09/21/2005
EFFECTIVE DATE: Thursday, September 22, 2005 (close of business)
FUTURES CONTRACTS: Heating Oil (HO) and NY Harbor Heating Oil Calendar Swap (MP)
CONTRACT MONTHS: All Months
NYMEX Division Outright (Scan) Margins on Heating Oil (HO) and New York 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 |
$8,000 |
$6,000 |
$8,800 |
$6,600 |
$10,800 |
$8,100 |
2 |
$7,000 |
$5,250 |
$7,700 |
$5,775 |
$9,450 |
$7,088 |
3 |
$6,000 |
$4,750 |
$6,600 |
$5,225 |
$8,100 |
$6,413 |
4 |
$5,500 |
$4,250 |
$6,050 |
$4,675 |
$7,425 |
$5,738 |
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 $2,250 starting on Thursday, September 22, 2005.
| One Long Tier 1 HO | (1 * $8,000) | = | $8,000 |
| One Short Tier 3 HO | (1 * $6,000) | = | $6,000 |
| Net Scan Risk | ($6,000-$4,750) | = | $1,250 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $2,250 |
| Summary | |
| Clearing Member (Maintenance Margin): | $2,250 |
| Member Customer (Initial Margin): | $2,475 |
| Non-Member Customer (Initial Margin): | $3,038 |
This notice supersedes all previous notices regarding outright margins for Heating Oil and NY Harbor Heating Oil Calendar Swap.