12/17/2004
FUTURES CONTRACTS: PJM Monthly Financially Settled Electricity Futures Contracts (JM)
CONTRACT MONTHS: All Months
Note: The revised margins are in bold.
JM Intra-Commodity Spread and Scan Tiers |
Tiers |
New |
Old |
1 |
1st and 2nd Nearby |
1st and 2nd Nearby |
2 |
3rd Nearby |
3rd Nearby |
3 |
4th Nearby |
4th Nearby |
4 |
5th Nearby |
5th - 6th Nearby |
5 |
6th Nearby |
7th - 8th Nearby |
6 |
7th - 22nd Nearby |
9th - 11th Nearby |
7 |
23rd - 25th Nearby |
12th - 14th Nearby |
8 |
Greater than 25th Nearby |
Greater than 14th 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 |
|
Tier 1 |
$3,500 |
$2,500 |
$3,850 |
$2,750 |
$4,725 |
$3,375 |
Tier 2 |
$3,500 |
$2,000 |
$3,850 |
$2,200 |
$4,725 |
$2,700 |
Tier 3 |
$3,500 |
$1,000 |
$3,850 |
$1,100 |
$4,725 |
$1,350 |
Tier 4 |
$3,500 |
$1,000 |
$3,850 |
$1,100 |
$4,725 |
$1,350 |
Tier 5 |
$2,500 |
$1,000 |
$2,750 |
$1,100 |
$3,375 |
$1,350 |
Tier 6 |
$2,000 |
$1,000 |
$2,200 |
$1,100 |
$2,700 |
$1,350 |
Tier 7 |
$1,500 |
$1,000 |
$1,650 |
$1,100 |
$2,025 |
$1,350 |
Tier 8 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
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, December 20, 2004.
| One Long Tier 1 JM | (1 * $3,500) | = | $3,500 |
| One Short Tier 6 JM | (1 * $2,000) | = | $2,000 |
| Net Scan Risk | ($3,500-$2,000) | = | $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 |
This notice supersedes all previous notices regarding margin rates and tiers for the PJM Monthly Financially Settled Electricity Futures Contracts.