12/13/2002
| Effective Date: | Monday, December 16, 2002 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1, and Tier 2 NG and NN Contract Months, and All QG Contract Months |
NYMEX Division Outright Margins
on Natural Gas Futures (NG) |
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| Clearing Member |
Member Customer |
Non-Member Customer |
||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $4,500 | $3,500 | $4,950 | $3,850 | $6,075 | $4,725 |
| Tier 2 (2nd Nearby Month): | $4,500 | $3,500 | $4,950 | $3,850 | $6,075 | $4,725 |
NYMEX Division Outright Margins
on Henry Hub Swap Futures (NN) |
||||||
| Clearing Member |
Member Customer |
Non-Member Customer |
||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $1,125 | $875 | $1,238 | $963 | $1,519 | $1,181 |
| Tier 2 (2nd Nearby Month): | $1,125 | $875 | $1,238 | $963 | $1,519 | $1,181 |
NYMEX Division Outright Margins
on Natural Gas E-MiNY Futures (QG) |
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| Clearing Member |
Member Customer |
Non-Member Customer |
||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $1,800 | $1,400 | $1,980 | $1,540 | $2,430 | $1,890 |
NYMEX Division Intra-Commodity
Straddle Margins on Natural Gas Futures (NG) |
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| Clearing Member |
Member Customer |
Non-Member Customer |
||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $1,000 | $500 | $1,100 | $550 | $1,350 | $675 |
| Tier 2 (2nd Nearby Month): | $1,000 | $250 | $1,100 | $275 | $1,350 | $338 |
NYMEX Division Intra-Commodity
Straddle Margins on Henry Hub Swap Futures (NN) |
||||||
| Clearing Member |
Member Customer |
Non-Member Customer |
||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $250 | $125 | $275 | $138 | $338 | $169 |
| Tier 2 (2nd Nearby Month): | $250 | $63 | $275 | $69 | $338 | $85 |
| 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 |
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| A spread consisting of one NG leg in Tier 3 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $1,250 starting on Monday, December 16, 2002. | ||||||
| One Long Tier 3 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) | = | + $1,000 | ||||
| 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 and straddle margins for the NYMEX Natural Gas, NYMEX Henry Hub Swap, and the e-miNY Natural Gas futures contracts. | ||||||