Effective Date: Monday, October 4, 2004 (close of business)
Futures Contracts:
Gulf Coast Gasoline Calendar Swap (GS), Gulf Coast Heating
Oil Calendar Swap (GP), Gulf Coast Jet Fuel Calendar Swap (GE), European Naphtha
Calendar Swap (UN), European Jet Kero NWE (Northwest Europe) Calendar Swap (UJ),
European Jet Kero Rotterdam Calendar Swap (UR), European Gasoil 0.2 Rotterdam
Calendar Swap (UG), European Gasoil 0.2 NWE (Northwest Europe) Calendar Swap
(UE), European Gasoil 0.2 MED (Mediterranean) Calendar Swap (UQ), European ULSD
Diesel Rotterdam Calendar Swap (UP), European ULSD Diesel NWE (Northwest Europe)
Calendar Swap (UL), European 1% Fuel Oil (Northwest Europe) Calendar Swap (UF),
European 1% Fuel Oil Rotterdam Calendar Swap (UH), European 3.5% Fuel Oil Rotterdam
Calendar Swap (UV), European 3.5% Fuel Oil MED (Mediterranean) Calendar Swap
(UI), European Singapore Fuel Oil 180cst Calendar Swap (UA)
Contract Months: All Contracts
NYMEX Division Outright (Scan) Margins on European and Gulf Coast Products
Contracts |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
|
New |
New |
New |
GS |
3,500 |
3,850 |
4,725 |
|
GP |
3,250 |
3,575 |
4,388 |
GE |
3,250 |
3,575 |
4,388 |
UA |
17,000 |
18,700 |
22,950 |
UE |
21,000 |
23,100 |
28,350 |
UF |
17,000 |
18,700 |
22,950 |
UG |
21,000 |
23,100 |
28,350 |
UH |
17,000 |
18,700 |
22,950 |
UI |
17,000 |
18,700 |
22,950 |
UJ |
22,000 |
24,200 |
29,700 |
UL |
21,000 |
23,100 |
28,350 |
UN |
23,000 |
25,300 |
31,050 |
UP |
21,000 |
23,100 |
28,350 |
UQ |
21,000 |
23,100 |
28,350 |
UR |
22,000 |
24,200 |
29,700 |
UV |
17,000 |
18,700 |
22,950 |
NYMEX Division Intra-Commodity Spread Margins on European and Gulf Coast Products
Contracts |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
|
New |
New |
New |
GS |
500 |
550 |
675 |
GP |
400 |
440 |
540 |
GE |
400 |
440 |
540 |
UA |
2,400 |
2,640 |
3,240 |
UE |
3,400 |
3,740 |
4,590 |
UF |
2,400 |
2,640 |
3,240 |
UG |
3,400 |
3,740 |
4,590 |
UH |
2,400 |
2,640 |
3,240 |
UI |
2,400 |
2,640 |
3,240 |
UJ |
3,400 |
3,740 |
4,590 |
UL |
3,400 |
3,740 |
4,590 |
UN |
3,800 |
4,180 |
5,130 |
UP |
3,400 |
3,740 |
4,590 |
UQ |
3,400 |
3,740 |
4,590 |
UR |
3,400 |
3,740 |
4,590 |
UV |
2,400 |
2,640 |
3,240 |
NYMEX Division Intra-Commodity Spread Credits on European and Gulf Coast
Products
Spread |
Priority |
Ratio |
% Credit |
UG:UE |
36 |
1:01 |
95 |
UJ:UE |
37 |
1:01 |
95 |
UL:UE |
38 |
1:01 |
95 |
UP:UE |
39 |
1:01 |
