04/09/2003
| Effective Date: | Wednesday, April 9, 2003 (close of business) |
| Futures Contracts: | Light Louisiana Sweet Crude Oil (LS), West Texas Sour Crude Oil (TS), WTI Midland Crude Oil (CM), Mars Blend Crude Oil (MB), Light Sweet Crude Oil (CL), Brent Crude Oil (SC), WTI Crude Oil Calendar Swap (CS), Crude Oil e-miNY (QM). |
| Contract Months: | All Months |
| Rate Change: |
Old NYMEX Division Outright Margins For PJM Calendar-Month LMP Swap
| Clearing Member | Member Customer | Non-Member Customer | |
| 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 |
New NYMEX Division Outright Margins For PJM Calendar-Month LMP Swap
| Clearing Member | Member Customer | Non-Member Customer | |
| Tier 1 (1st Nearby Month): | $3,500 |
$3,850 |
$4,725 |
| Tier 2 (2nd–3rd Nearby Month): | $4,000 |
$4,400 |
$5,400 |
| Tier 3 (4th Nearby Month): | $2,500 |
$2,750 |
$3,375 |
| Tier 4 (5th-7th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 5 (8th-9th Nearby Month): | $2,500 |
$2,750 |
$3,375 |
| Tier 6 (10th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 7 (11th-13th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 8 (Greater than 13th Nearby Month): | $2,500 |
$2,750 |
$3,375 |
Old NYMEX Division Intra-Commodity Spread Margins For PJM Calendar-Month LMP Swap
| Clearing Member | Member Customer | Non-Member Customer | |
| 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 |
New NYMEX Division Intra-Commodity Spread Margins For PJM Calendar-Month LMP Swap
| Clearing Member | Member Customer | Non-Member Customer | |
| Tier 1 (1st Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 2 (2nd–3rd Nearby Month): | $2,500 |
$2,750 |
$3,375 |
| Tier 3 (4th Nearby Month): | $1,500 |
$1,650 |
$2,025 |
| Tier 4 (5th-7th Nearby Month): | $1,500 |
$1,650 |
$2,025 |
| Tier 5 (8th-9th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
| Tier 6 (10th Nearby Month): | $1,500 |
$1,650 |
$2,025 |
| Tier 7 (11th-13th Nearby Month): | $1,500 |
$1,650 |
$2,025 |
| Tier 8 (Greater than 13th Nearby Month): | $2,000 |
$2,200 |
$2,700 |
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 $3,000 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* $1500) | = |
+ |
$1,500 | |
| Total Requirement | = |
$3,000 |
Summary
| Clearing Member (Maintenance Margin): | $3,000 |
| Member Customer (Initial Margin): | $3,300 |
| Non-Member Customer (Initial Margin): | $4,050 |
This notice supercedes all previous notices regarding margin rates for the PJM Calendar-Month LMP swap.