09/13/2006
Futures Contract: NYMEX Unleaded Gasoline, NYMEX miNY™ Gasoline, NY Harbor Gasoline Calendar Swap, NY Harbor Gasoline Blendstock (RBOB), and RBOB Gasoline Financial Contracts
Contract Months: All Months
NYMEX Division Outright (Scan) Margins on Unleaded Gasoline (HU), New
York Harbor Gasoline Calendar Swap (MS) New York Harbor Gasoline Blendstock
(RBOB) Futures Contract (RB) and RBOB Gasoline Financial Contract (RT).
|
|
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
2 |
$4,500 |
$5,500 |
$4,950 |
$6,050 |
$6,075 |
$7,425 |
3 |
$4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Gasoline (QU)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
2 |
$2,250 |
$2,750 |
$2,475 |
$3,025 |
$3,038 |
$3,713 |
3 |
$2,000 |
$2,250 |
$2,200 |
$2,475 |
$2,700 |
$3,038 |
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 3 will have its requirement (at the clearing member rates) calculated at $1,250 starting on Thursday, September 14, 2006.
| One Long Tier 1 HU | (1 * $5,000) | = | $5,000 |
| One Short Tier 3 HU | (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 the NYMEX Unleaded Gasoline, NYMEX miNY™ Gasoline, NY Harbor Gasoline Calendar Swap, NY Harbor Gasoline Blendstock (RBOB), and RBOB Gasoline Financial Contracts.