03/31/2008
Futures Contract: Heating Oil, NY Harbor Heating Oil Calendar Swap, Heating Oil Financial Contract, and NYMEX miNY™ Heating Oil
Contract Months: All Months
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 | $7,500 | $7,500 | $7,975 | $8,250 | $9,788 | $10,125 |
| 2 | $7,000 | $7,000 | $7,700 | $7,700 | $9,450 | $9,450 |
| 3 | $6,250 | $5,500 | $6,875 | $6,050 | $8,438 | $7,425 |
| 4 | $5,750 | $4,750 | $6,325 | $5,225 | $7,763 | $6,413 |
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 | $3,625 | $3,750 | $3,988 | $4,125 | $4,894 | $5,063 |
| 2 | $3,500 | $3,500 | $3,850 | $3,850 | $4,725 | $4,725 |
| 3 | $3,125 | $2,750 | $3,438 | $3,025 | $4,219 | $3,713 |
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 Tuesday, April 1, 2008.
| One Long Tier 1 HO | (1 * $ 7,500) | = | $7,500 |
| One Short Tier 2 HO | (1 * $ 7,000) | = | $7,000 |
| Net Scan Risk | ($ 7,500-$ 7,000) | = | $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.