04/01/2003
| Effective Date: | Friday, April 11, 2003 (close of business) |
| Futures Contracts: | PJM Calendar-Month LMP Swap (JM) |
| Contract Months: | All Months |
NYMEX Division Outright Margins For PJM Calendar-Month LMP Swap
Clearing Member |
Member Customer |
Non-Member Customer |
|
New |
New |
New |
|
| Tier 1 (1st Nearby Month): | $3,500 |
$3,850 |
$4,725 |
| Tier 2 (2nd Nearby Month): | $3,500 |
$3,850 |
$4,725 |
| Tier 3 (3rd-6th Nearby Month): | $3,500 |
$3,850 |
$4,725 |
| Tier 4 (7th-12th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 5 (Greater than 12th Nearby): | $2,000 |
$2,200 |
$2,700 |
NYMEX Division Intra-Commodity Spread Margins For PJM Calendar-Month LMP Swap
Clearing Member |
Member Customer |
Non-Member Customer |
|
New |
New |
New |
|
| Tier 1 (1st Nearby Month): | $2,000 | $2,200 | $2,700 |
| Tier 2 (2nd Nearby Month): | $1,500 | $1,650 | $2,025 |
| Tier 3 (3rd-6th Nearby Month): | $1,000 | $1,100 | $1,350 |
| Tier 4 (7th-12th Nearby Month): | $500 | $550 | $675 |
| Tier 5 (Greater than 12th Nearby): | $500 | $550 | $675 |
Current systems calculate the margin requirement for spread positions by first determining the "Scan Risk" and then multiplying the number of spreads by a rate set by the Exchange. Scan Risk is determined by netting the outright margin required for each leg of a spread. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below is provided an example where the legs of a spread are margined differently.
Scan Risk Example at Clearing Member Rates
A spread consisting of one JM leg in Tier 1 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $3,500 starting on Friday, April 11, 2003.
| One Long Tier 1 JM | (1 * $3,500) | = |
$3,500 | |
| One Short Tier 4 JM | (1 * $2,000) | = |
- |
$2,000 |
| Net Scan Risk | ($3,500-$2,000) | = |
$1,500 | |
| Spread Rate | (1* $2000) | = |
+ |
$2,000 |
| Total Requirement | = |
$3,500 |
Summary
| Clearing Member (Maintenance Margin): | $3,500 |
| Member Customer (Initial Margin): | $3,850 |
| Non-Member Customer (Initial Margin): | $4,725 |
NYMEX Division Inter-Commodity Spread Credits For PJM Calendar-Month LMP Swap
| Spread | Priority | Ratio | Percent Credit |
| JM:QJ | 182 | 1:02 | 95 |
| JM:KA | 183 | 1:02 | 90 |
| JM:KG | 184 | 1:02 | 85 |
| JM:KJ | 185 | 1:02 | 85 |
| JM:NG | 186 | 5:04 | 60 |
| NZ:NG:JM | 187 | 16:4:5 | 60 |
| NF:NG:JM | 188 | 16:4:5 | 60 |
| NX:NG:JM | 189 | 16:4:5 | 60 |
| TC:NG:JM | 190 | 16:4:5 | 60 |
| PD:NG:JM | 191 | 16:4:5 | 60 |
| NY:NG:JM | 192 | 16:4:5 | 60 |
| NE:NG:JM | 193 | 16:4:5 | 60 |
| NK:NG:JM | 194 | 16:4:5 | 60 |
| NL:NG:JM | 195 | 16:4:5 | 60 |
| PE:NG:JM | 196 | 16:4:5 | 60 |
| PF:NG:JM | 197 | 16:4:5 | 60 |