01/03/2007
Futures Contract: Heating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil
Contract Months: All Months
HO/MP/BH/QH Intra–Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd – 8 th Nearby |
2nd – 7th Nearby |
3 |
9th – 12th Nearby |
8th – 10th Nearby |
4 |
Greater than the 12th Nearby |
Greater than the 10th Nearby |
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 |
$3,250 |
$4,000 |
$3,575 |
$4,400 |
$4,388 |
$5,400 |
2 |
$3,250 |
$4,000 |
$3,575 |
$4,400 |
$4,388 |
$5,400 |
3 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
4 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
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 |
$1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
2 |
$1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
3 |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
4 |
$1,500 |
$1,250 |
$1,650 |
$1,375 |
$2,025 |
$1,688 |
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 $ 500 starting on Thursday, January 4, 2007.
| One Long Tier 1 HO | (1 * $3,250) | = | $3,250 |
| One Short Tier 3 HO | (1 * $3,500) | = | $3,500 |
| Net Scan Risk | ($3,250 – $3,500) | = | $250 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $500 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $500 | ||
| Member Customer (Initial Margin): | $550 | ||
| Non-Member Customer (Initial Margin): | $675 |
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.