Notice to Members
Notice No. 86
03/08/2001
Margin Rate Change for Back Month Palladium Futures Contracts
 
Effective Date:
 Wednesday, March 14, 20001 (close of business)
Futures Contract:
 Palladium Futures
Contract Months:
 All Months Subsequent to the March 2001 Contract Month (The Margin for the March 2001 Contract, $50,000, will not be Affected by this Rate Change)
Rate Change:
  


NYMEX Division Margins for Palladium Back Month Futures Contracts
Old
New
Clearing Member (Maintenance Margin)
$50,000
$5,000
Member Customer (Initial Margin)
$55,000
$5,500
Non-Member Customer (Initial Margin)
$67,500
$6,750


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. Note the outright margin level required for the March 2001 contract, and all subsequent contracts differ. 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.

Example at Clearing Member Rates
A spread consisting of one leg in the March 2001 contract and another in the April 2001 contract (or any subsequent month) will have its requirement (at the clearing member rates) calculated at $45,500 starting on Wednesday, March 14, 2001.

       
One Long March 2001 PA
(1 x $50,00)
=
$50,000
One Short April 2001 PA
(1 x $5,000)
=
- $5,000
Net Scan Risk
($50,000 - $5,000)
=
$45,000
Spread Rate
(1 x $500)
=
+ $500
Total Requirement
=
$45,500


Summary of NYMEX Division Margins on Palladium Futures Spreads
All Spreads With One Leg in the March 2001 Contract
   
Clearing Member (Maintenance Margin):
$45,500
Member Customer (Initial Margin):
$50,050
Non-Member Customer (Initial Margin):
$61,425


Spreads Between All Contract Months Subsequent To the March 2001 Contract
   
Clearing Member (Maintenance Margin):
$300
Member Customer (Initial Margin):
$330
Non-Member Customer (Initial Margin):
$405
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com