11/05/2007
Futures Contract: NY Harbor Gasoline Blendstock Contract, RBOB Gasoline – Financial Contract, RBOB Calendar Swap and NYMEX RBOB miNY™ Gasoline Contract
Contract Months: Tiers 1 and 2
B/RL/RT/QU Intra - Commodity Spread And Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd thru 6th Nearby |
2nd thru 5th Nearby |
3 |
7th thru 10th |
Greater than the 5th Nearby |
4 |
Greater than the 10th Nearby |
N/A |
NYMEX Division Outright (Scan) Margins 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 |
$5,000 |
$4,500 |
$5,500 |
$4,950 |
$6,750 |
$6,075 |
2 |
$4,750 |
$4,000 |
$5,225 |
$4,400 |
$6,413 |
$5,400 |
3 |
$4,000 |
$3,750 |
$4,400 |
$4,125 |
$5,400 |
$5,063 |
4 |
$3,750 |
N/A |
$4,125 |
N/A |
$5,063 |
N/A |
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 |
$2,500 |
$4,500 |
$2,750 |
$4,950 |
$3,375 |
$6,075 |
2 |
$2,375 |
$4,000 |
$2,613 |
$4,400 |
$3,206 |
$5,400 |
3 |
$2,000 |
$3,750 |
$2,200 |
$4,125 |
$2,700 |
$5,063 |
4 |
$1,875 |
N/A |
$2,063 |
N/A |
$2,531 |
N/A |
NYMEX Division Intra-Commodity Spread Margins on New York Harbor Gasoline
Blendstock (RBOB) Futures Contract (RB), RBOB Gasoline – Financial Contract
(RT) and RBOB Calendar Swap (RL)
Scan Risk Example at Clearing Member Rates
A spread consisting of one RB leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $ 500 starting on Tuesday, November 6, 2007.
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.
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
2 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
3 |
$200 |
$200 |
$220 |
$220 |
$270 |
$270 |
4 |
$200 |
N/A |
$220 |
N/A |
$270 |
NA |
Scan Risk Example at Clearing Member Rates
A spread consisting of one RB leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $ 500 starting on Tuesday, November 6, 2007.
| One Long Tier 1 HO | (1 * $5,000) | = | $5,000 |
| One Short Tier 2 HO | (1 * $4,750) | = | $4,750 |
| Net Scan Risk | ($4,000-$4,750) | = | $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.