Notice to Members
Notice No. 48
01/26/2007
New Margin Credit for Spread Positions with Goldman Sachs Commodity Index Excess Return Index
Effective Date: Friday, January 26, 2007 (close of business) NYMEX will allow 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 Excess Return Index ("GSCI ER"). The GSCI ER 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 half of the index.

Each Clearing Member providing sufficient documentation of a properly allocated customer portfolio between the NYMEX/COMEX and GSCI ER contracts receives a 75% 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 ER 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 the ratio of NYMEX and COMEX contracts within the GSCI ER basket:

Spread Credit for each 100 GSCI ER Contracts

Contract - Lots
Margin Rate
Outright Margin
*Spread Credit*
Net Margin
Crude - 62
$3,000
$186,000
$139,500
$46,500
Nat. Gas - 13 (A)
$7,500
$97,500
$73,125
$24,375
Heating Oil - 9 (A)
$3,750
$33,750
$25,313
$8,438
RBOB - 2 (A)
$4,000
$8,000
$6,000
$2,000
Gold - 4
$2,000
$8,000
$6,000
$2,000
Silver - 1
$3,500
$3,500
$2,625
$875


(A) NOTE: Multiple tier margin rates may apply for these contracts.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com