08/27/2008
As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates are effective at the close of business on Thursday, August 28th, 2008.
MARGIN RATE AND TIER CHANGES FOR NEW YORK HARBOR GASOLINE BLENDSTOCK FUTURES CONTRACT (RB), RBOB GASOLINE – FINANCIAL CONTRACT (RT), RBOB CALENDAR SWAP (RL) AND NYMEX RBOB miNY GASOLINE CONTRACT (QU)
Note: The revised margins are in bold
RB/RL/RT/QU Intra-Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd thru 3rd Nearby |
2nd thru 3rd Nearby |
3 |
4th thru 9th Nearby |
4th thru 10th Nearby |
4 |
Greater than 9th Nearby |
Greater than 10th 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 | $10,000 | $9,500 | $11,000 | $10,450 | $13,500 | $12,825 |
| 2 | $9,000 | $9,000 | $9,900 | $9,900 | $12,150 | $12,150 |
| 3 | $8,250 | $8,250 | $9,075 | $9,075 | $11,138 | $11,138 |
| 4 | $7,500 | $7,500 | $8,250 | $8,250 | $10,125 | $10,125 |
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 | $5,000 | $4,750 | $5,500 | $5,225 | $6,750 | $6,413 |
| 2 | $4,500 | $4,500 | $4,950 | $4,950 | $6,075 | $6,075 |
| 3 | $4,125 | $4,125 | $4,538 | $4,538 | $5,569 | $5,569 |
| 4 | $3,750 | $3,750 | $4,125 | $4,125 | $5,063 | $5,063 |