Notice to Members
Notice No. 474
09/12/2008
Performance Bond Requirement Changes (GS, LT, ME, RU, RV, UT, and YL)
To receive advanced notification of Performance Bond (margin) changes, through our free automated mailing list, go to: http://www.cmegroup.com/newsletter/web2lead/web2sf-old.html and subscribe to the Performance Bond Rates Advisory Notices listserver.

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 Friday, September 12th, 2008.

MARGIN RATE AND TIER CHANGES FOR GULF COAST GASOLINE CALENDAR SWAP (GS), UP-DOWN GULF COAST ULSD VS NYMEX HO SPREAD SWAP (LT), GULF COAST JET FUEL VS. NEW YORK HARBOR NO. 2 HEATING OIL SPREAD SWAP FUTURES (PLATTS) (ME), GULF COAST UNLEADED 87 GASOLINE CRACK SPREAD CALENDAR SWAP (PLATTS) (RU), RBOB UP-DOWN CALENDAR SWAP (RV), NO. 2 HEATING OIL UP-DOWN SPREAD CALENDAR SWAP FUTURES (PLATTS) (UT), AND UP-DOWN GULF COAST LSD VS NYMEX HO SPREAD SWAP (YL)

Note: The revised margins are in bold


GS, LT, ME, RU, RV, UT, and YL Scan Tiers
 
Tiers
New
Old
1
1st Nearby
All months
2
2nd Nearby
N/A
3
Greater than 2nd Nearby
N/A

NYMEX Division Outright (Scan) Margins on GS, LT, ME, RU, RV, UT, and YL
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
GS-Tier 1
$18,000
$12,000
$19,800
$13,200
$24,300
$16,200
GS-Tier 2
$12,000
N/A
$13,200
N/A
$16,200
N/A
GS-Tier 3
$10,000
N/A
$11,000
N/A
$13,500
N/A
LT-Tier 1
$5,000
$1,500
$5,500
$1,650
$6,750
$2,025
LT-Tier 2
$3,000
N/A
$3,300
N/A
$4,050
N/A
LT-Tier 3
$1,500
N/A
$1,650
N/A
$2,025
N/A
ME-Tier 1
$5,000
$1,500
$5,500
$1,650
$6,750
$2,025
ME-Tier 2
$3,000
N/A
$3,300
N/A
$4,050
N/A
ME-Tier 3
$1,500
N/A
$1,650
N/A
$2,025
N/A
RU-Tier 1
$15,000
$4,500
$16,500
$4,950
$20,250
$6,075
RU-Tier 2
$9,000
N/A
$9,900
N/A
$12,150
N/A
RU-Tier 3
$4,500
N/A
$4,950
N/A
$6,075
N/A
RV-Tier 1
$10,000
$1,200
$11,000
$1,320
$13,500
$1,620
RV-Tier 2
$5,000
N/A
$5,500
N/A
$6,750
N/A
RV-Tier 3
$1,200
N/A
$1,320
N/A
$1,620
N/A
UT-Tier 1
$5,000
$1,200
$5,500
$1,320
$6,750
$1,620
UT-Tier 2
$3,000
N/A
$3,300
N/A
$4,050
N/A
UT-Tier 3
$1,200
N/A
$1,320
N/A
$1,620
N/A
YL-Tier 1
$5,000
$1,800
$5,500
$1,980
$6,750
$2,430
YL-Tier 2
$3,000
N/A
$3,300
N/A
$4,050
N/A
YL-Tier 3
$1,800
N/A
$1,980
N/A
$2,430
N/A
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com