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As per the normal review of market volatility to ensure adequate collateral
coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management
staff approved the performance bond requirements for the following products
listed below. The rates are effective at the close of business on Tuesday, September
9th, 2008.
MARGIN RATE CHANGES FOR:
NYISO Zone A Peak (KA), NYISO Zone G Peak (KG),
NYISO Zone J Peak (KJ), PJM Western Hub LMP Peak Monthly (JM), Northern
Illinois Hub Peak (UM), AEP-Dayton Hub Peak (VM), Cinergy Hub
LMP Peak (EM), Michigan Hub LMP Peak (HM), ISO New England Internal
Hub Peak (NI), Dow Jones Mid-Columbia Electricity Prices Index Swap (DO),
Dow Jones Palo Verde Electricity Prices Index Swap (DP), Dow Jones SP15 Electricity
Prices Index Swap (DV), Dow Jones NP15 Electricity Prices Index Swap (DN), ERCOT
North Peak Swap Contract (MT), NYISO Zone A Off Peak (KB), PJM Western
Hub LMP Off Peak Monthly (JP), Northern Illinois Hub Off Peak
(UO), Michigan Hub LMP Off Peak (HJ), AEP-Dayton Hub Off Peak
(VP) and Cinergy Hub LMP Off Peak (EJ)
Note: The revised margins are in bold
NYMEX Division Outright (Scan) Margins on NYISO Zone A Peak (KA)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 2 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 3 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
| Tier 4 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
NYMEX Division Outright (Scan) Margins on NYISO Zone G Peak (KG)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 2 |
$3,500 |
$4,500 |
$3,850 |
$4,950 |
$4,725 |
$6,075 |
| Tier 3 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
| Tier 4 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Outright (Scan) Margins on NYISO Zone J Peak (KJ)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 2 |
$3,500 |
$5,500 |
$3,850 |
$6,050 |
$4,725 |
$7,425 |
| Tier 3 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
| Tier 4 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Outright (Scan) Margins on PJM Western Hub LMP On Peak
Monthly (JM)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$8,000 |
$11,000 |
$8,800 |
$12,100 |
$10,800 |
$14,850 |
| Tier 2 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| Tier 3 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 4 |
$2,500 |
$3,500 |
$2,750 |
$3,850 |
$3,375 |
$4,725 |
| Tier 5 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
| Tier 6 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
| Tier 7 |
$2,000 |
$3,000 |
$2,200 |
$3,300 |
$2,700 |
$4,050 |
| Tier 8 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
NYMEX Division Outright (Scan) Margins on Northern Illinois Hub Peak
(UM)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$7,000 |
$10,000 |
$7,700 |
$11,000 |
$9,450 |
$13,500 |
| Tier 2 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| Tier 3 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 4 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
NYMEX Division Outright (Scan) Margins on AEP-Dayton Hub Peak (VM)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$7,000 |
$10,000 |
$7,700 |
$11,000 |
$9,450 |
$13,500 |
| Tier 2 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| Tier 3 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 4 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
NYMEX Division Outright (Scan) Margins on Cinergy Hub LMP Peak (EM)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$7,000 |
$8,000 |
$7,700 |
$8,800 |
$9,450 |
$10,800 |
| Tier 2 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 3 |
$4,000 |
$6,500 |
$4,400 |
$7,150 |
$5,400 |
$8,775 |
| Tier 4 |
$3,000 |
$5,000 |
$3,300 |
$5,500 |
$4,050 |
$6,750 |
NYMEX Division Outright (Scan) Margins on Michigan Hub LMP On Peak (HM)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| HM |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
NYMEX Division Outright (Scan) Margins on ISO New England Internal Hub
Peak (NI)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
| |
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 2 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 3 |
$4,000 |
$9,000 |
$4,400 |
$9,900 |
$5,400 |
$12,150 |
| Tier 4 |
$4,000 |
$6,000 |
$4,400 |
$6,600 |
$5,400 |
$8,100 |
NYMEX Division Outright (Scan) Margins on Dow Jones Mid-Columbia Electricity
Prices Index Swap (DO)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 2 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
| Tier 3 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 4 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
NYMEX Division Outright (Scan) Margins on Dow Jones Palo Verde Electricity
Prices Index Swap (DP)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 2 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 3 |
$4,000 |
$7,000 |
$4,400 |
$7,700 |
$5,400 |
$9,450 |
| Tier 4 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
NYMEX Division Outright (Scan) Margins on Dow Jones SP15 Electricity Prices
Index Swap (DV)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 2 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 3 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
| Tier 4 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
NYMEX Division Outright (Scan) Margins on Dow Jones NP15 Electricity Prices
Index Swap (DN)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 2 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 3 |
$4,000 |
$7,000 |
$4,400 |
$7,700 |
$5,400 |
$9,450 |
| Tier 4 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
NYMEX Division Outright (Scan) Margins on ERCOT North Peak Swap (Platts
Megawatt Daily) Contract (MT)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$10,000 |
$12,000 |
$11,000 |
$13,200 |
$13,500 |
$16,200 |
| Tier 2 |
$8,000 |
$10,000 |
$8,800 |
$11,000 |
$10,800 |
$13,500 |
| Tier 3 |
$7,000 |
$8,000 |
$7,700 |
$8,800 |
$9,450 |
$10,800 |
| Tier 4 |
$6,000 |
$7,000 |
$6,600 |
$7,700 |
$8,100 |
$9,450 |
NYMEX Division Outright (Scan) Margins on NYISO Zone A Off Peak (KB)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$5,000 |
$8,000 |
$5,500 |
$8,800 |
$6,750 |
$10,800 |
| Tier 2 |
$5,000 |
$7,000 |
$5,500 |
$7,700 |
$6,750 |
$9,450 |
| Tier 3 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 4 |
$3,000 |
$4,500 |
$3,300 |
$4,950 |
$4,050 |
$6,075 |
NYMEX Division Outright (Scan) Margins on PJM Western Hub LMP Off Peak
Monthly (JP)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 2 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| Tier 3 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 4 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
NYMEX Division Outright (Scan) Margins on Northern Illinois Hub Off
Peak (UO)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 2 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
| Tier 3 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
| Tier 4 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
YMEX Division Outright (Scan) Margins on Michigan Hub LMP Off Peak
(HJ)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| HJ |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
NYMEX Division Outright (Scan) Margins on AEP-Dayton Hub Off Peak (VP)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 2 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| Tier 3 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 4 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
NYMEX Division Outright (Scan) Margins on Cinergy Hub LMP Off Peak (EJ)
|
|
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
|
New |
Old |
New |
Old |
New |
Old |
| Tier 1 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 2 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| Tier 3 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 4 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
|