Notice to Members
Notice No. 191 06/10/2004
Calculating Spread Credits on Certain Clearport(sm) Trades
The Exchange is currently developing a margin feature known as Split Allocation for certain ClearPortsm products. This feature, which will be supported by both PC SPAN and the Exchange's internal clearing system, will break down or split any ClearPortsm contract that is related to two or more floor-traded products into equivalents of the floor-traded products before calculating a portfolio's margin requirement. Once split, these floor-traded equivalent products can be paired against similar floor products existing within a portfolio and will provide a more accurate margin assessment than using the current method of inter-commodity spread credits. Split Allocation should be available for the ClearPortsm products in the near future and updates to this Notice will follow. Recently, we have received several requests from our Clearing Members desiring to manually calculate inter-commodity spread credits for ClearPortsm products which are not supported systematically but are recognized by the Exchange. The Exchange believes that such a manual calculation is appropriate for the following ClearPortsm contracts as long as the spreads pertain to the same delivery month and the firm maintains sufficient documentation of the manual calculation. The spreads resulting from these strategies will be afforded a 100% credit. The specific ClearPortsm products affected by this initiative are the Crude Oil Calendar Swap (CS), the Heating Oil Crack Spread Calendar Swap (HK), the Unleaded Gasoline Crack Spread Calendar Swap (UK), the Unleaded Gasoline vs Heating Oil Calendar Swap (MR), the New York Harbor Gasoline Calendar Swap (MS), and the New York Harbor Heating Oil Calendar Swap (MP).
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com