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