11/02/2007
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 thru 5th Nearby |
2nd thru 8th Nearby |
3 |
6th thru 11th Nearby |
9th thru 12th Nearby |
4 |
Greater than the 11th Nearby |
Greater than the 12th Nearby |
NYMEX Division Outright (Scan) Margins on Heating Oil (HO) and New York
Heating Oil Calendar Swap (MP)and Heating -Oil Financial Contract (BH)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$5,250 |
$4,500 |
$5,775 |
$4,950 |
$7,088 |
$6,075 |
2 |
$4,750 |
$4,250 |
$5,225 |
$4,675 |
$6,413 |
$5,738 |
3 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
4 |
$3,250 |
$3,250 |
$3,575 |
$3,575 |
$4,388 |
$4,388 |
NYMEX Division Outright (Scan) Margins on NYMEX miNYTM Heating Oil (QH)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
2 |
$2,375 |
$2,125 |
$2,613 |
$2,338 |
$3,206 |
$2,869 |
3 |
$1,750 |
$1,750 |
$1,925 |
$1,925 |
$2,363 |
$2,363 |
4 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$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 Monday, November 5, 2007.
| One Long Tier 1 HO | (1 * $5,250) | = | $5,250 |
| One Short Tier 2 HO | (1 * $4,750) | = | $4,750 |
| Net Scan Risk | ($5,250-$4,750) | = | $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.