09/13/2006
Futures Contract: Heating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil
Contract Months: All Months
NYMEX Division Outright (Scan) Margins on Heating Oil (HO), New York Heating
Oil Calendar Swap (MP), and Heating Oil Financial Contract (BH)
| Tier |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
2 |
$4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
3 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
4 |
$3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Heating Oil (QH)
| Tier |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,250 |
$2,500 |
$2,475 |
$2,750 |
$3,038 |
$3,375 |
2 |
$2,000 |
$2,250 |
$2,200 |
$2,475 |
$2,700 |
$3,038 |
3 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
4 |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$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 $1,250 starting on Thursday, September 14, 2006.
| One Long Tier 1 HO | (1 * $4,500) | = | $4,500 |
| One Short Tier 3 HO | (1 * $3,500) | = | $3,500 |
| Net Scan Risk | ($4,500 - $3,500) | = | $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, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil contracts.