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Enron Mail |
fyi Elizabeth Sager 713-853-6349 -----Original Message----- From: Cook, Mary Sent: Tuesday, October 09, 2001 12:38 PM To: Sager, Elizabeth Subject: FW: Collateral calculation for the Virtual Transactions Market -----Original Message----- From: DDidio@nyiso.com@ENRON Sent: Tuesday, October 09, 2001 11:57 AM To: Cook, Mary Subject: Collateral calculation for the Virtual Transactions Market ----- Forwarded by Daniel Didio/NYISO on 10/09/2001 10:54 AM ----- market_relations@nyiso.com Sent by: To: market_relations@nyiso.com owner-nyiso_tech_exchange@lists. cc: thebiz.net Subject: Collateral calculation for the Virtual Transactions Market 09/11/2001 02:36 PM Please respond to market_relations market_relations@nyiso.com writes to the NYISO_TECH_EXCHANGE Discussion List: COLLATERAL CALCULATION FOR APPLICANTS FOR THE VIRTUAL TRANSACTIONS MARKET: The largest price delta observed at the 97th percentile level during June, July, and August, 2001, was $159.33. This amount should be rounded to the nearest dollar amount ($159.00) when used in the collateral calculation process.. The collateral formula is as follow: The price delta of $159.00 is multiplied by the exposure calculation factor of 14 ($159.00 x 14 = $2,226.00). This equals the dollar amount of collateral required per mega watt hour (MWH). The $2,226.00 is then multiplied by the maximum number of MWH's the Market Participant may wish to bid on a daily basis. The Market Participant notifies the NYISO of the maximum number of MWH's they may wish to bid per day by completing, executing and returning the ACKNOWLEDGEMENT AND CERTIFICATION OF UNDERSTANDING OF NYISO FINANCIAL ASSURANCE POLICY AND PROCEDURES FOR VIRTUAL TRANSACTIONS. This document is attached to Addendum A of the NYISO Registration Packet dated August 28, 2001.(refer to Page A6 of the Addendum A). The NYISO Registration Packet is located on the NYISO web site at: http://www.nyiso.com/services/relations/cregistration/pdf/nyiso_reg.pdf The example used in Addendum A stated the Market Participant wished to bid up to a maximum of 1600 MWH's per day. In this example, the collateral required would be $2,226.00 x 1600. Consequently, the collateral requirement to bid up to a maximum of 1600 MWH's per day in the Virtual Transactions Market would be $3,561,600. Please contact NYISO Customer Relations if you have any questions. Regards, NYISO Customer Relations 518-356-6060
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