11/14/2002
Futures Contracts: Palladium
Contract Months: December 2002 ONLY
NYMEX Division Margins on Palladium Futures Contracts
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The margin for all other contract months remains unchanged.
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 PA leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $3,000 starting on Thursday, November 12, 2002.
| One Long Tier 1 PA (1 * $5,000) | = $5,000 |
| One Short Tier 2 PA (1 * $2,500) | = $2,500 |
| Net Scan Risk ($5,000 - $2,500) | = $2,500 |
| Spread Rate (1 * $500) | = $500 |
| Total Requirement | = $3,000 |
| Summary | |
| Clearing Member (Maintenance Margin) | $3,000 |
| Member Customer (Initial Margin) | $3,300 |
| Non-Member Customer (Initial Margin) | $4,050 |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice supersedes all previous notices regarding outright margins for the NYMEX Palladium Futures Contract.