07/01/2008
Futures Contract:
Crude Oil Futures Contract (CL), Financial Crude Oil Contract (WS), Crude Oil Calendar Swap (CS), NYMEX miNY Crude Oil Contract (QM), NYMEX MACI Index Futures Contract (XC)Contract Months: All Months
NYMEX Division Outright (Scan) Margins on Crude Oil Futures
Contract (CL),Financial Crude Oil Contract ( WS) and Crude Oil Calendar Swap
(CS)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| CL (August through December 2008) | $9,250 | $8,750 | $10,175 | $9,625 | $12,488 | $11,813 |
| CL (All Other Months) | $8,750 | $8,500 | $9,625 | $9,350 | $11,813 | $11,475 |
| WS (August through December 2008) | $9,250 | $8,750 | $10,175 | $9,625 | $12,488 | $11,813 |
| WS (All Other Months) | $8,750 | $8,500 | $9,625 | $9,350 | $11,813 | $11,475 |
| CS (August through December 2008) | $9,250 | $8,750 | $10,175 | $9,625 | $12,488 | $11,813 |
| CS (All Other Months) | $8,750 | $8,500 | $9,625 | $9,350 | $11,813 | $11,475 |
NYMEX Division Outright (Scan) Margins on NYMEY miNY Crude Oil Contract(
QM)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| QM (August through December 2008) | $4,625 | $4,375 | $5,088 | $4,813 | $6,244 | $5,906 |
| QM (All Other Months) | $4,375 | $4,250 | $4,813 | $4,675 | $5,906 | $5,738 |
NYMEX Division Outright (Scan) Margins on NYMEY MACI Index Futures Contract
(XC)
| Contract/Month |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
||
| XC | $1,817 | $1,742 | $1,999 | $1,916 | $2,453 | $2,352 | |
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 CL leg in August 2008 and another CL in January 2009 will have its requirement (at the clearing member rates) calculated at $950 starting on Wednesday, July 2, 2008.
| One Long August 2008 CL | (1 * $ 9,250) | = | $9,250 |
| One Short January 2009 CL | (1 * $ 8,750) | = | $8,750 |
| Net Scan Risk | ($9,250-$8,750) | = | $500 |
| Spread Rate | (1* $ 450) | = + | $450 |
| Total Requirement | = | $950 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $950 | ||
| Member Customer (Initial Margin): | $1,045 | ||
| Non-Member Customer (Initial Margin): | $1,283 |
This notice supersedes all previous notices regarding outright margins for Crude Oil Futures Contract, Crude Oil Calendar Swap, Globex Financial Crude Oil Contract and NYMEX miNY Crude Oil Contracts.