Notice to Members
Notice No. 239
08/28/2002
Margin Rate Changes For Natural Gas Futures (NG), Henry Hub Swaps (NN), e-miNY Natural Gas (QG), and OTC Natural Gas Basis Contracts
Effective Date: Thursday, August 29, 2002 (close of business)

Futures Contracts: Natural Gas (NG), Henry Hub Swap (NN), e-miNY Natural Gas (QG), and Natural Gas Basis Contracts

Contract Months: Tier 1, Tier 2, and Tier 3 NG and NN Contract Months, and All QG and Basis Contract Months


NYMEX Division Outright Margins on Henry Hub Natural Gas (NG) Futures Contracts

  Clearing Member Member Customer Non-Member Customer
  New Old New Old New Old
Tier 1 (1st Nearby Month) $3,500 $3,000 $3,850 $3,300 $4,725 $4,050
Tier 2 (2nd Nearby Month) $3,500 $3,000 $3,850 $3,300 $4,725 $4,050
Tier 3 (3rd - 6th Nearby Months) $3,500 $3,000 $3,850 $3,300 $4,725 $4,050
Tier 4 (7th - 12th Nearby Months)   $2,500   $2,750   $3,375
Tier 5 (Greater than 12th Nearby)   $2,500   $2,750   $3,375


NYMEX Division Outright Margins on Henry Hub Swap (NN) Contracts

  Clearing Member Member Customer Non-Member Customer
  New Old New Old New Old
Tier 1 (1st Nearby Month) $875 $750 $963 $825 $1,181 $1,013
Tier 2 (2nd Nearby Month) $875 $750 $963 $825 $1,181 $1,013
Tier 3 (3rd - 6th Nearby Months) $875 $750 $963 $825 $1,181 $1,013
Tier 4 (7th - 12th Nearby Months)   $625   $688   $844
Tier 5 (Greater than 12th Nearby)   $625   $688   $844


NYMEX Division Outright Margins on e-miNY Natural Gas (QG) Futures Contracts

  Clearing Member Member Customer Non-Member Customer
  New Old New Old New Old
All Months $1,400 $1,200 $1,540 $1,320 $1,890 $1,620


NYMEX Division Outright Margins For OTC Natural Gas Basis Contracts

  Clearing Member Member Customer Non-Member Customer
  New Old New Old New Old
Alberta Gas Swap (NA) $510 $225 $561 $248 $689 $304
Chicago Basis Swap (NB) $120 $200 $132 $220 $162 $270
Henry Hub Basis Swap (HB) $90 $150 $99 $165 $122 $203
Houston Ship Channel Basis Swap (NH) $90 $200 $99 $220 $122 $270
San Juan Basis Swap (NJ) $510 $200 $561 $220 $689 $270
SoCal Basis Swap (NS) $300 $300 $330 $330 $405 $405
Transco Zone 6 Basis Swap (NZ) $90 $375 $99 $413 $122 $507
Northwest Pipeline, Rockies Basis Swap (NR) $930 $250 $1,023 $275 $1,256 $338
Panhandle Basis Swap (PH) $210 $200 $231 $220 $284 $270


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 (NG)
A spread consisting of one leg in Tier 1 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $1,250 starting on Thursday, August 29, 2002.

One Long Tier 1 NG (1 * $3,500) = $3,500
One Short Tier 4 NG (1 * $2,500) = $2,500
Net Scan Risk ($3,500 - $2,500) = $1,000
Spread Rate (1 * $250) = $250
Total Requirement = $1,250
   
Summary  
Clearing Member (Maintenance Margin) $1,250
Member Customer (Initial Margin) $1,375
Non-Member Customer (Initial Margin) $1,688


This notice supersedes all previous notices regarding outright margins for the NYMEX Natural Gas futures contract, the NYMEX Henry Hub Swap futures contract, the e-miNY Natural Gas futures contract, and OTC Natural Gas Basis contract.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com