11/07/2007
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 |
$6,000 |
$5,250 |
$6,600 |
$5,775 |
$8,100 |
$7,088 |
2 |
$5,500 |
$4,750 |
$6,050 |
$5,225 |
$7,425 |
$6,413 |
3 |
$3,750 |
$3,500 |
$4,125 |
$3,850 |
$5,063 |
$4,725 |
4 |
$3,500 |
$3,250 |
$3,850 |
$3,575 |
$4,725 |
$4,388 |
NYMEX Division Outright (Scan) Margins on NYMEX miNYTM Heating Oil (QH)
| Tier |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,000 |
$2,625 |
$3,300 |
$2,888 |
$4,050 |
$3,544 |
2 |
$2,750 |
$2,375 |
$3,025 |
$2,613 |
$3,713 |
$3,206 |
3 |
$1,875 |
$1,750 |
$2,063 |
$1,925 |
$2,531 |
$2,363 |
4 |
$1,750 |
$1,625 |
$1,925 |
$1,788 |
$2,363 |
$2,194 |
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 2 will have its requirement (at the clearing member rates) calculated at $ 750 starting on Thursday, November 8, 2007
| One Long Tier 1 HO | (1 * $6,000) | = | $6,000 |
| One Short Tier 2 HO | (1 * $5,500) | = | $5,500 |
| Net Scan Risk | ($6,000-$5,500) | = | $500 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $750 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $750 | ||
| Member Customer (Initial Margin): | $825 | ||
| Non-Member Customer (Initial Margin): | $1,013 |
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.