10/22/2004
| Effective Date: | Friday, October 22, 2004 (close of business) |
| Futures Contracts: | Heating Oil (HO), NY Harbor Heating Oil Calendar Swap (MP) and New York Harbor Heating Oil Crack Spread Calendar Swap (HK) |
| Contract Months: | Revised Outright Margin for Tier 1 and 2 |
Note: The revised margins are in bold.
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 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
2 |
$3,750 |
$3,250 |
$4,125 |
$3,575 |
$5,063 |
$4,388 |
3 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
4 |
$2,750 |
$2,750 |
$3,025 |
$3,025 |
$3,713 |
$3,713 |
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 |
$2,538 | $2,275 | $2,792 | $2,503 | $3,426 | $3,071 |
2 |
$2,538 | $2,013 | $2,792 | $2,214 | $3,426 | $2,718 |
3 |
$1,925 | $1,925 | $2,118 | $2,118 | $2,599 | $2,599 |
4 |
$1,838 | $1,838 | $2,022 | $2,022 | $2,481 | $2,481 |
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 3 will have its requirement (at the clearing member rates) calculated at $713 starting on Friday, October 22, 2004.
| One Long Tier 1 HK | (1 * $2,538) | = |
$2,538 | |
| One Short Tier 2 HK | (1 * $1,925) | = |
$1,925 | |
| Net Scan Risk | ($2,538-$1,925) | = |
$613 | |
| Spread Rate | (1* $ 100) | = |
+ |
$100 |
| Total Requirement | = |
$713 |
| Clearing Member (Maintenance Margin): | $713 |
| Member Customer (Initial Margin): | $784 |
| Non-Member Customer (Initial Margin): | $963 |
This notice supersedes all previous notices regarding outright margins for Heating Oil, NY Harbor Heating Oil Calendar Swap and NY Harbor Heating Oil Crack Spread Calendar Swap.