03/15/2006
Effective Date: Thursday, March 16, 2006 (close of business )
Futures Contract: Unleaded Gasoline, NYMEX miNY™ Gasoline and NY Harbor Gasoline Calendar Swap
Contract Months : All months
HU/MS Outright (Scan ) Margin Tiers |
||
Tiers |
New |
Old |
1 |
1 st Nearby |
N/A |
2 |
2 nd thru 5th Nearby |
N/A |
3 |
Greater than the 5th nearby |
N/A |
HU Intra-Commodity Spread Tiers |
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Tiers |
New |
Old |
1 |
1 st Nearby |
1 st Nearby |
2 |
2 nd thru 5th Nearby |
2nd thru 6th Nearby |
3 |
Greater than the 5th Nearby |
7th thru 11th Nearby |
4 |
N/A |
Greater than the 11th Nearby |
MS Intra-Commodity Spread Tiers |
||
Tiers |
New |
Old |
1 |
1 st Nearby |
All Months |
2 |
2 nd thru 5th Nearby |
N/A |
3 |
Greater than the 5th Nearby |
N/A |
NYMEX Division Outright (Scan) Margins on Unleaded Gasoline (HU) and New York Harbor Gasoline Calendar Swap (MS) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$5,500 |
$4,500 |
$6,050 |
$4,950 |
$7,425 |
$6,075 |
2 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
3 |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY ™Gasoline (QU) |
||||||
Contract |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
QU |
$2,750 |
$2,250 |
$3,025 |
$2,475 |
$3,713 |
$3,038 |
NYMEX Division Intra-Commodity Spread Margins on Unleaded Gasoline (HU) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$250 |
$500 |
$275 |
$550 |
$338 |
$675 |
2 |
$250 |
$300 |
$275 |
$330 |
$338 |
$405 |
3 |
$200 |
$200 |
$220 |
$220 |
$270 |
$270 |
4 |
N/A |
$100 |
N/A |
$110 |
N/A |
$135 |
NYMEX Division Intra-Commodity Spread Margins on New York Harbor Gasoline Calender Swap (MS) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$250 |
$480 |
$275 |
$528 |
$338 |
$648 |
2 |
$250 |
N/A |
$275 |
N/A |
$338 |
N/A |
3 |
$200 |
N/A |
$220 |
N/A |
$270 |
N/A |
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 HU leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $ 750 starting on Thursday, March 16, 2006.
One Long Tier 1 HU (1 * $5,500) = $ 5,500 One Short Tier 2 HU (1 * $ 5,000) = $ 5,000
Net Scan Risk ($5,500-$5,000) = $ 500
Spread Rate (1* $ 250) = +$ 250
Total Requirement = $ 750
Summary
Clearing Member (Maintenance Margin): $ 750
Member Customer (Initial Margin): $ 825
Non-Member Customer (Initial Margin): $ 1,013