03/13/2003
| Effective Date: | Thursday, March 13, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1 and 2 NG, NN, and QG Contract Months |
NYMEX Division Outright Margins on Natural Gas Futures (NG)
Clearing Member |
Member Customer |
Non-Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 (1st Nearby Month): | $10,000 |
$12,500 |
$11,000 |
$13,750 |
$13,500 |
$16,875 |
| Tier 2 (2nd Nearby Month): | $8,000 |
$10,500 |
$8,800 |
$11,550 |
$10,800 |
$14,175 |
| Tier 3 (3rd-6th Nearby Month): | $6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
| Tier 4 (7th-12th Nearby Month): | $2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
| Tier 5 (Greater than 12th Nearby): | $2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
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): | $2,500 |
$3,125 |
$2,750 |
$3,438 |
$3,375 |
$4,219 |
| Tier 2 (2nd Nearby Month): | $2,000 |
$2,625 |
$2,200 |
$2,888 |
$2,700 |
$3,544 |
| Tier 3 (3rd-6th Nearby Month): | $1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
| Tier 4 (7th-12th Nearby Month): | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
| Tier 5 (Greater than 12th Nearby): | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
NYMEX Division Outright Margins on Natural Gas e-miNY Futures (QG)
Clearing Member |
Member Customer |
Non-Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 (1st Nearby Month): | $4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
| Tier 2 (2nd Nearby Month): | $3,200 |
$4,200 |
$3,520 |
$4,620 |
$4,320 |
$5,670 |
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 4 will have its requirement (at the clearing member rates) calculated at $9,500 starting on Thursday, March 13, 2003. | |||||
| One Long Tier 1 NG | (1 * $10,000) | = |
$10,000 | ||
| One Short Tier 4 NG | (1 * $2,500) | = |
- |
$2,500 | |
| Net Scan Risk | ($10,000-$2,500) | = |
$7,500 | ||
| Spread Rate | (1* $2000) | = |
+ |
$2,000 | |
| Total Requirement | = |
$9,500 | |||
| Summary | |
| Clearing Member (Maintenance Margin): | $9,500 |
| Member Customer (Initial Margin): | $10,450 |
| Non-Member Customer (Initial Margin): | $12,825 |