05/14/2003
| Effective Date: | Thursday May 15, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1, Tier 2, Tier 3, and Tier 4 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): | $5,000 |
$4,000 |
$5,500 |
$4,400 |
$6,750 |
$5,400 |
| Tier 2 (2nd Nearby Month): | $5,000 |
$3,500 |
$5,500 |
$3,850 |
$6,750 |
$4,725 |
| Tier 3 (3rd-6th Nearby Month): | $4,500 |
$3,500 |
$4,950 |
$3,850 |
$6,075 |
$4,725 |
| Tier 4 (7th-12th Nearby Month): | $4,500 |
$2,500 |
$4,950 |
$2,750 |
$6,075 |
$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): | $1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2 (2nd Nearby Month): | $1,250 |
$875 |
$1,375 |
$963 |
$1,688 |
$1,181 |
| Tier 3 (3rd-6th Nearby Month): | $1,125 |
$875 |
$1,238 |
$963 |
$1,519 |
$1,181 |
| Tier 4 (7th-12th Nearby Month): | $1,125 |
$625 |
$1,238 |
$688 |
$1,519 |
$844 |
| Tier 5 (Greater than 12th Nearby): | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
NYMEX Division Outright 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): | $2,000 |
$1,600 |
$2,200 |
$1,760 |
$2,700 |
$2,160 |
| Tier 2 (2nd Nearby Month): | $2,000 |
$1,400 |
$2,200 |
$1,540 |
$2,700 |
$1,890 |
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 2 and another in Tier 3 will have its requirement (at the clearing member rates) calculated at $1,500 starting on Thursday May 15, 2003.
| One Long Tier 1 NG | (1 * $5,000) | = |
$5,000 | |
| One Short Tier 2 NG | (1 * $4,500) | = |
- |
$4,500 |
| Net Scan Risk | ($5,000-$4,500) | = |
$500 | |
| Spread Rate | (1* $1000) | = |
+ |
$1,000 |
| Total Requirement | = |
$1,500 |
Summary
| Clearing Member (Maintenance Margin): | $1,500 |
| Member Customer (Initial Margin): | $1,650 |
| Non-Member Customer (Initial Margin): | $2,025 |
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.