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Enron Mail |
Notice No. 00-394
November 14, 2000 TO: ALL NYMEX MEMBERS AND MEMBER FIRMS ALL NYMEX CLEARING FIRMS ALL NYMEX OPERATIONS MANAGERS FROM: Neal Wolkoff Executive Vice President SUBJECT: MARGIN RATE CHANGE FOR NOVEMBER 17th, 22nd, 29th, 2000 MARGIN RATE CHANGE FOR NOVEMBER 17, 2000 Effective Date: Friday, November 17, 2000 (close of business) Futures Contract: Palladium Futures Contract Months: November and December 2000 Only NYMEX Division Margins on Palladium Futures Contracts Effective Date: Friday, November 17, 2000 (close of business) Clearing Member (Maintenance Margin): Old: $15,000 New: $25,000 Member Customer (Initial Margin): Old: $16,500 New: $27,500 Non-Member Customer (Initial Margin): Old: $20,250 New: $33,750 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. Because there is a difference between the margin required for the November and December 2000 delivery months and other months, each spread which includes either one leg in the November or December delivery month will have its requirement (at the clearing member rates) calculated at $10,250 starting on November 17th. This figure is determined as follows: Example At Clearing Member Rates for November 17th Margin Change: One Long December Palladium (1 x $25,000) = $25,000 One Short March Palladium (1 x $15,000) = - $15,000 Net Scan Risk ($25,000-$15,000) = $10,000 Spread Rate (1x $250) = + $ 250 Total Requirement = $10,250 NYMEX Division Margins on Palladium Futures Spreads - Requirements for Spreads with One Leg in Designated Months November and December Back Months Clearing Member (Maintenance Margin): $10,250 $250 Member Customer (Initial Margin): $11,275 $275 Non-Member Customer (Initial Margin): $13,838 $338 MARGIN RATE CHANGE FOR NOVEMBER 22, 2000 Effective Date: Wednesday, November 22, 2000 (close of business) Futures Contract: Palladium Futures Contract Months: November and December 2000 Only NYMEX Division Margins on Palladium Futures Contracts Effective Date: Wednesday, November 22, 2000 (close of business) Clearing Member (Maintenance Margin): Old: $25,000 New: $35,000 Member Customer (Initial Margin): Old: $27,500 New: $38,500 Non-Member Customer (Initial Margin): Old: $33,750 New: $47,250 Each spread which includes either one leg in the November or December delivery months will have its requirement (at the clearing member rates) calculated at $20,250 starting on November 22nd. This figure is determined as follows: Example At Clearing Member Rates for November 22nd Margin Change: One Long December Palladium (1 x $35,000) = $35,000 One Short March Palladium (1 x $15,000) = - $15,000 Net Scan Risk ($35,000-$15,000) = $20,000 Spread Rate (1x $250) = + $ 250 Total Requirement = $20,250 NYMEX Division Margins on Palladium Futures Spreads - Requirements for Spreads with One Leg in Designated Months November or December Back Months Clearing Member (Maintenance Margin): $20,250 $250 Member Customer (Initial Margin): $22,275 $275 Non-Member Customer (Initial Margin): $27,338 $338 MARGIN RATE CHANGE FOR NOVEMBER 29, 2000 Effective Date: Wednesday, November 29, 2000 (close of business) Futures Contract: Palladium Futures Contract Months: November and December 2000 Only NYMEX Division Margins on Palladium Futures Contracts Effective Date: Wednesday, November 29, 2000 (close of business) Clearing Member (Maintenance Margin): Old: $35,000 New: $45,000 Member Customer (Initial Margin): Old: $38,500 New: $49,500 Non-Member Customer (Initial Margin): Old: $47,250 New: $60,750 Each spread which includes either one leg in the November or December delivery months will have its requirement (at the clearing member rates) calculated at $30,250 starting on November 29th. This figure is determined as follows: Example At Clearing Member Rates for November 29th Margin Change: One Long December Palladium (1 x $45,000) = $45,000 One Short March Palladium (1 x $15,000) = - $15,000 Net Scan Risk ($45,000-$15,000) = $30,000 Spread Rate (1x $250) = + $ 250 Total Requirement = $30,250 NYMEX Division Margins on Palladium Futures Spreads - Requirements for Spreads with One Leg in Designated Months November or December Back Months Clearing Member (Maintenance Margin): $30,250 $250 Member Customer (Initial Margin): $33,275 $275 Non-Member Customer (Initial Margin): $40,838 $338 Should you have any questions regarding these changes, please contact Artie McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice supersedes all previous notices regarding outright margins for the NYMEX Palladium Futures Contract. __________________________________________________ Please click on the link below to indicate you have received this email. 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