03/27/2003
| Effective Date: | Thursday, March 27, 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): | $4,500 |
$6,500 |
$4,950 |
$7,150 |
$6,075 |
$8,775 |
| Tier 2 (2nd Nearby Month): | $4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
| Tier 3 (3rd-6th Nearby Month): | $4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
| 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): | $1,125 |
$1,625 |
$1,238 |
$1,788 |
$1,519 |
$2,194 |
| Tier 2 (2nd Nearby Month): | $1,000 |
$1,125 |
$1,100 |
$1,238 |
$1,350 |
$1,519 |
| Tier 3 (3rd-6th Nearby Month): | $1,000 |
$1,125 |
$1,100 |
$1,238 |
$1,350 |
$1,519 |
| 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): | $1,800 | $2,600 | $1,980 | $2,860 | $2,430 | $3,510 |
| Tier 2 (2nd Nearby Month): | $1,600 | $1,800 | $1,760 | $1,980 | $2,160 | $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.
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): | $1,000 | $1,500 | $1,100 | $1,650 | $1,350 | $2,025 |
| Tier 2 (2nd Nearby Month): | 1,000 | $1,500 | $1,100 | $1,650 | $1,350 | $2,025 |
| 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): | $250 | $375 | $275 | $413 | $338 | $506 |
| Tier 2 (2nd Nearby Month): | $250 | $375 | $275 | $413 | $338 | $506 |
| 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): | $400 | $600 | $440 | $660 | $540 | $810 |
| Tier 2 (2nd Nearby Month): | $400 | $600 | $440 | $660 | $540 | $810 |
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 $3,000 starting on Thursday, March 27, 2003.
| One Long Tier 1 NG | (1 * $4,500) | = | $4,500 | ||
| One Short Tier 4 NG | (1 * $2,500) | = | - |
$2,500 | |
| Net Scan Risk | ($4,500-$2,500) | = | $2,000 | ||
| Spread Rate | (1* $1000) | = | + |
$1,000 | |
| Total Requirement | = | $3,000 |
Summary
| Clearing Member (Maintenance Margin): | $3,000 |
| Member Customer (Initial Margin): | $3,300 |
| Non-Member Customer (Initial Margin): | $4,050 |
This notice supersedes all previous notices regarding margins for the NYMEX Natural Gas, NYMEX Henry Hub Swap, and the e-miNY Natural Gas futures contracts.