Notice to Members
Notice No. 534
10/24/2008
Performance Bond Requirement Changes – Margin Rates and Tiers for New Petroleum Swap Futures
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 Monday, October 27th, 2008.

NEW MARGIN RATES AND TIERS FOR

Petroleum Swap Futures
Commodity Code
1.5% Fuel Oil Barges FOB Rdam Swap
Z3
Gasoil 0.1 CIF MED Swap
Z4
Gasoil 0.1 CIF MED vs. ICE Gasoil Swap
Z5
ULSD 10ppm CIF MED Swap
Z6
ULSD 10ppm CIF MED vs. ICE Gasoil Swap
Z7
Brent Crude Oil BALMO SwapSwap
J9
ICE Gasoil BALMO Swap
U9
1.5% Fuel Oil Rdam Barges BALMO Swap
J5
Jet Fuel Cargoes CIF NWE BALMO Swap
F3
Jet Fuel Barges FOB Rdam BALMO Swap
X9
Gasoil 0.1 Cargoes CIF NWE BALMO Swap
B7
ULSD 10ppm Cargoes CIF NWE BALMO Swap
B1
Gasoil 0.1 Barges FOB Rdam BALMO Swap
B8
Diesel 10ppm Barges FOB Rdam BALMO Swap
U7
Gasoil 0.1 Cargoes CIF MED BALMO Swap
X6
ULSD 10ppm Cargoes CIF MED BALMO Swap
X7
Argus Gasoline NWE BALMO Swap
B9


Note: The revised margins are in bold

Outright (Scan) Spread Tiers for Z3, Z4, Z5, Z6, Z7, J9, U9, J5, F3, X9, B7, B1, B8, U7, X6, X7 and B9
 
Tiers
New
1
All Months


NYMEX Division Outright (Scan) Margin on Z3, Z4, Z5, Z6, Z7, J9, U9, J5, F3, X9, B7, B1, B8, U7, X6, X7 and B9
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
Z3
46500
51150
62775
Z4
61500
67650
83025
Z5
7100
7810
9585
Z6
71000
78100
95850
Z7
7600
8360
10260
J9
9500
10450
12825
U9
80000
88000
108000
J5
46500
51150
62775
F3
80000
88000
108000
X9
72500
79750
97875
B7
72000
79200
97200
B1
74500
81950
100575
B8
70000
77000
94500
U7
80000
88000
108000
X6
61500
67650
83025
X7
71000
78100
95850
B9
120000
132000
162000


NYMEX Division Intra-Commodity Spread Margins on Z3, Z4, Z5, Z6, Z7, J9, U9, J5, F3, X9, B7, B1, B8, U7, X6, X7 and B9
 
Commodity
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
Z3
2400
2640
3240
Z4
3400
3740
4590
Z5
1000
1100
1350
Z6
3400
3740
4590
Z7
1000
1100
1350
J9
450
495
608
U9
2000
2200
2700
J5
2400
2640
3240
F3
3400
3740
4590
X9
3400
3740
4590
B7
3400
3740
4590
B1
3400
3740
4590
B8
3400
3740
4590
U7
3400
3740
4590
X6
3400
3740
4590
X7
3400
3740
4590
B9
2000
2200
2700
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com