Notice to Members
Notice No. 288
08/30/2001
Revised - Brent Futures and WTI-Brent Spread Option Margin Information
 
Effective Date:
 Wednesday, September 5, 2001 (close of business)
Futures Contracts:
 Brent Crude Oil Futures (SC)
Option Contracts:
 WTI-Brent Spread Options (BW/BO)
Contract Months:
 All Months
Rate Change:
  


NYMEX Division Margins for Brent Crude Oil Futures Contracts
   
Clearing Member (Maintenance Margin): New: $2,000
Member Customer (Initial Margin): New: $2,200
Non-Member Customer (Initial Margin): New: $2,700


Intra-Commodity Straddle Margins for Brent Crude oil Futures Contracts
Clearing Member and Member Customer Maintenance
   
Group 1: New: $400 Group 1 ~ 1st Nearby
Group 2: New: $250 Group 2 ~ 2nd - 6th Nearby
Group 3: New: $150 Group 3 ~ 7th - 12th Nearby
Group 4: New: $100 Group 4 ~ Greater than 12th Nearby


NYMEX Division Inter-Commodity Spread Credit for
Brent Futures and WTI-Brent Crude Oil Spread Option Contracts
Spread Ratio % Credit Current Margin Requirement Priority
BO²/CL/SC
1:1:1
95%
Varies with Option Series
1
SC/CL
1:1
87.5%
$500
4
SC/HO
1:1
75%
$1,000
6
SC/HU
1:1
75%
$1,000
7
SC/HU/HO
3:2:1
75%
$3,000
12
BO/SC
1:1
55%
Varies with Option Series
14
BO/CL
1:1
55%
Varies with Option Series
15


NYMEX Division SPAN Parameters for
Brent Futures and WTI-Brent Crude Oil Spread Option Contracts
Commodity Volatility Scan Range Volatility Weight Factor Exteme Move Value Extreme Move Coverage % Short-Option Minium $
SC
2.5
0
3
33
10
BW(BO)
0.0
0
3
33
10


II. WTI/IPE Brent Spread Credit
The margin credit for NYMEX WTI Crude/IPE Brent Crude futures spread positions will be eliminated as of Friday, September 7, 2001 (close of business). The margin credit for NYMEX WTI/Brent Crude Oil futures spread positions will be 87.5% of the outright margin for the spread as of Wednesday, September 5, 2001 (close of business). Based on current margin rates for NYMEX WTI and Brent Crude Oil futures contracts the spread credit will be $3,500 [.875*($4,000)], which resolves to a spread margin of $500 [$4,000 - $3,500].

This notice supersedes all previous notices regarding margin information for the NYMEX Brent Futures Contracts, WTI-Brent Spread Options, and the WTI/IPE Brent Spread Credit.

¹ The margin credit for NYMEX Light Sweet Crude/IPE Brent Crude Oil futures spread positions will remain unchanged at $1,500 (at the Clearing Member level).
²BO denotes the synthetic underlying commodity for WTI-Brent Spread Options (BW).
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com