11/27/2007
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 (Jan08 Only) | $5,250 |
$5,750 |
$5,775 |
$6,325 |
$7,088 |
$7,763 |
| CL (All Other Months) | $4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
| WS (Jan08 Only) | $5,250 |
$5,750 |
$5,775 |
$6,325 |
$7,088 |
$7,763 |
| WS (All Other Months) | $4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
| CS (Jan08 Only) | $5,250 |
$5,750 |
$5,775 |
$6,325 |
$7,088 |
$7,763 |
| CS (All Other Months) | $4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
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 (Jan08 Only) | $2,625 |
$2,875 |
$2,888 |
$3,163 |
$3,544 |
$3,881 |
| QM (All Other Months) | $2,250 |
$2,500 |
$2,475 |
$2,750 |
$3,038 |
$3,375 |
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 January 2008 and another CL in February 2008 will have its requirement (at the clearing member rates) calculated at $1,150 starting on Wednesday, November 28, 2007.
| One Long January 2008 CL | (1 * $ 5,250) | = | $5,250 |
| One Short February 2008 CL | (1 * $ 4,500) | = | $4,500 |
| Net Scan Risk | ($5,250-$4,500) | = | $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.