10/25/2006
Futures Contract: Unleaded Gasoline, NYMEX miNY™ Gasoline, NY Harbor Gasoline Calendar Swap, NY Harbor Gasoline Blendstock, RBOB Gasoline – Financial Contract and RBOB Calendar Swap
Contract Months: All Months
NYMEX Division Outright (Scan) Margins on Unleaded Gasoline (HU), New
York Harbor Gasoline Calendar Swap (MS) New York Harbor Gasoline Blendstock
(RBOB) Futures Contract (RB), RBOB Gasoline - Financial Contract (RT) and
RBOB Calendar Swap (RL)
|
|
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
2 |
$4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
3 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™
Gasoline (QU)
|
|
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,250 |
$2,500 |
$2,475 |
$2,750 |
$3,038 |
$3,375 |
2 |
$2,000 |
$2,250 |
$2,200 |
$2,475 |
$2,700 |
$3,038 |
3 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
Scan Risk Example at Clearing Member Rates
A spread consisting of one HU leg in Tier 1 and another in Tier 3 will have its requirement (at the clearing member rates) calculated at $1,250 starting on Friday, October 27, 2006.
| One Long Tier 1 HU | (1 * $4,500) | = | $4,500 |
| One Short Tier 3 HU | (1 * $3,000) | = | $3,500 |
| Net Scan Risk | ($4,500-$3,500) | = | $1,000 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $1,250 |
|
| Summary | |||
| Clearing Member (Maintenance Margin): | $1,250 |
||
| Member Customer (Initial Margin): | $1,375 |
||
| Non-Member Customer (Initial Margin): | $1,688 |
This notice supersedes all previous notices regarding outright margins for the NYMEX Unleaded Gasoline, NYMEX miNY™ Gasoline, NY Harbor Gasoline Calendar Swap, NY Harbor Gasoline Blendstock (RBOB), and RBOB Gasoline Financial Contracts.