03/25/2003
| Effective Date: | Wednesday, March 26, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1, Tier 2 and Tier 3 NG and NN, and all 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): | $6,500 |
$8,000 |
$7,150 |
$8,800 |
$8,775 |
$10,800 |
| Tier 2 (2nd Nearby Month): | $4,500 |
$6,000 |
$4,950 |
$6,600 |
$6,075 |
$8,100 |
| Tier 3 (3rd-6th Nearby Month): | $4,500 |
$6,000 |
$4,950 |
$6,600 |
$6,075 |
$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): | $1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
| Tier 2 (2nd Nearby Month): | $1,125 |
$1,500 |
$1,238 |
$1,650 |
$1,519 |
$2,025 |
| Tier 3 (3rd-6th Nearby Month): | $1,125 |
$1,500 |
$1,238 |
$1,650 |
$1,519 |
$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): | $2,600 |
$3,200 |
$2,860 |
$3,520 |
$3,510 |
$4,320 |
| Tier 2 (2nd Nearby Month): | $1,800 |
$2,400 |
$1,980 |
$2,640 |
$2,430 |
$3,240 |
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 $5,500 starting on Wednesday, March 26, 2003.
| One Long Tier 1 NG | (1 * $6,500) | = |
$6,500 | |
| One Short Tier 4 NG | (1 * $2,500) | = |
- |
$2,500 |
| Net Scan Risk | ($6,500-$2,500) | = |
$4,000 | |
| Spread Rate | (1* $1500) | = |
+ |
$1,500 |
| Total Requirement | = |
$5,500 |
Summary
| 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 margins for the NYMEX Natural Gas, NYMEX Henry Hub Swap, and the e-miNYsm Natural Gas futures contracts.