08/01/2006
Effective Date: Thursday, August 3, 2006 (close of business)
Contracts: Dow Jones North Path – 15 Index (DN), Dow Jones South Path – 15 Index (DV), Cinergy Hub LMP – Peak (EM), PJM Western Hub LMP On Peak Monthly (JM), NYISO Zone A LBMP – Peak (KA), NYISO Zone G LBMP – Peak (KG), NYISO Zone J LBMP – Peak (KJ), and New England Internal Hub – Peak (NI)
Contract Months: All Months
NOTE: The revised margins are in bold.
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 Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$20,000 |
$18,000 |
$22,000 |
$19,800 |
$27,000 |
$24,300 |
Tier 2: 2nd - 6th Nearby |
$16,000 |
$16,000 |
$17,600 |
$17,600 |
$21,600 |
$21,600 |
Tier 3: 7th - 11th Nearby |
$10,500 |
$10,500 |
$11,550 |
$11,550 |
$14,175 |
$14,175 |
Tier 4: Greater than 11th Nearby |
$11,000 |
$11,000 |
$12,100 |
$12,100 |
$14,850 |
$14,850 |
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 Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$20,000 |
$18,000 |
$22,000 |
$19,800 |
$27,000 |
$24,300 |
Tier 2: 2nd - 6th Nearby |
$16,000 |
$16,000 |
$17,600 |
$17,600 |
$21,600 |
$21,600 |
Tier 3: 7th - 11th Nearby |
$10,500 |
$10,500 |
$11,550 |
$11,550 |
$14,175 |
$14,175 |
Tier 4: Greater than 11th Nearby |
$11,000 |
$11,000 |
$12,100 |
$12,100 |
$14,850 |
$14,850 |
NYMEX Division Outright (Scan) Margins on Cinergy Hub LMP – Peak (EM) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$10,000 |
$8,500 |
$11,000 |
$9,350 |
$13,500 |
$11,475 |
Tier 2: 2nd - 6th Nearby |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
Tier 3: 7th - 11th Nearby |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
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) |
$16,000 |
$15,000 |
$17,600 |
$16,500 |
$21,600 |
$20,250 |
JM (Tier 2 - 2nd - 4th Nearby) |
$10,000 |
$10,000 |
$11,000 |
$11,000 |
$13,500 |
$13,500 |
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 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
JM (Tier 8 - Greater than 16th Nearby) |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on NYISO Zone A – Peak (KA) |
||||||
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 |
$4,500 |
$7,700 |
$4,950 |
$9,450 |
$6,075 |
Tier 2: 2nd - 6th Nearby |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
Tier 3: 7th - 11th Nearby |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
Tier 4: Greater than 11th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on NYISO Zone G – Peak (KG) |
||||||
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 |
$4,500 |
$7,700 |
$4,950 |
$9,450 |
$6,075 |
Tier 2: 2nd - 6th Nearby |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
Tier 3: 7th - 11th Nearby |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
Tier 4: Greater than 11th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on NYISO Zone J – Peak (KJ) |
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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 |
$3,500 |
$7,700 |
$3,850 |
$9,450 |
$4,725 |
Tier 2: 2nd - 6th Nearby |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
Tier 3: 7th - 11th Nearby |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
Tier 4: Greater than 11th Nearby |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
NYMEX Division Outright (Scan) Margins on ISO New England Internal Hub – Peak (NI) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$12,000 |
$10,000 |
$13,200 |
$11,000 |
$16,200 |
$13,500 |
Tier 2: 2nd - 6th Nearby |
$7,000 |
$7,000 |
$7,700 |
$7,700 |
$9,450 |
$9,450 |
Tier 3: 7th - 11th Nearby |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
Tier 4: Greater than 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
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 for the Electricity Futures contracts listed above.