02/24/2003
| Effective Date: | Tuesday, February 25, 2003 (close of business) |
| Futures Contracts: | Natural Gas (NG) Futures, Henry Hub Swap (NN) and all E-miNY Futures (QG) |
| Contract Months: | Tier 1, Tier 2, Tier 3 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): | $7,000 |
$5,000 |
$7,700 |
$5,500 |
$9,450 |
$6,750 |
| Tier 2 (2nd Nearby): | $7,000 |
$4,500 |
$7,700 |
$4,950 |
$9,450 |
$6,075 |
| Tier 3 (3rd- 6th Nearby Months) | $5,000 |
$3,500 |
$5,500 |
$3,850 |
$6,750 |
$4,725 |
| Tier 4 (7th –12th Nearby Months) | $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 |
Because SPAN™ converts NN contracts into NG contracts for performance bond calculations, NN outright margins, inter-commodity spread margins, intra-commodity spread credits and spot month assessment are equivalent to NG, respectively, in a 4:1 ratio.
NYMEX Division Outright Margins on Henry Hub Swap (NN) Contracts
Clearing Member |
Member Customer |
Non-Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tiers 1: | $1,750 |
$1,250 |
$1,925 |
$1,375 |
$2,363 |
$1,688 |
| Tier 2: | $1,750 |
$1,125 |
$1,925 |
$1,238 |
$2,363 |
$1,519 |
| Tier 3: | $1,250 |
$875 |
$1,375 |
$963 |
$1,688 |
$1,181 |
| Tier 4: | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
| Tier 5: | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
Because SPAN™ converts QM contracts into NG contracts for performance bond calculations, QM outright margins, inter-commodity spread margins, intra-commodity spread credits and spot month assessment are equivalent to NG, respectively, in a 5:2 ratio.
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: | $2,800 |
$2,000 |
$3,080 |
$2,200 |
$3,780 |
$2,700 |
Scan Risk Example at Clearing Member Rates
A spread consisting of one futures leg in Tier 1 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $5,500 starting on Tuesday, February 25, 2003.
| One Long Tier 1 NG | (1 * $7,000) | = | $7,000 | |
| One Short Tier 4 NG | (1 * $ 2,500) | = | - | $2,500 |
| Net Scan Risk | ($7,000-$2,500) | = | $4,500 | |
| Spread Rate | (1* $500) | = | + | $1,000 |
| Total Requirement | = | $5,500 |
Scan Risk Example Summary
Margin on a Spread Between a Tier 1 and Tier 4 Futures
Contract
| Clearing Member (Maintenance Margin): | $5,500 | |
| Member Customer (Initial Margin): | $6,050 | |
| Non-Member Customer (Initial Margin): | $7,425 |
This notice supersedes all previous notices regarding outright and spread margins for the NYMEX Natural Gas (NG) futures contract, the NYMEX Henry Hub Swap (NN) futures contract, and the e-MINY Futures Contract.