12/28/2007
Effective Date: Monday, December 31, 2007 (close of business)
Futures Contracts: Heating Oil , NY Harbor Heating Oil Calendar Swap, Heating Oil – Financial Contract and NYMEX miNY™ Heating Oil.
Contract Months : All months
Note: The revised margins are in bold
NYMEX Division Outright (Scan) Margins on Heating Oil (HO) 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 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
2 |
$4,500 |
$5,500 |
$4,950 |
$6,050 |
$6,075 |
$7,425 |
3 |
$3,750 |
$3,750 |
$4,125 |
$4,125 |
$5,063 |
$5,063 |
4 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY ™Heating Oil (QH) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
2 |
$2,250 |
$2,750 |
$2,475 |
$3,025 |
$3,038 |
$3,713 |
3 |
$1,875 |
$1,875 |
$2,063 |
$2,063 |
$2,531 |
$2,531 |
4 |
$1,750 |
$1,750 |
$1,925 |
$1,925 |
$2,363 |
$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 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, December 31, 2007.
One Long Tier 1 HO (1 * $5,000) = $ 6,000
One Short Tier 2 HO (1 * $4,500) = $ 5,500
Net Scan Risk ($5,000-$4,500) = $ 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