09/10/2004
EFFECTIVE DATE: Monday, September 13, 2004 (close of business)
FUTURES CONTRACTS: PJM Monthly Financially Settled Electricity Futures Contracts (JM)
CONTRACT MONTHS: All Months
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 |
|
Tier 1 (1st - 2nd Nearby): |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
Tier 2 (3rd Nearby): |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
Tier 3 (4th Nearby): |
$1,000 |
$2,000 |
$1,100 |
$2,200 |
$1,350 |
$2,700 |
Tier 4 (5th - 6th Nearby): |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
Tier 5 (7th - 8th Nearby): |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
Tier 6 (9th - 11th Nearby): |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
Tier 7 (12th - 14th Nearby): |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
Tier 8 (Greater than 14th Nearby): |
$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 |
|
Tier 1 (1st - 2nd Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 2 3rd Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 3 (4th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 4 (5th - 6th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 5 (7th - 8th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 6 (9th - 11th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 7 (12th - 14th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
Tier 8 (Greater than 14th Nearby): |
$250 |
$500 |
$275 |
$550 |
$338 |
$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 6 will have
its requirement (at the clearing member rates) calculated at $1,750 starting
on Monday, September 13, 2004.
One Long Tier 1 JM (1 * $2,500) = $2,500 One Short Tier 6 JM (1 * $1,000) = $1,000 Net Scan Risk ($2,500-$1,000) = $1,500 Spread Rate (1* $ 250) = + $ 250 Total Requirement = $1,750 Summary Clearing Member (Maintenance Margin): $1,750 Member Customer (Initial Margin): $1,925 Non-Member Customer (Initial Margin): $2,363