07/09/2004
| EFFECTIVE DATE: | Friday, July 9, 2004 (close of business) |
| FUTURES CONTRACTS: | PJM Monthly Financially Settled Electricity Futures Contracts (JM) |
| CONTRACT MONTHS: | All Months |
PJM Monthly Financially Settled Electricity
Futures Contracts Scan and Intra-Commodity Spread Tiers |
||
Tiers |
New |
Old |
1 |
1st - 2nd Nearby |
1st Nearby |
2 |
3rd Nearby |
2nd - 3rd Nearby |
3 |
4th Nearby |
4th Nearby |
4 |
5th - 6th Nearby |
5th - 7th Nearby |
5 |
7th - 8th Nearby |
8th - 9th Nearby |
6 |
9th - 11th Nearby |
10th Nearby |
7 |
12th - 14th Nearby |
11th - 13th Nearby |
8 |
Greater than 14th Nearby |
Greater than 13th Nearby |
NYMEX Division Outright (Scan) Margins
For PJM Monthly Financially Settled Electricity Futures Contracts |
||||||
| Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
2 |
$2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
3 |
$2,000 |
$1,500 |
$2,200 |
$1,650 |
$2,700 |
$2,025 |
4 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,500 |
$1,000 |
$1,650 |
$1,100 |
$2,025 |
$1,350 |
7 |
$1,500 |
$1,000 |
$1,650 |
$1,100 |
$2,025 |
$1,350 |
8 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
NYMEX Division Intra-Commodity Spread
Margins on For PJM Monthly Financially Settled Electricity Futures Contracts |
||||||
| Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$500 |
$2,000 |
$550 |
$2,200 |
$675 |
$2,700 |
2 |
$500 |
$2,500 |
$550 |
$2,750 |
$675 |
$3,375 |
3 |
$500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
4 |
$500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
5 |
$500 |
$2,000 |
$550 |
$2,200 |
$675 |
$2,700 |
6 |
$500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
7 |
$500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
8 |
$500 |
$2,000 |
$550 |
$2,200 |
$675 |
$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 6 will have its requirement (at the clearing member rates) calculated at $2,000 starting on Friday, July 9, 2004.
| One Long Tier 1 JM | (1 * $3,000) | = |
$3,000 | |
| One Short Tier 6 JM | (1 * $1,500) | = |
$1,500 | |
| Net Scan Risk | ($3,000-$1,500) | = |
$1,500 | |
| Spread Rate | (1* $ 500) | = |
+ |
$500 |
| Total Requirement | = |
$2,000 |
Summary
| Clearing Member (Maintenance Margin): | $2,000 |
| Member Customer (Initial Margin): | $2,200 |
| Non-Member Customer (Initial Margin): | $2,700 |
This notice supersedes all previous notices regarding margin rates and tiers for the PJM Monthly Financially Settled Electricity Futures Contracts.