12/17/2002
| Effective Date: | Wednesday, December 18, 2002 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1 NG and NN Contract Months, and QG Contract Months |
NYMEX Division Outright Margins
on Natural Gas Futures (NG) |
||||||
| Clearing Member | Member Customer | Non-Member | ||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $5,000 | $4,500 | $5,500 | $4,950 | $6,750 | $6,075 |
NYMEX Division Outright Margins
on Henry Hub Swap Futures (NN) |
||||||
| Clearing Member | Member Customer | Non-Member | ||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $1,250 | $1,125 | $1,375 | $1,238 | $1,688 | $1,519 |
NYMEX Division Outright Margins
on Natural Gas e-miNY Futures (QG) |
||||||
| Clearing Member | Member Customer | Non-Member | ||||
| New | Old | New | Old | New | Old | |
| Tier 1 (1st Nearby Month): | $2,000 | $1,800 | $2,200 | $1,980 | $2,700 | $2,430 |
| 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 NG leg in Tier 1 and another in
Tier 2 will have its requirement (at the clearing member rates) calculated
at $1,500 starting on Wednesday, December 18, 2002. |
|||||
| One Long Tier 1 NG (1 * $5,000) | = |
$5,000 | |||
| One Short Tier 2 NG (1 * $4,500) | = |
- |
$4,500 | ||
| Net Scan Risk ($5,000-$4,500) | = |
$ 500 | |||
| Spread Rate (1* $1000) | = |
+ |
$1,000 | ||
| Total Requirement | = |
$1,500 | |||
| Summary | |||||
| Clearing Member (Maintenance Margin): | $1,500 | ||||
| Member Customer (Initial Margin): | $1,650 | ||||
| Non-Member Customer (Initial Margin): | $2,025 | ||||
| This notice supersedes all previous notices regarding outright margins for the NYMEX Natural Gas, NYMEX Henry Hub Swap, and the e-miNY Natural Gas futures contracts. | |||||