11/21/2002
Futures Contract: Palladium
Contract Months: DECEMBER 2002 ONLY
NYMEX Division Margins on Palladium Futures Contracts
Clearing Member (Maintenance Margin) Old: $5,000 New: $10,000Member Customer (Initial Margin) Old: $5,500 New: $11,000
Non-Member Customer (Initial Margin ) Old: $6,750 New: $13,500
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 $8,000 starting on Thursday, November 21, 2002.
One Long Tier 1 PA (1 * $10,000) = $10,000
One Short Tier 2 PA (1 * $2,500) = - $2,500
Net Scan Risk ($10,000-$2,500) = $7,500
Spread Rate (1* $500) = + $ 500
Total Requirement = $8,000
Scan Risk Summary
Clearing Member (Maintenance Margin): $8,000
Member Customer (Initial Margin): $8,800
Non-Member Customer (Initial Margin): $10,800
This notice supersedes all previous notices regarding outright margins for the NYMEX Palladium Futures Contract.