07/01/2008
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/RT/QU Intra-Commodity Spread and ScanTiers
Tiers |
New |
Old |
| Tiers | New | Old |
| 1 | 1st Nearby | 1st Nearby |
| 2 | 2nd thru 3rd Nearby | 2nd thru 4th Nearby |
| 3 | 4th thru 10th Nearby | 5th thru 11th Nearby |
| 4 | Greater than the 10th Nearby | Greater than the 11th 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)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $9,000 | $8,750 | $9,900 | $9,625 | $12,150 | $11,813 |
| 2 | $8,500 | $8,250 | $9,350 | $9,075 | $11,475 | $11,138 |
| 3 | $7,750 | $7,500 | $8,525 | $8,250 | $10,463 | $10,125 |
| 4 | $7,500 | $7,250 | $8,250 | $7,975 | $10,125 | $9,788 |
NYMEX Division Outright (Scan) Margins on NYMEX miNY™ Gasoline (QU)
| Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $4,500 | $4,375 | $4,950 | $4,813 | $6,075 | $5,906 |
| 2 | $4,250 | $4,125 | $4,675 | $4,538 | $5,738 | $5,569 |
| 3 | $3,875 | $3,750 | $4,263 | $4,125 | $5,231 | $5,063 |
| 4 | $3,750 | $3,625 | $4,125 | $3,988 | $5,063 | $4,894 |
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 $ 700 starting on Wednesday, July 2, 2008.
| One Long Tier 1 RB | (1 * $9,000) | = | $9,000 |
| One Short Tier 2 RB | (1 * $8,500) | = | $8,500 |
| Net Scan Risk | ($9,000-$8,500) | = | $500 |
| Spread Rate | (1* $ 200) | = + | $200 |
| Total Requirement | = | $700 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $700 | ||
| Member Customer (Initial Margin): | $770 | ||
| Non-Member Customer (Initial Margin): | $945 | ||
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.