Notice to Members
Notice No. 99
02/17/2006
New Margin Rate and Tiers for the New Financially Settled European Petroleum Swaps Contracts

Effective Date: Tuesday, February 20, 2006 (close of business)

Contracts:

Crude Oil Swaps Symbol Contract Size

WTI Bullet Swap WS 1000 Barrels

Brent Bullet Swap BB 1000 Barrels

WTI-Brent (ICE) Bullet Swap BY 1000 Barrels

WTI-Brent (ICE) Calendar Swap BK 1000 Barrels

Dated-to-Frontline Brent Swap FY 1000 Barrels

Brent (ICE) Calendar Swap CY 1000 Barrels

Brent-Dubai Swap DB 1000 Barrels

 

Petroleum Products Swaps Symbol Contract Size

European Gasoil Crack Spread Swap GZ 1000 Barrels

European Argus Gasoline Crack Spread Swap RG 1000 Barrels

European Platts Gasoline MED Crack Spread Swap EP 1000 Barrels

European Naphtha Crack Spread EN 1000 Barrels

European Gasoil 0.2 Rdam Barges v. Gasoil Futures Swap EI 1000 Metric Tons

European Gasoil 0.2 CIF NWE v. Gasoil Futures Swap EC 1000 Metric Tons

European Gasoil 0.2 CIF MED v. Gasoil Futures Swap EX 1000 Metric Tons

European Gasoil 0.2 FOB MED v. Gasoil Futures Swap EF 1000 Metric Tons

European Gasoil 10PPM Rdam Barges v Gasoil Futures ET 1000 Metric Tons

European ULSD 50 PPM CIF NWE v. Gasoil Futures EY 1000 Metric Tons

 

Petroleum Products Swaps Symbol Contract Size

European ULSD 50 PPM CIF MED v. Gasoil Futures EE 1000 Metric Tons

European ULSD 50 PPM FOB MED v. Gasoil Futures EO 1000 Metric Tons

European Jet CIF NWE v. Gasoil Futures Swap JC 1000 Metric Tons

European Jet Rdam Barges v. Gasoil Futures Swap JR 1000 Metric Tons

Singapore Gasoil v. Rdam Gasoil Swap GA 1000 Barrels

Heating Oil Arb Swap: NYMEX HO v. Rdam Gasoil HA 420000 Gallons

3.5% Fuel Oil Rdam Crack Swap FO 1000 Barrels

1% Fuel Oil NWE Crack Spread Swap FI 1000 Barrels

Contract Months: All Months

 

Intra-Commodity Spread Tiers for All the New Contracts

Tiers

New

1

All Months

NYMEX Division Outright (Scan) Margins on New European Petroleum Futures Contracts

 

Clearing Member / Maintenance Margin

Member Customer Initial Margin

Non-Member Initial Margin

WS (through Dec 06)

$3,500

$3,850

$4,725

WS (all other months)

$2,500

$2,750

$3,375

BB (through Dec 06)

$3,500

$3,850

$4,725

BB (all other months)

$2,500

$2,750

$3,375

BY (through Dec 06)

$350

$385

$473

BY (all other months)

$250

$275

$338

CY (through Dec 06)

$3,500

$3,850

$4,725

CY (all other months)

$2,500

$2,750

$3,375

FY

$120

$132

$162

BK

$350

$385

$473

DB

$300

$330

$405

GZ

$3,000

$3,300

$4,050

RG

$2,650

$2,915

$3,578

EP

$2,650

$2,915

$3,578

EN

$2,200

$2,420

$2,970

E I

$2,750

$3,025

$3,713

EC

$2,750

$3,025

$3,713

EX

$2,750

$3,025

$3,713

EF

$2,750

$3,025

$3,713

ET

$2,750

$3,025

$3,713

EY

$13,700

$15,070

$18,495

EE

$17,000

$18,700

$22,950

EO

$17,000

$18,700

$22,950

JC

$2,800

$3,080

$3,780

JR

$2,800

$3,080

$3,780

GA

$5,000

$5,500

$6,750

HA

$1,000

$1,100

$1,350

FO

$2,200

$2,420

$2,970

FI

$2,200

$2,420

$2,970

 

NYMEX Division Intra-Commodity Spread Margins on New European Petroleum Futures Contracts

 

Clearing Member / Maintenance Margin

Member Customer Initial Margin

Non-Member Initial Margin

WS

$400

$440

$540

BB

$400

$440

$540

BY

$50

$55

$68

CY

$400

$440

$540

FY

$50

$55

$68

BK

$50

$55

$68

DB

$50

$55

$68

GZ

$250

$275

$338

RG

$850

$935

$1,148

EP

$225

$248

$304

EN

$250

$275

$338

E I

$200

$220

$270

EC

$200

$220

$270

EX

$150

$165

$203

EF

$150

$165

$203

ET

$150

$165

$203

EY

$900

$990

$1,215

EE

$600

$660

$810

EO

$600

$660

$810

JC

$200

$220

$270

JR

$150

$165

$203

GA

$200

$220

$270

HA

$200

$220

$270

FO

$350

$385

$473

FI

$350

$385

$473

 

NYMEX Division Inter-Commodity Spread Credits on New European Petroleum Futures Contracts

Spread

Priority

Ratio

% Credit

UB:CY

45

1:1

98

WS:BB

117

1:1

95

AR:CY

313

1:9

65

EU:CY

314

1:9

65

UN:CY

315

1:9

65

UV:CY

316

1:7

65

Should you have any questions or require any further information, please contact exchangeinfo@nymex.com