02/16/2005
FUTURES CONTRACTS: New York Harbor Heating Oil Crack Spread Calendar Swap (HK)
CONTRACT MONTHS: All Months
Note: The revised margins are in bold.
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 |
$2,100 |
$2,538 |
$2,310 |
$2,792 |
$2,835 |
$3,426 |
2 |
$2,013 |
$2,538 |
$2,214 |
$2,792 |
$2,718 |
$3,426 |
3 |
$1,750 |
$1,925 |
$1,925 |
$2,118 |
$2,363 |
$2,599 |
4 |
$1,663 |
$1,838 |
$1,829 |
$2,022 |
$2,245 |
$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 $350 starting on Thursday, February 17, 2005.
| One Long Tier 1 HK | (1 * $2,100) | = | $2,100 |
| One Short Tier 3 HK | (1 * $1,750) | = | $1,750 |
| Net Scan Risk | ($2,100-$1,750) | = | $350 |
| Spread Rate | (1* $ 100) | = + | $100 |
| Total Requirement | = | $450 |
| Summary | |
| Clearing Member (Maintenance Margin): | $450 |
| Member Customer (Initial Margin): | $495 |
| Non-Member Customer (Initial Margin): | $608 |
This notice supersedes all previous notices regarding outright margins for NY Harbor Heating Oil Crack Spread Calendar Swap.