04/30/2008
Futures Contract: NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contract
Contract Months: All Months
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd thru 4th Nearby |
2nd thru 5th Nearby |
3 |
5th thru 11th Nearby |
6th thru 12th Nearby |
4 |
Greater than the 11th Nearby |
Greater than the 12th Nearby |
NYMEX Division Outright (Scan) Margins on New York Harbor Gasoline Blendstock
(RBOB) Futures Contract (RB), RBOB Gasoline - Financial Contract (RT) and
RBOB Calendar Swap (RL)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $7,250 | $6,750 | $7,975 | $7,425 | $9,788 | $9,113 |
| 2 | $6,750 | $6,250 | $7,425 | $6,875 | $9,113 | $8,438 |
| 3 | $6,250 | $6,000 | $6,875 | $6,600 | $8,438 | $8,100 |
| 4 | $6,000 | $5,750 | $6,600 | $6,325 | $8,100 | $7,763 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Gasoline (QU)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $3,625 | $3,375 | $3,988 | $3,713 | $4,894 | $4,556 |
| 2 | $3,375 | $3,125 | $3,713 | $3,438 | $4,556 | $4,219 |
| 3 | $3,125 | $3,000 | $3,438 | $3,300 | $4,219 | $4,050 |
| 4 | $3,000 | $2,875 | $3,300 | $3,163 | $4,050 | $3,881 |
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 RB leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $ 750 starting on Thursday, May 1, 2008.
| One Long Tier 1 RB | (1 * $7,250) | = | $7,250 |
| One Short Tier 2 RB | (1 * $6,750) | = | $6,750 |
| Net Scan Risk | ($7,250-$6,750) | = | $500 |
| Spread Rate | (1* $ 200) | = + | $200 |
| Total Requirement | = | $700 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $700 | ||
| Member Customer (Initial Margin): | $770 | ||
| Non-Member Customer (Initial Margin): | $945 |
This notice supersedes all previous notices regarding outright margins for the NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contracts.