Notice to Members
Notice No. 412
11/30/2001
Tiered Margin Rates for Henry Hub Swap (NN) and Natural Gas (NG) Futures
Effective Date: Monday, December 3, 2001 (close of business)
Futures Contracts: Natural Gas (NG), Henry Hub Swap (NN) Futures
Contract Months: All Months
Rate Change:

NYMEX Division Outright Margins on Natural Gas and Henry Hub Swap Futures Contracts
  Clearing Member Member Customer Non-Member
Tier 1 (1st Nearby Month): $4,500 $4,950 $6,075

Tier 2 (2nd Nearby Month):

 $4,000 $4,400

$5,400
Tier 3 (3rd - 6th Nearby Months): $3,000 $3,300 $4,050
Tier 4 (7th - 12th Nearby Months): $2,500 $2,750 $3,375
Tier 5 (13th and greater): $2,000 $2,200 $2,700


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. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below is provided an example where the legs of a spread are margined differently.

Scan Risk Example at Clearing Member Rates
A spread consisting of one futures leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $1,000 starting on Monday, December 03, 2001.

     
One Long Tier 1 NG or NN (1 * $4,500)
=
$4,500
One Short Tier 2 NG or NN (1 * $4,000)
=
-
 $4,000
Net Scan Risk ($4,500 - $4,000)
=
$500
Spread Rate (1 * $500)
=
+
 $500
Total Requirement
=
$1,000


Scan Risk Example Summary Margin on a Spread Between a Tier 1 and Tier 2 Futures Contract
  
Clearing Member (Maintenance Margin): $1,000
Member Customer (Initial Margin): $1,100
Non-Member Customer (Initial Margin): $1,350


Inter-Month Spread Margins on Natural Gas and Henry Hub Swap Futures Contracts

  Clearing Member Member Customer Non-Member
Tier 1 (1st Nearby Month):

$500

 $550 $675

Tier 2 (2nd Nearby Month):

 $250 $275

$237
Tier 3 (3rd - 6th Nearby Months): $250 $275 $237
Tier 4 (7th - 12th Nearby Months): $250 $275 $237
Tier 5 (13th and greater): $100 $110 $135

The inter-commodity spread margins will be $0 between Natural Gas (NG) and Henry Hub Swap (NN) futures contracts. Spread credits between Henry Hub Swap futures and all other NYMEX energy products will be the same as the Natural Gas spread credits.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com