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Enron Mail |
Notice No. 01-44
February 01, 2001 TO: ALL COMEX MEMBERS AND MEMBER FIRMS ALL COMEX CLEARING FIRMS ALL COMEX OPERATIONS MANAGERS FROM: Neal Wolkoff Executive Vice President SUBJECT: REVISED COPPER FUTURES MARGIN RATE CHANGE ON FEBRUARY 2 AND FEBRAURY 9, 2001, TO AFFECT THE FEBRUARY 2001 CONTRACT ONLY The following changes are applicable to the February 2001 futures contract only. This notice supercedes the January 31, 2001 notice that previously cited increases for both the February and March 2001 futures contracts. MARGIN RATE CHANGE FOR FEBRUARY 2, 2001 Effective Date: Friday, February 2, 2001 (close of business) Futures Contract: Copper Futures Contract Months: February 2001 Contract Only COMEX Division Margins on February 2001 Copper Futures Contract Clearing Member (Maintenance Margin): Old: $1,000 New: $ 3,000 Member Customer (Initial Margin): Old: $1,000 New: $ 3,000 Non-Member Customer (Initial Margin): Old: $1,350 New: $ 4,050 MARGIN RATE CHANGE FOR FEBRUARY 9, 2001 Effective Date: Friday, February 9, 2001 (close of business) Futures Contract: Copper Futures Contract Months: February 2001 Contract Only COMEX Division Margins on February 2001 Copper Futures Contract Clearing Member (Maintenance Margin): Old: $ 3,000 New: $ 5,000 Member Customer (Initial Margin): Old: $ 3,000 New: $ 5,000 Non-Member Customer (Initial Margin): Old: $ 4,050 New: $ 6,750 Spread Margins 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. Note the outright margin level required for the February 2001 contract, and all subsequent contracts, are different. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below are margin examples of certain spreads where the legs of the spread are margined differently. Example of Clearing Member Rates for February 2, 2001 Margin Change: One Long February Copper HG (1 x $3,000) = $ 3,000 One Short April Copper HG (1 x $1,000) = - $ 1,000 Net Scan Risk ($3,000-$1,000) = $ 2,000 Spread Rate (1x $420) = + $ 420 Total Requirement = $ 2,420 COMEX Division Margins on Copper Futures Spreads - Requirements for Spreads with One Leg in Designated Month February Other Months Clearing Member (Maintenance Margin): $ 2,420 $420 Member Customer (Initial Margin): $ 2,420 $420 Non-Member Customer (Initial Margin): $ 3,267 $567 Example of Clearing Member Rates for February 9, 2001 Margin Change: One Long February Copper HG (1 x $5,000) = $ 5,000 One Short April Copper HG (1 x $1,000) = - $ 1,000 Net Scan Risk ($5,000-$1,000) = $ 4,000 Spread Rate (1x $420) = + $ 420 Total Requirement = $ 4,420 COMEX Division Margins on Copper Futures Spreads - Requirements for Spreads with One Leg in Designated Month February Other Months Clearing Member (Maintenance Margin): $ 4,420 $420 Member Customer (Initial Margin): $ 4,420 $420 Non-Member Customer (Initial Margin): $ 5,967 $567 Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice supersedes all previous notices regarding outright margins for the COMEX Copper Futures Contract. __________________________________________________ Please click on the link below to indicate you have received this email. "http://208.206.41.61/email/email_log.cfm?useremail=sara.shackleton@enron.com& refdoc=(01-44)" Note: If you click on the above line and nothing happens, please copy the text between the quotes, open your internet browser, paste it into the web site address and press Return.
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