Notice to Members
Notice No. 147
05/24/2002
NYMEX Division Margin Rates For Henry Hub Swap (NN)
Effective Date: Friday, May 31, 2002 (close of business)
Futures Contracts: Henry Hub Swap (NN)
Contract Months: All Months
Rate Change:

NYMEX Division Outright Margins on Henry Hub Swap Contracts

Cleraing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
New
New
Tier 1 (1st Nearby Month):
$1,000
$1,100
$1,350
Tier 2 (2nd Nearby Month):
$875
$963
$1,181
Tier 3 (3rd - 6th Nearby Months):
$750
$825
$1,013
Tier 4 (7th - 12th Nearby Months):
$625
$688
$844
Tier 5 (13th and greater):
$625
$688
$844

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 leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $150 starting on Friday, May 31, 2002.
   
One Long Tier 1 NG or NN (1* $1,000)
=
$1,000
One Short Tier 2 NG or NN (1 * $875)
=
- $875
Net Scan Risk ($1,000 - $875)
=
$25
Spread Rate (1 * $125)
=
+ $125
Total Requirement
=
$150


Scan Risk Example Summary
Margin on a Spread Between a Tier 1 and Tier 2 Contract
   
Clearing Member (Maintenance Margin): $150
Member Customer (Initial Margin): $165
Non-Member Customer (Initial Margin): $203


Inter-Month Spread Margins For Henry Hub Swap Contracts

Cleraing Member
Member Customer
Non-Member
 
New
New
New
Tier 1 (1st Nearby Month):
$125
$138
$152
Tier 2 (2nd Nearby Month):
$63
$69
$93
Tier 3 (3rd - 6th Nearby Months):
$63
$69
$93
Tier 4 (7th - 12th Nearby Months):
$63
$69
$93
Tier 5 (13th and greater):
$25
$28
$38


The inter-commodity spread margins will be $0 between Natural Gas (NG) and Henry Hub Swap (NN) contracts with a 1:4 ratio.

Inter-Commodity Spread Credits For Henry Hub Swap

Spread Priority Ratio Credit
NN:KV 38 2:01 40%
NN:MW 39 2:01 40%
NN:PN 40 8:05 40%
NN:PN 41 4:01 40%
CL:NN 42 1:04 40%
HO:NN 43 1:04 40%
HU:NN 44 1:04 40%
KM:NN 45 1:04 40%
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com