11/09/2005
Futures Contract: 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)
| Tier |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$5,000 |
$6,500 |
$5,500 |
$7,150 |
$6,750 |
$8,775 |
2 |
$4,500 |
$6,000 |
$4,950 |
$6,600 |
$6,075 |
$8,100 |
3 |
$4,000 |
$5,500 |
$4,400 |
$6,050 |
$5,400 |
$7,425 |
4 |
$3,500 |
$5,000 |
$3,850 |
$5,500 |
$4,725 |
$6,750 |
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 $1,250 starting on Thursday, November 10, 2005.
| One Long Tier 1 HO | (1 * $5,000) | = | $5,000 |
| One Short Tier 3 HO | (1 * $4,000) | = | $4,000 |
| Net Scan Risk | ($5,000-$4,000) | = | $1,000 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $1,250 |
|
| Summary | |||
| Clearing Member (Maintenance Margin): | $1,250 |
||
| Member Customer (Initial Margin): | $1.375 |
||
| Non-Member Customer (Initial Margin): | $1,688 |
This notice supersedes all previous notices regarding outright margins for Heating Oil and New York Heating Oil Calendar Swap.