10/01/2004
Futures Contracts: New York Harbor Heating Oil Crack Spread Calendar Swap (HK)
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) and spread (Intra-Commodity) margin requirements for the NYMEX New York Harbor Oil Crack Spread 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 New York Harbor Oil Crack Spread Calendar Swap Contracts.
HK 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 |
HK Intra-Commodity Spread 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 |
NYMEX Division Outright (Scan) Margins on New York Harbor Oil Crack Spread Calendar Swap (HK)
| Tiers | Clearing Member / Maintenance Margin | Member Customer Initial Margin | Non-Member Customer Initial Margin | |||
| New | Old | New | Old | New | Old | |
| 1 | $2,275 | $1,838 | $2,503 | $2,022 | $3,071 | $2,481 |
| 2 | $2,013 | $1,838 | $2,214 | $2,022 | $2,718 | $2,481 |
| 3 | $1,925 | $1,838 | $2,118 | $2,022 | $2,599 | $2,481 |
| 4 | $1,838 | $1,838 | $2,022 | $2,022 | $2,481 | $2,481 |
NYMEX Division Intra-Commodity Spread Margins on New York Harbor Oil Crack Spread Calendar Swap (HK)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
Old |
New |
Old |
New |
Old |
|
1 |
$100 |
$240 |
$110 |
$264 |
$135 |
$324 |
2 |
$100 |
$240 |
$110 |
$264 |
$135 |
$324 |
3 |
$100 |
$240 |
$110 |
$264 |
$135 |
$324 |
4 |
$100 |
$240 |
$110 |
$264 |
$135 |
$324 |
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 HK leg in Tier 1 and another in Tier 2 will have
its requirement (at the clearing member rates) calculated at $500 starting on
Thursday, September 30, 2004.
| One Long Tier 1 HK | (1 * $2,275) | = $2,275 |
| One Short Tier 2 HK | (1 * $2,013) | = $2,013 |
| Net Scan Risk | ($2,275-$2,013) | = $ 262 |
| Spread Rate | (1* $ 100) | = + $ 100 |
| Total Requirement | = $ 362 |
| Summary | |
| Clearing Member (Maintenance Margin): | $ 362 |
| Member Customer (Initial Margin): | $ 398 |
| Non-Member Customer (Initial Margin): | $ 489 |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or William Doherty at (212) 299-2925. This notice supersedes all previous notices regarding outright margins for New York Harbor Oil Crack Spread Calendar Swap.