04/04/2007
Effective Date: Thursday, April 5, 2007 (close of business)
Contracts: Dow Jones North Path – 15 Index (DN), Dow Jones Mid-Columbia Index (DO), Dow Jones Palo Verde Index (DP), Dow Jones South Path – 15 Index (DV), Cinergy Hub LMP – On Peak (EM), Cinergy Hub LMP – Off Peak (EJ), Michigan Hub LMP – Off Peak (HJ), PJM Western Hub LMP Off Peak Monthly (JP), 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 – On Peak (NI), New England Internal Hub – Off Peak (KI), Northern Illinois Hub – Peak (UM), Northern Illinois Hub – Off Peak (UO), AEP-Dayton Hub – Peak (VM), and AEP-Dayton Hub – Off Peak (VP)
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 |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
Tier 2: 2nd - 6th Nearby |
$9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 4: Greater than 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
NYMEX Division Outright (Scan) Margins on 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 |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
Tier 2: 2nd - 6th Nearby |
$9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 4: Greater than 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
NYMEX Division Outright (Scan) Margins on Dow Jones Palo Verde Electricity Prices Index Swap (DP) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
Tier 2: 2nd - 6th Nearby |
$9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 4: Greater than 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
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 |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
Tier 2: 2nd - 6th Nearby |
$9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 4: Greater than 11th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
NYMEX Division Outright (Scan) Margins on Cinergy Hub LMP – Peak (EM) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
Tier 2: 2nd - 6th Nearby |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$3,000 |
$5,500 |
$3,300 |
$6,750 |
$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 Cinergy Hub LMP – Off Peak (EJ) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$3,500 |
$2,500 |
$3,850 |
$2,750 |
$4,725 |
$3,375 |
Tier 2: 2nd - 6th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
Tier 3: 7th – 11th Nearby |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
Tier 4: Greater than 11th Nearby |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Outright (Scan) Margins on Michigan Hub LMP – Off Peak (HJ) |
||||||
Contract |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
HJ |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
NYMEX Division Outright (Scan) Margins on PJM Western Hub LMP Off Peak Monthly (JP) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$5,000 |
$4,000 |
$5,500 |
$4,400 |
$6,750 |
$5,400 |
Tier 2: 2nd - 6th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 3: 7th - 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 4: Greater than 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on NYISO Zone A – Off Peak (KB) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
Tier 2: 2nd - 6th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 3: 7th - 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 4: Greater than 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on NYISO Zone G – Off Peak (KH) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
Tier 2: 2nd - 6th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 3: 7th - 11th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
Tier 4: Greater than 11th Nearby |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Outright (Scan) Margins on NYISO Zone J – Off Peak (KK) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
Tier 2: 2nd - 6th Nearby |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
Tier 3: 7th - 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 4: Greater than 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on ISO New England Internal Hub – Peak (NI) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$8,500 |
$9,500 |
$9,350 |
$10,450 |
$11,475 |
$12,825 |
Tier 2: 2nd - 6th Nearby |
$7,500 |
$7,500 |
$8,250 |
$8,250 |
$10,125 |
$10,125 |
Tier 3: 7th - 11th Nearby |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
Tier 4: Greater than 11th Nearby |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on ISO New England Internal Hub – Off Peak (KI) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
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 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
NYMEX Division Outright (Scan) Margins on Northern Illinois Hub – Peak (UM) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
Tier 1: 1st Nearby |
$8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
Tier 2: 2nd - 6th Nearby |
$6,000 |
$7,000 |
$6,600 |
$7,700 |
$8,100 |
$9,450 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
Tier 4: Greater than 11th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
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 |
$5,000 |
$3,000 |
$5,500 |
$3,300 |
$6,750 |
$4,050 |
Tier 2: 2nd - 6th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
Tier 3: 7th - 11th Nearby |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
Tier 4: Greater than 11th Nearby |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
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 |
$8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
Tier 2: 2nd - 6th Nearby |
$6,000 |
$7,000 |
$6,600 |
$7,700 |
$8,100 |
$9,450 |
Tier 3: 7th - 11th Nearby |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
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 – 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 |
$5,000 |
$3,500 |
$5,500 |
$3,850 |
$6,750 |
$4,725 |
Tier 2: 2nd - 6th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
Tier 3: 7th - 11th Nearby |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
Tier 4: Greater than 11th Nearby |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
Should you have any questions regarding these changes, please contact William Doherty at (212) 299-2925 or Sal Penna at (212) 299-2931. This notice supersedes all previous notices regarding margins rates for the Electricity Futures contracts listed above.