01/15/2002
| Effective Date: | Wednesday, January 15, 2003 (close of business) |
| Futures Contract: | Platinum Futures |
| Contract Months: | January 2003 |
NYMEX Division Margins on Platinum Futures Contracts
| Clearing Member (Maintenance Margin): | Old: $1,600 | New: $6,600 |
| Member Customer (Initial Margin): | Old: $1,760 | New: $7,260 |
| Non-Member Customer (Initial Margin): | Old: $2,160 | New: $8,910 |
The margin rate for all other contract months remain 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 PL leg in January 2003 and another in April 2003
will have its requirement (at the clearing member rates) calculated starting
on Wednesday, January 15, 2003.
| One Long January 2003 (1 * $6,600) | = | $6,600 | |
| One Short April 2003 (-1 * $1,600) | = | - | $1,600 |
| Net Scan Risk ($6,600-$1,600) | = | $5,000 | |
| Spread Rate (1* $500) | = | + | $ 500 |
| Total Requirement | = | $5,500 | |
Scan Risk Example Summary
Margin on a Spread Between a January 2003 and April 2003 Futures Contract| Clearing Member (Maintenance Margin): | $5,500 |
| Member Customer (Initial Margin): | $6,050 |
| Non-Member Customer (Initial Margin): | $7,425 |
This notice supersedes all previous notices regarding outright and spread margins for the NYMEX Platinum Futures Contract.