02/11/2005
FUTURES CONTRACTS: NYMEX Brent Crude Oil Calendar Swap (SA), NYMEX WTI–Brent Crude Oil Spread Calendar Swap (SB)
CONTRACT MONTHS: All Months
NYMEX Division Outright (Scan) Margins on Brent Crude Oil Calendar Swap (SA) |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
New |
New |
New |
|
All Months |
$2,500 |
$2,750 |
$3,375 |
SA Intra–Commodity Spread Tiers |
Tiers |
New |
Old |
1 |
1st Nearby |
N/A |
2 |
2nd - 6th Nearby |
N/A |
3 |
7th - 12th Nearby |
N/A |
4 |
Greater than 12th Nearby |
N/A |
NYMEX Division Intra–Commodity Spread Margins on Brent Crude Calendar Swap (SA) |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
New |
New |
New |
|
| 1 (1st Nearby) | $400 |
$440 |
$540 |
| 2 (2th – 6th Nearby) | $250 |
$275 |
$338 |
| 3 (7th – 12th Nearby) | $150 |
$165 |
$203 |
| 4 (Greater than 12th Nearby) | $100 |
$110 |
$135 |
|
NYMEX Division Outright (Scan) Margins on NYMEX WTI Crude Oil vs NYMEX Brent Crude Oil Spread Calendar Swap (SB) |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial Margin |
New |
New |
New |
|
| All Months | $250 |
$275 |
$338 |
| NYMEX Division Outright (Scan) Margins on
Natural Gas e–miNY Futures (QG) |
Spread |
Priority |
Ratio |
% Credit |
SA:SC |
21 |
1:01 |
98 |
SA:CS |
43 |
1:01 |
95 |