09/23/2004
| Effective Date: | Friday, September 24, 2004 (close of business) |
| Futures Contracts: | Heating Oil Futures (HO) |
| New York Harbor Heating Oil Calendar Swap (MP) | |
| Contract Months: | All Months |
| Rate Change: |
In response to the changing dynamics of the energy marketplace, NYMEX will utilize a tier margin methodology for calculating outright (Scan) margin requirements for the NYMEX Heating Oil and New York Harbor Heating Oil Calendar Swap Contracts. This methodology has been in place for several years for the NYMEX Natural Gas and PJM Electricity Contracts. Moreover, this allows NYMEX to effectively capture the appropriate risk exposure based on the product’s forward curve. Accordingly, presented below are the initial Scan tier descriptions and respective margin requirements for the NYMEX Heating Oil and New York Harbor Heating Oil Calendar Swap Contracts.
HO/MP Outright (Scan) Margin Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
N/A |
2 |
2nd - 6th Nearby |
N/A |
3 |
7th - 11th Nearby |
N/A |
4 |
Greater than 11th Nearby |
N/A |
HO/MP Intra-Commodity Spread Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd - 6th Nearby |
2nd - 6th Nearby |
3 |
7th - 11th Nearby |
7th - 12th Nearby |
4 |
Greater than 11th Nearby |
Greater than 12th Nearby |
NYMEX Division Outright (Scan) Margins on Heating Oil (HO) and New York Harbor Heating Oil Calendar Swap (MP)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,500 |
$2,750 |
$3,850 |
$3,025 |
$4,725 |
$3,713 |
2 |
$3,250 |
$2,750 |
$3,575 |
$3,025 |
$4,388 |
$3,713 |
3 |
$3,000 |
$2,750 |
$3,300 |
$3,025 |
$4,050 |
$3,713 |
4 |
$2,750 |
$2,750 |
$3,025 |
$3,025 |
$3,713 |
$3,713 |
NYMEX Division Intra-Commodity Spread Margins on Heating Oil (HO) and New York Harbor Heating Oil Calendar Swap (MP)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$250 |
$400 |
$275 |
$440 |
$338 |
$540 |
2 |
$150 |
$250 |
$165 |
$275 |
$203 |
$338 |
3 |
$150 |
$150 |
$165 |
$165 |
$203 |
$203 |
4 |
$100 |
$100 |
$110 |
$110 |
$135 |
$135 |
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 HO leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $500 starting on Friday, September 24, 2004.
| One Long Tier 1 HO | (1 * $3,500) | = |
$3,500 | |
| One Short Tier 2 HO | (1 * $3,250) | = |
$3,250 | |
| Net Scan Risk | ($3,500-$3,250) | = |
$250 | |
| Spread Rate | (1* $ 250) | = |
+ |
$250 |
| Total Requirement | = |
$500 |
Summary
| Clearing Member (Maintenance Margin): | $500 |
| Member Customer (Initial Margin): | $550 |
| Non-Member Customer (Initial Margin): | $675 |
This notice supersedes all previous notices regarding outright margins for Heating Oil Futures Contracts and New York Harbor Heating Oil Calendar Swaps.