08/21/2003
| Effective Date: | Friday, August 22, 2003 (close of business) |
| Futures Contracts: | Unleaded Gasoline (HU), NY Harbor Gasoline Calendar Swap (MS), Unleaded Gasoline Crude Oil Crack Spread (UK) |
| Contract Months: | September 03 Only |
| Rate Change: |
NYMEX Division Margins on Unleaded Gasoline Futures, New York Harbor Gasoline
Calendar Swap, and Unleaded Gasoline Crude Oil Crack Spread
|
Clearing Member / Maintenance Margin
|
Member Customer Initial Margin
|
Non-Member Customer Initial Margin
|
||||
|
New
|
Old
|
New
|
Old
|
New
|
Old
|
|
|
HU
|
$4,000
|
$2,500
|
$4,400
|
$2,750
|
$5,400
|
$3,375
|
|
MS
|
$4,000
|
$2,500
|
$4,400
|
$2,750
|
$5,400
|
$3,375
|
|
UK
|
$2,275
|
$1,680
|
$2,503
|
$1,848
|
$3,071
|
$2,268
|
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 September HU leg (Tier 1) and one October HU leg (Tier 2) will have its requirement (at the clearing member rates) calculated at $1,500 starting on Friday August 22, 2003.
| One Long Tier 1 HU | (1 * $4,000) | = | $4,000 | |||
| One Short Tier 2 HU | (1 * $2,500) | = | - | $2,500 | ||
| Net Scan Risk | ($4,000-$2,500) | = | $1,500 | |||
| Spread Rate | (1* $500) | = | + | $500 | ||
| Total Requirement | = | $2,000 |
Summary
| Clearing Member (Maintenance Margin): | $2,000 |
| Member Customer (Initial Margin): | $2,200 |
| Non-Member Customer (Initial Margin): | $2,700 |
This notice supersedes all previous notices regarding outright margins for Unleaded Gasoline Futures, New York Harbor Gasoline Calendar Swap, and Unleaded Gasoline Crude Oil Crack Spread.