05/06/2008
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 | $7,250 | $6,500 | $7,975 | $7,150 | $9,788 | $8,775 |
| WS | $7,250 | $6,500 | $7,975 | $7,150 | $9,788 | $8,775 |
| CS | $7,250 | $6,500 | $7,975 | $7,150 | $9,788 | $8,775 |
NYMEX 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 | $3,625 | $3,250 | $3,988 | $3,575 | $4,894 | $4,388 |
NYMEX Division Outright (Scan) Margins on NYMEY MACI Index Futures Contract
(XC)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| XC | $1,450 | $1,300 | $1,595 | $1,430 | $1,958 | $1,755 |
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 June 2008 and another CL in July 2008 will have its requirement (at the clearing member rates) calculated at $400 starting on Wednesday, May 7, 2008.
| One Long May 2008 CL | (1 * $ 7,250) | = | $7,250 |
| One Short June 2008 CL | (1 * $ 7,250) | = | $7,250 |
| Net Scan Risk | ($7,250-$7,250) | = | $0 |
| Spread Rate | (1* $ 400) | = + | $400 |
| Total Requirement | = | $400 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $400 | ||
| Member Customer (Initial Margin): | $440 | ||
| Non-Member Customer (Initial Margin): | $540 |
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.