12/05/2003
| Effective Date: | Monday December 8, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | All Natural Gas Contract Months |
Natural Gas Scan and Intra-Commodity Spread Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd - 3rd Nearby |
2nd Nearby |
3 |
4th - 10th Nearby |
3rd - 6th Nearby |
4 |
11th - 15th Nearby |
7th - 12th Nearby |
5 |
Greater than 15th Nearby |
Greater than 12th Nearby |
NYMEX Division Outright Margins on Natural Gas Futures (NG)
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
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 - 3rd Nearby | $7,000 |
$5,000 |
$7,700 |
$5,500 |
$9,450 |
$6,750 |
| Tier 3: 4th - 10th Nearby | $5,500 |
$4,500 |
$6,050 |
$4,950 |
$7,425 |
$6,075 |
| Tier 4: 11th - 15th Nearby | $4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
| Tier 5: Greater than 15th 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 / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $1,750 |
$1,250 |
$1,925 |
$1,375 |
$2,363 |
$1,688 |
| Tier 2: 2nd - 3rd Nearby | $1,750 |
$1,250 |
$1,925 |
$1,375 |
$2,363 |
$1,688 |
| Tier 3: 4th - 10th Nearby | $1,375 |
$1,125 |
$1,513 |
$1,238 |
$1,856 |
$1,519 |
| Tier 4: 11th - 15th Nearby | $1,125 |
$1,125 |
$1,238 |
$1,238 |
$1,519 |
$1,519 |
| Tier 5: Greater than 15th Nearby | $625 |
$625 |
$688 |
$688 |
$844 |
$844 |
NYMEX Division Outright Margins on Natural Gas e-miNY Futures (QG)
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
| Tier 1 - 1st Nearby | $3,500 |
$2,500 |
$3,850 |
$2,750 |
$4,725 |
$3,375 |
| Tier 2: 2nd Nearby | $3,500 |
$2,500 |
$3,850 |
$2,750 |
$4,725 |
$3,375 |
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 $2,500 starting on Friday December 5, 2003.
| One Long Tier 2 NG | (1 * $7,000) |
= |
$7,000 |
|
| One Short Tier 3 NG | (1 * $5,500) |
= |
- |
$5,500 |
| Net Scan Risk | ($7,000-$5,500) |
= |
$1,500 |
|
| Spread Rate | (1* $1000) |
= |
+ |
$1,000 |
| Total Requirement | = |
$2,500 |
||
| Summary | ||||
Clearing Member (Maintenance Margin):
|
$2,500 |
|||
| Member Customer (Initial Margin): | $2,750 |
|||
| Non-Member Customer (Initial Margin): | $3,375 |
|||
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures, Henry Hub Swap, and Natural Gas e-miNY futures contracts.