01/11/2007
Futures Contract: NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contract
Contract Months: All Months
NYMEX Division Outright (Scan) Margins on 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 |
$4,000 |
$3,250 |
$4,400 |
$3,575 |
$5,400 |
$4,388 |
2 |
$4,250 |
$3,500 |
$4,675 |
$3,850 |
$5,738 |
$4,725 |
3 |
$3,750 |
$3,000 |
$4,125 |
$3,300 |
$5,063 |
$4,050 |
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 |
$2,000 |
$1,625 |
$2,200 |
$1,788 |
$2,700 |
$2,194 |
2 |
$2,125 |
$1,750 |
$2,338 |
$1,925 |
$2,869 |
$2,363 |
3 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
Scan Risk Example at Clearing Member Rates
A spread consisting of one RB leg in Tier 1 and another in Tier 3 will have its requirement (at the clearing member rates) calculated at $500 starting on Thursday, January 12, 2007.
| One Long Tier 1 RB | (1 * $4,000) | = | $4,000 |
| One Short Tier 3 RB | (1 * $3,750) | = | $3,750 |
| Net Scan Risk | ($4,000-$3,750) | = | $250 |
| Spread Rate | (1* $ 250) | = + | $250 |
| Total Requirement | = | $500 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $500 | ||
| Member Customer (Initial Margin): | $550 | ||
| Non-Member Customer (Initial Margin): | $675 |
This notice supersedes all previous notices regarding outright margins for the NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contracts.