12/29/2006
Currently, NYMEX allows its Clearing Members to request a margin credit on behalf of its customers for the NYMEX and COMEX portion of a spread position with the CME Goldman Sachs Commodity Index ("GSCI"). The GSCI contract is based on a basket of 24 commodities traded on a variety of markets. Included within that basket are several NYMEX and COMEX Division products, representing approximately 40% of the index.
Each Clearing Member providing sufficient documentation of a properly allocated customer portfolio between the NYMEX/COMEX and GSCI contracts receives an 80% credit against the outright margin in effect at that time. The customer spread credit granted by NYMEX is done independent of any margin imposed by the CME on the GSCI contracts. (A separate cross-margin agreement between NYMEX and the CME allowing for automatic spread credits on the NYMEX Division contracts concerns only house positions.)
Below please find an updated ratio of NYMEX and COMEX contracts within the GSCI basket:
Spread Credit for each 100 GSCI Contracts
Contract - Lots |
Margin Rate |
Outright Margin |
*Spread Credit* |
Net Margin |
Crude - 62 |
$2,500 |
$155,000 |
$124,000 |
$31,000 |
Nat. Gas - 13 (A) |
$6,500 |
$84,500 |
$67,600 |
$16,900 |
Heating Oil - 9 (A) |
$4,000 |
$36,000 |
$28,800 |
$7,200 |
Gold - 4 |
$2,000 |
$8,000 |
$6,400 |
$1,600 |
Silver - 1 |
$3,500 |
$3,500 |
$2,800 |
$700 |
(A) NOTE: Multiple tier margin rates may apply for these contracts.