05/27/2008
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
CL/WS/CS Intra -Commodity Spread Tiers
Tiers |
New |
Old† |
1 |
1st Nearby |
1st Nearby |
2 |
2nd -18th Nearby |
2nd - 5th Nearby |
3 |
19th - 42nd Nearby |
6th - 12th Nearby |
4 |
Greater than the 42nd Nearby |
Greater than the 12th Nearby |
NYMEX Division Outright (Scan) Margins on Crude Oil Futures Contract (CL),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 |
$7,750 |
$7,250 |
$8,525 |
$7,975 |
$10,463 |
$9,788 |
WS |
$7,750 |
$7,250 |
$8,525 |
$7,975 |
$10,463 |
$9,788 |
CS |
$7,750 |
$7,250 |
$8,525 |
$7,975 |
$10,463 |
$9,788 |
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 |
$3,875 |
$3,625 |
$4,263 |
$3,988 |
$5,231 |
$4,894 |
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 |
$1,550 |
$1,450 |
$1,705 |
$1,595 |
$2,092 |
$1,958 |
CL/WS/CS Intra-Commodity Spread Credits
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$450 |
$400 |
$495 |
$440 |
$608 |
$540 |
2 |
$400 |
$250 |
$440 |
$275 |
$540 |
$338 |
3 |
$300 |
$150 |
$330 |
$165 |
$405 |
$203 |
4 |
$300 |
$100 |
$330 |
$110 |
$405 |
$135 |
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 July 2008 and another CL in August 2008 will have its requirement (at the clearing member rates) calculated at $450 starting on Thursday, May 29, 2008.
| One Long May 2008 CL | (1 * $ 7,750) | = | $7,750 |
| One Short June 2008 CL | (1 * $ 7,750) | = | $7,750 |
| Net Scan Risk | ($7,750-$7,750) | = | $ 0 |
| Spread Rate | (1* $ 450) | = + | $450 |
| Total Requirement | = | $450 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $450 | ||
| Member Customer (Initial Margin): | $495 | ||
| Non-Member Customer (Initial Margin): | $608 |
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.