02/02/2007
Effective Date: Monday, February 05, 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 |
$4,250 |
$3,750 |
$4,675 |
$4,125 |
$5,738 |
$5,063 |
2 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
3 |
$3,750 |
$3,250 |
$4,125 |
$3,575 |
$5,063 |
$4,388 |
4 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
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 |
$2,125 |
$1,875 |
$2,338 |
$2,063 |
$2,869 |
$2,531 |
2 |
$2,000 |
$1,750 |
$2,200 |
$1,925 |
$2,700 |
$2,363 |
3 |
$1,875 |
$1,625 |
$2,063 |
$1,788 |
$2,531 |
$2,194 |
4 |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
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 $ 500 starting on Monday, February 05, 2007.
One Long Tier 1 HO (1 * $4,250) = $ 4,250
One Short Tier 2 HO (1 * $4,000) = $ 4,000
Net Scan Risk ($4,250-$4,000) = $ 250
Spread Rate (1* $ 250) = + $ 250
Total Requirement = $ 500
Summary
Clearing Member (Maintenance Margin): $ 500
Member Customer (Initial Margin): $ 550
Non-Member Customer (Initial Margin): $ 675
Should you have any questions regarding these changes, please contact Salvatore Penna at (212) 299-2931 or William Doherty at (212) 299-2925. This notice supersedes all previous notices regarding outright margins forHeating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil – Financial Contract and NYMEX miNY™ Heating Oil.