07/01/2008
Futures Contract: Heating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil
Contract Months: All Months
HO/MP/BH/QH Intra-Commodity Spread and Scan Tiers
Tiers |
New |
Old |
| 1 | 1st Nearby | 1st Nearby |
| 2 | 2nd Nearby | 2nd Nearby |
| 3 | 3rd - 8th Nearby | 3rd - 9th Nearby |
| 4 | Greater than the 8th Nearby | Greater than the 9th Nearby |
NYMEX Division Outright (Scan) Margins on Heating Oil (HO) New York Heating
Oil Calendar Swap (MP) and Heating Oil - Financial Contract (BH)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $10,250 | $10,000 | $11,275 | $11,000 | $13,838 | $13,500 |
| 2 | $9,750 | $9,500 | $10,725 | $10,450 | $13,163 | $12,825 |
| 3 | $9,250 | $8,750 | $10,175 | $9,625 | $12,488 | $11,813 |
| 4 | $8,250 | $8,000 | $9,075 | $8,800 | $11,138 | $10,800 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Heating Oil (QH)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $5,125 | $5,000 | $5,638 | $5,500 | $6,919 | $6,750 |
| 2 | $4,875 | $4,750 | $5,363 | $5,225 | $6,581 | $6,413 |
| 3 | $4,625 | $4,375 | $5,088 | $4,813 | $6,244 | $5,906 |
| 4 | $4,125 | $4,000 | $4,538 | $4,400 | $5,569 | $5,400 |
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 Wednesday, July 2, 2008.
| One Long Tier 1 HO | (1 * $ 10,250) | = | $10,250 |
| One Short Tier 2 HO | (1 * $ 9,750) | = | $9,750 |
| Net Scan Risk | ($ 10,250-$ 9,750) | = | $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 |
This notice supersedes all previous notices regarding outright margins for Heating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil contracts.