04/21/2006
FUTURES CONTRACTS:
RBOB Bullet Swap (RT), RBOB Calendar Swap (RL), RBOB vs. Heating Oil Swap Contract (RH), RBOB Crack Spread Swap (RM), and Up-Down Calendar Swap Contract (RV)CONTRACT MONTHS: All Months
RT/RL Outright (Scan) Margin Tiers
Tiers |
New |
1 |
1st Nearby |
2 |
2nd - 5th Nearby |
3 |
Greater than 5th Nearby |
RH/RM/RV Outright (Scan) Margin Tiers
Tiers |
New |
1 |
All Months |
NYMEX Division Outright (Scan) Margin Rates For New RBOB Gasoline Swap Contracts
| Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
New |
New |
|
| RBOB Bullet Swap(RT) | |||
| Tier 1 - 1st Nearby | $6,000 |
$6,600 |
$8,100 |
| Tier 2: 2nd Throught 5th Nearby | $5,500 |
$6,050 |
$7,425 |
| Tier 3: Greater than 5th Nearby | $4,500 |
$4,950 |
$6,075 |
| RBOB Calendar Swap(RL) | |||
| Tier 1 - 1st Nearby | $6,000 |
$6,600 |
$8,100 |
| Tier 2: 2nd Throught 5th Nearby | $5,500 |
$6,050 |
$7,425 |
| Tier 3: Greater than 5th Nearby | $4,500 |
$4,950 |
$6,075 |
| RBOB vs. Heating Oil Swap Contract (RH) | |||
| Tier 1 - All Months | $2,500 |
$2,750 |
$3,375 |
| RBOB Crack Spread Swap(RM) | |||
| Tier 1 - All Months | $2,500 |
$2,750 |
$3,375 |
| RBOB Up-Down Calendar Swap Contract(RV) | |||
| Tier 1 - All Months | $3,000 |
$3,300 |
$4,050 |
RT/RL Intra-Commodity Spread Tiers
Tiers |
New |
1 |
1st Nearby |
2 |
2nd - 5th Nearby |
3 |
Greater than 5th Nearby |
RH/RM/RV Outright (Scan) Margin Tiers
Tiers |
New |
1 |
All Months |
NYMEX Division Intra-Commodity Spread Margin Rates For New RBOB Gasoline Swap Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
New |
New |
New |
|
| RBOB Bullet Swap(RT) | |||
| Tier 1 - 1st | $250 |
$275 |
$338 |
| Tier 2: 2nd Throught 5th Nearby | $250 |
$275 |
$338 |
| Tier 3: Greater than 5th Nearby | $200 |
$220 |
$270 |
| RBOB Calendar Swap(RL) | |||
| Tier 1 - 1st | $250 |
$275 |
$338 |
| Tier 2: 2nd Throught 5th Nearby | $250 |
$275 |
$338 |
| Tier 3: Greater than 5th Nearby | $200 |
$220 |
$270 |
| RBOB vs. Heating Oil Swap Contract (RH) | |||
| Tier 1 - All Months | $240 |
$264 |
$324 |
| RBOB Crack Spread Swap(RM) | |||
| Tier 1 - All Months | $240 |
$264 |
$324 |
| RBOB Up-Down Calendar Swap Contract(RV) | |||
| Tier 1 - All Months | $240 |
$264 |
$324 |
Spot month margins will decline automatically during the pricing month for RL, RM, RU, and RH. The spot month margin will decay by dividing one by the number of business days during the month. As an example for the 1st Nearby Contract during May:
Erosion Process for The 1st Nearby Month
| Date |
RL |
RM |
RV |
RH |
1-May |
$6,000 |
$2,500 |
$3,000 |
$2,500 |
2-May |
$5,727 |
$2,386 |
$2,864 |
$2,386 |
3-May |
$5,455 |
$2,273 |
$2,727 |
$2,273 |
4-May |
$5,182 |
$2,159 |
$2,591 |
$2,159 |
5-May |
$4,909 |
$2,045 |
$2,455 |
$2,045 |
8-May |
$4,636 |
$1,932 |
$2,318 |
$1,932 |
9-May |
$4,364 |
$1,818 |
$2,182 |
$1,818 |
10-May |
$4,091 |
$1,705 |
$2,045 |
$1,705 |
11-May |
$3,818 |
$1,591 |
$1,909 |
$1,591 |
12-May |
$3,545 |
$1,477 |
$1,773 |
$1,477 |
15-May |
$3,273 |
$1,364 |
$1,636 |
$1,364 |
16-May |
$3,000 |
$1,250 |
$1,500 |
$1,250 |
17-May |
$2,727 |
$1,136 |
$1,364 |
$1,136 |
18-May |
$2,455 |
$1,023 |
$1,227 |
$1,023 |
19-May |
$2,182 |
$909 |
$1,091 |
$909 |
22-May |
$1,909 |
$795 |
$955 |
$795 |
23-May |
$1,636 |
$682 |
$818 |
$682 |
24-May |
$1,364 |
$568 |
$682 |
$568 |
25-May |
$1,091 |
$455 |
$545 |
$455 |
26-May |
$818 |
$341 |
$409 |
$341 |
30-May |
$545 |
$227 |
$273 |
$227 |
31-May |
$273 |
$114 |
$136 |
$114 |
NYMEX Division Inter-Commodity Spread Credits on New European Petroleum Futures Contracts
Spread |
Priority |
Ratio |
% Credit |
RT:RB |
49 |
1:01 |
98 |
RT:HU |
121 |
1:01 |
95 |
RT:MS |
122 |
1:01 |
95 |
RL:HU |
123 |
1:01 |
95 |
RT:GS |
144 |
1:01 |
90 |
RL:MP |
248 |
1:01 |
75 |
RL:GS |
249 |
1:01 |
75 |
RT:HO |
254 |
1:01 |
73 |
RT:MP |
255 |
1:01 |
73 |
RT:GP |
256 |
1:01 |
73 |
RT:GR |
257 |
1:01 |
73 |
RL:GP |
258 |
1:01 |
73 |
RT:CL |
278 |
1:01 |
70 |
RL:CS |
279 |
1:01 |
70 |
RT:CS |
340 |
1:01 |
65 |