• Performance Bond Requirements - Power Erosion Changes - Effective Thursday, January 7, 2010

      • To
      • Clearing Member Firms; Back Office Managers
      • From
      • CME Clearing
      • #
      • 10-04
      • Notice Date
      • 06 January 2010
      • Effective Date
      • 07 January 2010

    • 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.

       

      For the products listed below, the erosion of current margin rates will be eliminated.  They currently follow a straight line method.

       

      The rates are effective at the close of business on Thursday, Jan 7th, 2010.

       

      Code

      Description

      NYM-2F

      CAISO NP15 EZ Gen Hub 5 MW Peak Calendar-Day Real-Time LMP Swap Futures

      NYM-2H

      CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Day Real-Time LMP Swap Futures

      NYM-2J

      CAISO NP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Real-Time LMP Swap Futures

      NYM-2K

      CAISO SP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Real-Time LMP Swap Futures

      NYM-2S

      ERCOT Houston Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      NYM-2T

      ERCOT North Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      NYM-2U

      ERCOT South Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      NYM-2V

      ERCOT West Zone MCPE 50 MW Peak Calendar-Day Swap Futures

      NYM-2Z

      CAISO NP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Day-Ahead LMP Swap Futures

      NYM-3E

      ERCOT Houston Zone MCPE 50 MW Off-Peak Calendar-Day Swap Futures

      NYM-3F

      ERCOT North Zone MCPE 50 MW Off-Peak Calendar-Day Swap Futures

      NYM-3H

      ERCOT South Zone MCPE 50 MW Off-Peak Calendar-Day Swap Futures

      NYM-3J

      ERCOT West Zone MCPE 50 MW Off-Peak Calendar-Day Swap Futures

      NYM-3Z

      CAISO NP15 EZ Gen Hub 5 MW Peak Calendar-Day Day-Ahead LMP Swap Futures

      NYM-4Z

      CAISO SP15 EZ Gen Hub 5 MW Off-Peak Calendar-Day Day-Ahead LMP Swap Futures

      NYM-9Z

      CAISO SP15 EZ Gen Hub 5 MW Peak Calendar-Day Day-Ahead LMP Swap Futures

       

       

       

       

       

       

       

       

      For the products listed below, the margin rates will now erode following a straight line method as shown below.

      New Method

      Price Scan * (Calendar Days Remaining/Total Calendar Days in the Month)

       

      The rates are effective at the close of business on Thursday, Jan 7th, 2010.

       

      Code

      Description

      NYM-4N

      PJM PECO Zone 5 MW Peak Calendar-Month Day-Ahead LMP Swap Futures

       

      NYM-4P

      PJM PECO Zone 5 MW Off-Peak Calendar-Month Day-Ahead LMP Swap Futures

       

      NYM-4S

      PJM Western Hub 50 MW Peak Calendar-Month Real-Time LMP Swap Futures

       

      NYM-R5

      PJM DOM Zone Peak Calendar-Month Day-Ahead LMP Swap Futures

       

      NYM-U1

      PJM DOM Zone Off-Peak Calendar-Month Day-Ahead LMP Swap Futures

       

       

       

      For the pdf of this advisory, please click here.

CME Group is the world’s leading derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). 
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

© 2025 CME Group Inc. All rights reserved.