Notice to Members
Notice No. 280
07/11/2005
Tier Changes for New York Harbor Heating Oil Crack Spread Calendar Swap; Margin Rate and Tier Changes for Heating Oil, New York Harbor Heating Oil Calendar Swap and Northwest Europe Gasoil
EFFECTIVE DATE: Tuesday, July 12, 2005 (close of business)

FUTURES CONTRACTS:
Heating Oil (HO), NY Harbor Heating Oil Calendar Swap (MP), Northwest Europe Gasoil (GR) and New York Harbor Heating Oil Crack Spread Calendar Swap (HK)
CONTRACT MONTHS: All Months

HO/MP/GR/HK Outright (Scan) and Intra Commodity Margin Tiers
 
Tiers
New
Old
1
1st Nearby
1st Nearby
2
2nd - 7 th Nearby
2nd - 6 th Nearby
3
8th - 10th Nearby
7th - 11th Nearby
4
Greater than 10th Nearby
Greater than 11th Nearby


NYMEX Division Outright (Scan) Margins on Heating Oil (HO) and New York Harbor Heating Oil Calender Swap (MP)
 
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
1
$4,500
$4,000
$4,950
$4,400
$6,075
$5,400
2
$4,250
$3,750
$4,675
$4,125
$5,738
$5,063
3
$3,750
$3,000
$4,125
$3,300
$5,063
$4,050
4
$3,250
$2,250
$3,575
$2,475
$4,388
$3,038


NYMEX Division Outright (Scan) Margins on Northwest Europe Gasoil (GR)
 
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
1
$3,375
$3,000
$3,713
$3,300
$4,556
$4,050
2
$3,188
$2,800
$3,506
$3,080
$4,303
$3,780
3
$2,813
$2,250
$3,094
$2,475
$3,797
$3,038
4
$2,438
$1,750
$2,681
$1,925
$3,291
$2,363


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 3 will have its requirement (at the clearing member rates) calculated at $1,000 starting on Tuesday, July 12, 2005.

One Long Tier 1 NG (1 * $4,500) = $4,500
One Short Tier 8 NG (1 * $3,750) =    - $3,750
Net Scan Risk ($4,500-$3,750)) = $750
Spread Rate (1* $250) =    + $250
Total Requirement   = $1,000


Summary  
Clearing Member (Maintenance Margin): $1,000
Member Customer (Initial Margin): $1,100
Non-Member Customer (Initial Margin): $1,350
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com