10/29/2007
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
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)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
CL (Dec 07 Only) |
$4,750 |
$3,500 |
$5,225 |
$3,850 |
$6,413 |
$4,725 |
CL (All Other Months) |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
WS ( Dec 07 Only) |
$4,750 |
$3,500 |
$5,225 |
$3,850 |
$6,413 |
$4,725 |
WS (All Other Months) |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
CS ( Dec 07only ) |
$4,750 |
$3,500 |
$5,225 |
$3,850 |
$6,413 |
$4,725 |
CS (All Other Months) |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
NYMEX and Globex Division Outright (Scan) Margins on NYMEY miNY Crude
Oil Contract (QM)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
QM (Dec 07 Only) |
$2,375 |
$1,750 |
$2,613 |
$1,925 |
$3,206 |
$2,363 |
QM (All Other Months) |
$2,000 |
$1,750 |
$2,200 |
$1,925 |
$2,700 |
$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 CL leg in December 2007 and another CL in January 2008 will have its requirement (at the clearing member rates) calculated at $1,150 starting on Tuesday, October 30, 2007.
| One Long November 2007 CL | (1 * $ 4,750) | = | $4,750 |
| One Short December 2007 CL | (1 * $ 4,000) | = | $4,000 |
| Net Scan Risk | ($4,750-$4,000) | = | $ 750 |
| Spread Rate | (1* $ 400) | = + | $ 400 |
| Total Requirement | = | $1,150 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $1,150 | ||
| Member Customer (Initial Margin): | $1,265 | ||
| Non-Member Customer (Initial Margin): | $1,553 |
This notice supersedes all previous notices regarding outright margins for Crude Oil Futures Contract, Crude Oil Calendar Swap, Globex Financial Crude Oil Contract and NYMEX miNY Crude Oil Contracts.