95 |
UQ:UE |
40 |
1:01 |
95 |
UR:UE |
41 |
1:01 |
95 |
UJ:UG |
42 |
1:01 |
95 |
UL:UG |
43 |
1:01 |
95 |
UP:UG |
44 |
1:01 |
95 |
UQ:UG |
45 |
1:01 |
95 |
UR:UG |
46 |
1:01 |
95 |
UL:UJ |
47 |
1:01 |
95 |
UP:UJ |
48 |
1:01 |
95 |
UQ:UJ |
49 |
1:01 |
95 |
UR:UJ |
50 |
1:01 |
95 |
UP:UL |
51 |
1:01 |
95 |
UQ:UL |
52 |
1:01 |
95 |
UR:UL |
53 |
1:01 |
95 |
UQ:UP |
54 |
1:01 |
95 |
UR:UP |
55 |
1:01 |
95 |
UR:UQ |
56 |
1:01 |
95 |
UE:HO |
57 |
2:15 |
95 |
UG:HO |
58 |
2:15 |
95 |
UJ:HO |
59 |
2:15 |
95 |
UL:HO |
60 |
2:15 |
95 |
UP:HO |
61 |
2:15 |
95 |
UQ:HO |
62 |
2:15 |
95 |
UR:HO |
63 |
2:15 |
95 |
UE:MP |
64 |
2:15 |
95 |
UG:MP |
65 |
2:15 |
95 |
UJ:MP |
66 |
2:15 |
95 |
UL:MP |
67 |
2:15 |
95 |
UP:MP |
68 |
2:15 |
95 |
UQ:MP |
69 |
2:15 |
95 |
UR:MP |
70 |
2:15 |
95 |
UN:HU |
71 |
5:41 |
95 |
UN:MS |
72 |
5:41 |
95 |
UF:UA |
73 |
1:01 |
95 |
UH:UA |
74 |
1:01 |
95 |
UI:UA |
75 |
1:01 |
95 |
UV:UA |
76 |
1:01 |
95 |
UH:UF |
77 |
1:01 |
95 |
UI:UF |
78 |
1:01 |
95 |
UV:UF |
79 |
1:01 |
95 |
UI:UH |
80 |
1:01 |
95 |
UV:UH |
81 |
1:01 |
95 |
UV:UI |
82 |
1:01 |
95 |
GS:MS |
83 |
1:01 |
95 |
GP:MP |
84 |
1:01 |
95 |
GE:MP |
85 |
1:01 |
95 |
GP:HO |
86 |
1:01 |
95 |
GE:HO |
87 |
1:01 |
95 |
GS:HU |
88 |
1:01 |
95 |
UA:CL |
148 |
5:33 |
80 |
UF:CL |
149 |
5:33 |
80 |
UH:CL |
150 |
5:33 |
80 |
UI:CL |
151 |
5:33 |
80 |
UV:CL |
152 |
5:33 |
80 |
UA:CS |
153 |
5:33 |
80 |
UF:CS |
154 |
5:33 |
80 |
UH:CS |
155 |
5:33 |
80 |
UI:CS |
156 |
5:33 |
80 |
UV:CS |
157 |
5:33 |
80 |
UE:CS |
204 |
2:15 |
65 |
UG:CS |
205 |
2:15 |
65 |
UJ:CS |
206 |
2:15 |
65 |
UL:CS |
207 |
2:15 |
65 |
UP:CS |
208 |
2:15 |
65 |
UQ:CS |
209 |
2:15 |
65 |
UR:CS |
210 |
2:15 |
65 |
UN:CL |
211 |
5:41 |
65 |
UN:CS |
212 |
5:41 |
65 |
GS:CS |
213 |
1:01 |
65 |
GP:CS |
214 |
1:01 |
65 |
GE:CS |
215 |
1:01 |
65 |
GS:CL |
216 |
1:01 |
65 |
GP:CL |
217 |
1:01 |
65 |
GE:CL |
218 |
1:01 |
65 |
UE:CL |
324 |
2:15 |
60 |
UG:CL |
325 |
2:15 |
60 |
UJ:CL |
326 |
2:15 |
60 |
UL:CL |
327 |
2:15 |
60 |
UP:CL |
328 |
2:15 |
60 |
UQ:CL |
329 |
2:15 |
60 |
UR:CL |
330 |
2:15 |
60 |
GP:GS |
331 |
1:01 |
60 |
GE:GS |
332 |
1:01 |
60 |
GE:GP |
333 |
1:01 |
60 |
GP:MS |
334 |
1:01 |
60 |
GE:MS |
335 |
1:01 |
60 |
GS:MP |
336 |
1:01 |
60 |
GS:HO |
337 |
1:01 |
60 |
GP:HU |
338 |
1:01 |
60 |
GE:HU |
339 |
1:01 |
60 |
Should you have any questions regarding these changes, please contact Arthur McCoy
at (212) 299-2928 or William Doherty at (212) 299-2925. |