01/03/2007
Futures Contract: NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contract
Contract Months: All Months
RB/RL/RTQU Intra–Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd – 8th Nearby |
2nd – 5th Nearby |
3 |
Greater than the 8th Nearby |
Greater than the 5th Nearby |
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 |
$3,250 |
$4,500 |
$3,575 |
$4,950 |
$4,388 |
$6,075 |
2 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
3 |
$3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
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 |
$1,625 |
$2,250 |
$1,788 |
$2,475 |
$2,194 |
$3,038 |
2 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
3 |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$2,363 |
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 4, 2007.
| One Long Tier 1 HU | (1 * $3,250) | = | $3,250 |
| One Short Tier 3 HU | (1 * $3,000) | = | $3,000 |
| Net Scan Risk | ($3,250-$3,000) | = | $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.