05/04/2006
Futures Contracts:
High-Low Sulfur Fuel Oil Spread Swap (FS), Dated-to-Frontline Brent Swap (FY), Gulf Coast Jet Fuel Calendar Swap (GE), Gulf Coast Gasoline Calendar Swap (GS), Gulf Coast #6 Fuel 3.0% Swap (MF), NY Harbor Conv. Gas vs. NYMEX Unl. Gas Spread Swap (MJ), Singapore Fuel Oil Spread Swap(SD), European 1% Fuel Oil Calendar Swap (Northwest Europe)(UF), European 1% Fuel Oil Rotterdam Calendar Swap (UH), European 3.5% Fuel Oil Rotterdam Calendar Swap(UV), Singapore Gasoil v. Rdam Gasoil Swap (GA), East/West Fuel Oil Spread Swap (EW).Contract Months: All Months
| Contract |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| High-Low Sulfur Fuel Oil Spread Swap (FS) | $8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
| Dated-to-Frontline Brent Swap (FY) | $200 |
$120 |
$220 |
$132 |
$270 |
$162 |
| Gulf Coast Jet Fuel Calendar Swap (GE) | $5,000 |
$9,000 |
$5,500 |
$9,900 |
$6,750 |
$12,150 |
| Gulf Coast Gasoline Calendar Swap (GS) | $6,000 |
$6,500 |
$6,600 |
$7,150 |
$8,100 |
$8,775 |
| Gulf Coast #6 Fuel 3.0% Swap (MF) | $3,000 |
$2,800 |
$3,300 |
$3,080 |
$4,050 |
$3,780 |
| NY Harbor Conv. Gas vs. NYMEX Unl. Gas Spread Swap (MJ) | $3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
| Singapore Fuel Oil Spread Swap(SD) | $1,000 |
$2,000 |
$1,100 |
$2,200 |
$1,350 |
$2,700 |
| European 1% Fuel Oil Calendar Swap (Northwest Europe) (UF) | $15,000 |
$16,000 |
$16,500 |
$17,600 |
$20,250 |
$21,600 |
| European 1% Fuel Oil Rotterdam Calendar Swap (UH) | $15,000 |
$20,000 |
$16,500 |
$22,000 |
$20,250 |
$27,000 |
| European 3.5% Fuel Oil Rotterdam Calendar Swap (UV) | $15,000 |
$16,000 |
$16,500 |
$17,600 |
$20,250 |
$21,600 |
| Singapore Gasoil v. Rdam Gasoil Swap (GA) | $3,000 |
$2,000 |
$3,300 |
$2,200 |
$4,050 |
$2,700 |
NYMEX Division Outright (Scan) Margin Tiers
for East/West Fuel Oil Spread Swap (EW)
for East/West Fuel Oil Spread Swap (EW)
Tiers |
New |
Old |
1 |
1st Nearby |
N/A |
2 |
All Other Months |
N/A |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $6,000 |
$5,000 |
$6,600 |
$5,500 |
$8,100 |
N/A |
| Tier 2 - All Other Months | $4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
N/A |
This notice supersedes all previous notices regarding margin rates for the Petroleum Product and Spread Swap Futures Contracts.