Notice to Members
Notice No. 10
01/08/2001
Henry Hub Natural Gas Margin Rate Change for Back Month Contracts
   
Effective Date: Monday, January 8, 2001 (close of business)
Futures Contract: Henry Hub Natural Gas
Contract Months:
April 2001 and all Subsequent Contract Months

NYMEX Division Margins for the April 2001 Contract and
all Subsequent Henry Hub Natural Gas Futures Contracts

Effective at Close of Business Monday, January 8, 2001
 Old New
Clearing Member (Maintenance Margin)
$7,000
$5,000
Member Customer (Initial Margin)
$7,700
$5,500
Non-Member Customer (Initial Margin)
$9,450
$6,750


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 February 2001 and March 2001 delivery months and other months, each spread which includes one leg in either the February 2001or March 2001 delivery months will have its requirement (at the clearing member rates) calculated at $11,500 starting on Monday, January 8, 2001. This figure is determined as follows:

Example at Clearing Member Rates

       
One Long February 2001 or March 2001 NG
(1 x $14,000)
=
$14,000
One Short April 2001 - January 2004 NG
(1 x $5,000)
=
- $5,000
Net Scan Risk
($14,000 - $5,000)
=
$9,000
Spread Rate
(1 x $2,500)
=
+ $2,500
Total Requirement
=
$11,500


NYMEX Division Margins on Natural Gas Futures Spreads:
Requirements for Spreads with One Leg in February 2001 or March 2001 Contract, and One in April 2001 Contract or Subsequent Contracts

 
January 2001 - March 2001
Clearing Member (Maintenance Margin):
$11,500
Member Customer (Initial Margin):
$12,650
Non-Member Customer (Initial Margin):
$15,525
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com