra-Commodity Spread Tiers for VT, HT, MT, VN, HN, and MN
Tiers |
Months |
| 1 | All Months |
NYMEX Division Intra-Commodity Spread Margins For All The Months on New Electricity Swap Contracts
Commodity |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
New |
New |
|
VT |
$250 |
$275 |
$338 |
HT |
$250 |
$275 |
$338 |
MT |
$250 |
$275 |
$338 |
VN |
$250 |
$275 |
$338 |
HN |
$250 |
$275 |
$338 |
MN |
$250 |
$275 |
$338 |
NYMEX Division Inter-Commodity Spread Credits on New Electricity Swap Contracts
Spread |
Priority |
Ratio |
% Credit |
HE:MC |
119 |
1:01 |
95 |
HE:VC |
120 |
1:01 |
95 |
MC:VC |
121 |
1:01 |
95 |
HY:VY |
122 |
1:01 |
95 |
MY:VY |
123 |
1:01 |
95 |
HT:MT |
124 |
1:01 |
95 |
HT:VT |
125 |
1:01 |
95 |
MT:VT |
126 |
1:01 |
95 |
HN:VN |
127 |
1:01 |
95 |
MN:VN |
128 |
1:01 |
95 |
HY:MY |
195 |
1:01 |
85 |
HN:MN |
196 |
1:01 |
85 |