Notice to Members
Notice No. 430
12/19/2000
Margin Rate Change For Back Month Contracts
 
Effective Date:
 Tuesday, December 19, 2000 (close of business)
Futures Contract:
Henry Hub Natural Gas
Contract Months:
 April 2001 through December 2003;
Forward 3 Month Margins Remain Unaffected by this Notice
Rate Change:
  


NYMEX Division Margins on Back Month
Henry Hub Natural Gas Futures Contracts
Effective at Close of Business Tuesday, December 19, 2000 Old New
Clearing Member (Maintenance Margin)
$14,000
$7,000
Member Customer (Initial Margin)
$15,400
$7,700
Non-Member Customer (Initial Margin)
$18,900
$9,450


Current systems calculate the margin requirement for spread positions by first determining the "Scan Risk" and then multiplying the number of spreads by a rate set by the Exchange. Scan Risk is determined by netting the outright margin required for each leg of a spread.

Because there is a difference between the outright margin required for the January, February, and March 2001 delivery months and other months, each spread which includes one leg in either the January, February, or March 2001 delivery months will have its requirement (at the clearing member rates) calculated at $9,500 starting on Tuesday December 19th. This figure is determined as follows:

Example At Clearing Member Rates for December 19th Margin Change:
One Long January, February, or March 2001 NG
(1 x $14,000)
 =
$14,000
One Short April 2001 - December 2003 NG
(1 x $7,000)
=
- $ 7,000
Net Scan Risk
($14,000-$7,000)
 =
$7,000
Spread Rate
(1x $2,500)
 =
+ $ 2,500
Total Requirement
=
$ 9,500
NYMEX Division Margins on Natural Gas Futures Spreads -
Requirements for Spreads with One Leg in Designated Months
 
January 2001 – March 2001
Clearing Member
(Maintenance Margin):
$ 9,500
Member Customer
(Initial Margin):
$10,450
Non-Member Customer
(Initial Margin):
$12,825


NYMEX Division margins on Natural Gas Futures spreads comprised exclusively of months April 2001 through December 2003 will remain unchanged.

This notice supersedes all previous notices regarding outright margins for the NYMEX Henry Hub Natural Gas Futures contract. This notice supersedes all previous notices regarding outright margins for the NYMEX Henry Hub Natural Gas Futures contract.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com