Notice to Members
Notice No. 468
09/08/2008
Performance Bond Requirement Changes for Electricity Contracts
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices listserver. 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
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com