03/06/2008
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 thru 5th Nearby |
3 |
3rd thru 11th Nearby |
6th thru 11th Nearby |
4 |
Greater than the 11th Nearby |
Greater than the 11th Nearby |
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 |
$6,500 |
$5,750 |
$7,150 |
$6,325 |
$8,775 |
$7,763 |
2 |
$6,000 |
$5,250 |
$6,600 |
$5,775 |
$8,100 |
$7,088 |
3 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
4 |
$4,250 |
$4,250 |
$4,675 |
$4,675 |
$5,738 |
$5,738 |
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 |
$3,250 |
$2,875 |
$3,575 |
$3,163 |
$4,388 |
$3,881 |
2 |
$3,000 |
$2,625 |
$3,300 |
$2,888 |
$4,050 |
$3,544 |
3 |
$2,500 |
$2,250 |
$2,750 |
$2,475 |
$3,375 |
$3,038 |
4 |
$2,125 |
$2,125 |
$2,338 |
$2,338 |
$2,869 |
$2,869 |
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 Friday, March 7, 2008.
| One Long Tier 1 HO | (1 * $ 6,500) | = | $6,500 |
| One Short Tier 2 HO | (1 * $ 6,000) | = | $6,000 |
| Net Scan Risk | ($ 6,500-$ 6,000) | = | $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.