10/16/2007
Effective Date: Wednesday, October 17, 2007(close of business)
Futures Contracts: Crude Oil Futures Contract (CL), Financial Crude Oil Contract (WS), Crude Oil Calendar Swap (CS) NYMEX miNY Crude Oil Contract (QM)
Contract Months : All Months
Note: The revised margins are in bold.
NYMEX and Globex Division Outright (Scan) Margins on Light, Sweet Crude Oil Futures (CL) NYMEX Financial Crude Oil Contract (WS) and Crude Oil Calendar Swap (CS) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
CL (NOV 07 ONLY) |
$4,000 |
$3,000 |
$4,400 |
$3,300 |
$5,400 |
$4,050 |
CL (ALL OTHER MONTHS) |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
WS ( NOV 07 ONLY) |
$4,000 |
$3,000 |
$4,400 |
$3,300 |
$5,400 |
$4,050 |
WS (ALL OTHER MONTHS) |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
CS ( NOV 07ONLY ) |
$4,000 |
$3,000 |
$4,400 |
$3,300 |
$5,400 |
$4,050 |
CS (ALL OTHER MONTHS) |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
NYMEX and Globex Division Outright (Scan) Margins on NYMEY miNY Crude Oil Contract (QM) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
QM (NOV 07 ONLY) |
$2,000 |
$1,500 |
$2,200 |
$1,650 |
$2,700 |
$2,025 |
QM (ALL OTHER MONTHS) |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
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 CL leg in November 2007 and another CL in December 2007 will have its requirement (at the clearing member rates) calculated at $ 900 starting on Wednesday, October 17, 2007.
One Long November 2007 CL (1 * $ 4,000) = $ 4,000
One Short December 2007 CL (1 * $ 3,500) = $ 3,500
Net Scan Risk ($4,000-$3,500) = $ 500
Spread Rate (1* $ 400) = + $ 400
Total Requirement = $ 900
Summary
Clearing Member (Maintenance Margin): $ 900
Member Customer (Initial Margin): $ 990
Non-Member Customer (Initial Margin): $ 1,215
This notice supersedes all previous notices regarding outright margins for Crude Oil Futures Contract, Crude Oil Calendar Swap, Financial Crude Oil Contract and NYMEX miNY Crude Oil Contracts.