05/29/2008
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 - 9th Nearby | 3rd - 11th Nearby |
| 4 | Greater than the 9th 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)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $9,000 | $9,000 | $9,900 | $9,900 | $12,150 | $12,150 |
| 2 | $8,500 | $8,500 | $9,350 | $9,350 | $11,475 | $11,475 |
| 3 | $8,000 | $7,500 | $8,800 | $8,250 | $10,800 | $10,125 |
| 4 | $7,500 | $7,000 | $8,250 | $7,700 | $10,125 | $9,450 |
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 | $4,500 | $4,500 | $4,950 | $4,950 | $6,075 | $6,075 |
| 2 | $4,250 | $4,250 | $4,675 | $4,675 | $5,738 | $5,738 |
| 3 | $4,000 | $3,750 | $4,400 | $4,125 | $5,400 | $5,063 |
| 4 | $3,750 | $3,500 | $4,125 | $3,850 | $5,063 | $4,725 |
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, May 30, 2008.
| One Long Tier 1 HO | (1 * $ 9,000) | = | $9,000 |
| One Short Tier 2 HO | (1 * $ 8,500) | = | $8,500 |
| Net Scan Risk | ($ 9,000-$ 8,500) | = | $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.