06/23/2003
Futures Contracts: PJM Weekly (JW) and Daily PJM (JD) Futures Contracts
Contract: All Contracts
Please be advised that compliance with the margin obligations for Daily PJM (JD) Futures Contracts requires Clearing Members to collect from their customers initial margins before the customer establishes positions.
NYMEX Division Outright Margins on Weekly & Daily PJM Calendar Swap Futures Contract
| Clearing Member & Customer Maintenance | Member Customer | Non-Member Customer | ||||
| New | Old | New | Old | New | Old | |
| Weekly (JW) | $2,000 | N/A | $2,200 | N/A | $2,700 | N/A |
| Daily (JD) | $1,500 | N/A | $1,650 | N/A | $2,025 | N/A |
Inter-Commodity Spread Credits between the PJM Monthly (JM) and PJM Weekly (JW) will change as the month elapses.
For Monthly Contracts that are offset by Weekly contracts, the following would be the schedule for inter-commodity spread credits:
NYMEX Division Inter-Commodity Spread Credit PJM Monthly (JM) and PJM Weekly (JW)
| Period | Priority | Ratio | Percent Credit |
| 1 | |||
| Days Prior to the 8th of the Month: | 1:1 | 20% | |
| Days After the 7th but Prior to the 15th of the Month: | 1:1 | 30% | |
| Days After the 14th but Prior to the 22nd of the Month | 1:1 | 45% | |
| Days After the 21st but Prior to the 31st of the Month: | 1:1 | 90% | |
Inter-Commodity Spread Credits between the PJM Weekly (JW) and PJM Daily (JD) will change as the week elapses.
For Weekly Contracts that are offset by Daily contracts, the following would be the schedule for inter-commodity spread credits:
NYMEX Division Inter-Commodity Spread Credit PJM Weekly(JW) and PJM Daily(JD)
| Period | Priority | Ratio | Percent Credit |
| 2 | |||
| First Day of the Week | 1:1 | 15% | |
| Second Day of the Week | 1:1 | 20% | |
| Third Day of the Week | 1:1 | 30% | |
| Fourth Day of the Week | 1:1 | 45% | |
| Fifth Day of the Week | 1:1 | 95% | |
| The following are examples for June 30, 2003. | |
| (1) Monthly vs. Weekly – | |
| Outright margins: Long a July Monthly Futures (JM) contract | $3,500 |
| Outright margins: Short a 7/4/03 Weekly Futures (JW) | $2,000 |
| Scan Risk Margin | $5,500 |
| Inter Commodity Spread Credit – JM:JW | |
| (Days Prior to the 8th of the Month) (20% of Scan Risk) | |
| ($5,500 * 20%) | $1,100 |
| Total Requirement | $4,400 |
| Summary of Margin Requirement | |
| Clearing Member & Customer Maintenance | $4,400 |
| Member Customer | $4,840 |
| Non-Member Customer | $5,940 |
| (2) Weekly vs. Daily – | |
| Outright margin: Long a 7/4/03 Weekly Futures (JW) contract | $2,000 |
| Outright margin: Short a 6/30/03 Daily Futures (JD) contract | $1,500 |
| Scan Risk Margin | $3,500 |
| Inter Commodity Spread Credit – JM: JW | |
| (First Day of Week) (15% of Scan Risk) | |
| ($3,500 *15%) | $525 |
| Total Requirement | $2,975 |
| Summary of Margin Requirement | |
| Clearing Member & Customer Maintenance | $2,975 |
| Member Customer | $3,273 |
| Non-Member Customer | $4,016 |
Below are the Inter-commodity spread credits for the month of July 2003:
| Date | JW/JM | JD/JW |
| 30-Jun-03 | 20% | 15% |
| 01-Jul-03 | 20% | 20% |
| 02-Jul-03 | 20% | 30% |
| 03-Jul-03 | 20% | 45% |
| 07-Jul-03 | 20% | 15% |
| 08-Jul-03 | 30% | 20% |
| 09-Jul-03 | 30% | 30% |
| 10-Jul-03 | 30% | 45% |
| 11-Jul-03 | 30% | 95% |
| 14-Jul-03 | 30% | 15% |
| 15-Jul-03 | 45% | 20% |
| 16-Jul-03 | 45% | 30% |
| 17-Jul-03 | 45% | 45% |
| 18-Jul-03 | 45% | 95% |
| 21-Jul-03 | 45% | 15% |
| 22-Jul-03 | 90% | 20% |
| 23-Jul-03 | 90% | 30% |
| 24-Jul-03 | 90% | 45% |
| 25-Jul-03 | 90% | 95% |
| 28-Jul-03 | 90% | 15% |
| 29-Jul-03 | 90% | 20% |
| 30-Jul-03 | 90% | 30% |
| 31-Jul-03 | 90% | 45% |
| 01-Aug-03 | 90% | 95% |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or William Doherty at (212) 299-2925. This notice supersedes all previous notices regarding margins for the NYMEX PJM Futures Contracts.