03/21/2003
| Effective Date: | Friday, March 21, 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): | $8,000 |
$10,000 |
$8,800 |
$11,000 |
$10,800 |
$13,500 |
| Tier 2 (2nd Nearby Month): | $6,000 |
$8,000 |
$6,600 |
$8,800 |
$8,100 |
$10,800 |
| 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): | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Tier 2 (2nd Nearby Month): | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| 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): | $3,200 |
$4,000 |
$3,520 |
$4,400 |
$4,320 |
$5,400 |
| Tier 2 (2nd Nearby Month): | $2,400 |
$3,200 |
$2,640 |
$3,520 |
$3,240 |
$4,320 |
Intra-Month Straddle Margins for Natural Gas Futures (NG)
Clearing Member |
Member Customer |
Non Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 (1st Nearby Month): | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 2 (2nd Nearby Month): | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 3 (3rd-6th Nearby Month): | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 4 (7th-12th Nearby Month): | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 5 (Greater than 12th Nearby): | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
Intra-Month Straddle Margins for Henry Hub Swap Futures (NN)
Clearing Member |
Member Customer |
Non Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 (1st Nearby Month): | $375 |
$500 |
$413 |
$550 |
$506 |
$675 |
| Tier 2 (2nd Nearby Month): | $375 |
$500 |
$413 |
$550 |
$506 |
$675 |
| Tier 3 (3rd-6th Nearby Month): | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Tier 4 (7th-12th Nearby Month): | $63 |
$63 |
$69 |
$69 |
$85 |
$85 |
| Tier 5 (Greater than 12th Nearby): | $25 |
$25 |
$28 |
$69 |
$38 |
$38 |
Intra-Month Straddle Margins for Natural Gas e-miNY Futures
(QG)
Clearing Member |
Member Customer |
Non Member Customer |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 (1st Nearby Month): | $600 |
$800 |
$660 |
$880 |
$810 |
$1,080 |
| Tier 2 (2nd Nearby Month): | $600 |
$800 |
$660 |
$880 |
$810 |
$1,080 |
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 $7,000 starting on Friday, March 21, 2003.
| One Long Tier 1 NG | (1 * $8,000) | = | $8,000 | ||
| One Short Tier 4 NG | (1 * $2,500) | = | - | $2,500 | |
| Net Scan Risk | ($8,000-$2,500) | = | $5,500 | ||
| Spread Rate | (1* $1500) | = | + | $1,500 | |
| Total Requirement | = | $7,000 |
Summary
| Clearing Member (Maintenance Margin): | $7,000 |
| Member Customer (Initial Margin): | $7,700 |
| Non-Member Customer (Initial Margin): | $9,450 |
This notice supersedes all previous notices regarding margins for the NYMEX Natural Gas, NYMEX Henry Hub Swap, and the e-miNY(sm) Natural Gas futures contracts.