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Content-Type: text/plain; charset=ANSI_X3.4-1968 Content-Transfer-Encoding: quoted-printable X-From: Tana Jones X-To: Greg Whiting, Sarah Wesner X-cc: X-bcc: X-Folder: \Tanya_Jones_June2001\Notes Folders\All documents X-Origin: JONES-T X-FileName: tjones.nsf ----- Forwarded by Tana Jones/HOU/ECT on 02/28/2001 10:09 AM ----- =09exchangeinfo@nymex.com =0902/27/2001 03:30 PM =09=09=20 =09=09 To: tana.jones@enron.com =09=09 cc:=20 =09=09 Subject: (01-70) Margin Credit for Spread Positions with the Goldman= Sachs=20 Commodity Index Notice No. 01-70 February 27, 2001 TO: All NYMEX and COMEX Division Members and Member=20 Firms All Clearing Member Firms All Compliance Officers and Operations Managers FROM: Neal Wolkoff; Executive Vice-President RE: Margin Credit for Spread Positions with the Goldman Sachs Commodity Ind= ex The NYMEX Board of Directors has approved a margin credit for the NYMEX=20 portion of a spread position with the CME Goldman Sachs Commodity Index=20 ("GSCI"), effective at the close of business Wednesday February 28, 2001. The GSCI contract is based on a basket of 26 commodities traded on a variet= y=20 of markets. Included within that basket are several NYMEX and COMEX product= s,=20 representing approximately 75% of the index. Each Clearing Member providing sufficient documentation of a properly=20 allocated portfolio between the NYMEX and GSCI contracts will receive an 80= %=20 credit against the outright margin in effect at that time. This spread cred= it=20 is being adopted by NYMEX independent of any margin imposed by the CME on= =20 GSCI contracts. The spread credit will be granted in 100 lot increments (ie= .=20 100 GSCI contracts vs. the basket). Spread Credit for each 100 GSCI contracts Contract - Lots Margin Rate Outright Margin *Spread=20 Credit* Net Margin Crude - 53 $3,000 $159,000 =20 $127,200 $31,800 Nat. Gas - 13 (A) $6,000 $78,000 =20 $62,400 $15,600 Heating Oil - 12 $3,000 $36,000 =20 $28,800 $7,200 Unleaded - 8 $3,000 $24,000 =20 $19,200 $4,800 Gold - 4 $1,000 $4,000 = =20 $3,200 $800 Copper - 2 (A) $5,000 $10,000 =20 $8,000 $2,000 (A) NOTE: Multiple tier margin rates apply for these contracts. Clearing Members will have the option of passing this reduced rate to their= =20 customers even if the Clearing Member doesn=01,t request the credit from NY= MEX.=20 Under separate cover, the NYMEX Clearing Department will provide a formal= =20 "Request Form" which will need to be submitted in order to qualify for said= =20 margin credit. If you have questions, please contact Artie McCoy at 212-299-2928. __________________________________________________ Please click on the link below to indicate you have received this email. " http://208.206.41.61/email/email_log.cfm?useremail=3Dtana.jones@enron.com&r= efdoc =3D(01-70)" Note: If you click on the above line and nothing happens, please copy the text between the quotes, open your internet browser, paste it into the web site address and press Return.
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