Clearing House Advisory Notice
To | Back Office Managers, Service Bureau Representatives
From | Clearing House Department
Subject | Notification of CME/NYMEX Cross-Margining Program
Effective Date | 06/05/02
Notice Number | 02-38
Chicago Mercantile Exchange, Inc. (CME) and New York Mercantile Exchange, Inc. (NYMEX) will launch cross-margining program between the CME Goldman Sachs Commodity Index Futures contracts (GSCI �) and NYMEX energy contracts on June 17, 2002 for proprietary (house) positions. Details of the cross-margin eligible products and spread ratio are as follows: ELIGIBLE PRODUCTS and CROSS MARGIN SPREAD RATIO
CME | NYMEX
100 CME Goldman Sachs Commodity Index futures and options on futures contracts | 50 Light, Sweet Crude Oil futures and options on futures contracts 13 Henry Hub Natural Gas futures and options on futures contracts 13 Heating Oil futures and options on futures contracts 12 NY Harbor Unleaded Gas futures and options on futures contracts
** �Eligible Products� shall also include NYMEX e-miNY Contracts. Clearing firms who are members at CME and NYMEX are eligible to participate in the program. Affiliated companies, of which one is a clearing member at CME and the other is a member at NYMEX, will also be eligible to participate. Clearing firms will be able to receive performance bond reductions for offsetting positions through this cross-margin program. Participating cross-margin members will NOT need to set up special clearing-level position accounts nor will they need to use separate firm numbers for entering trades. Instead, CME and NYMEX will automatically exchange data and calculate all performance bond reductions like most other spread reductions. In order to join the CME/NYMEX cross-margin program and receive performance bond reductions for proprietary positions, firms must execute legal agreements with the clearing organizations. To participate in cross-margining on June 17, 2002, signed agreements should be submitted by June 14, 2002. Attached are copies of agreements for those firms who are members at CME and NYMEX and also for those firms who have affiliated members at each organization. CME - NYMEX Cross Margining Agreement These agreements need to be delivered to the Chicago Mercantile Exchange Clearing House, 6th Floor, South Tower, 30 S. Wacker Dr., Chicago, IL 60606. If you need additional information regarding this cross-margin program, please contact Mr. Tae Yoo, Senior Analyst, Risk Management, CME at (312) 466-7443 or Mr. Dale Michaels, Director, Risk Management, CME at (312) 930-3062.