12/10/2003
| Effective Date: | Thursday, December 11, 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 Nearby |
2nd - 3rd Nearby |
3 |
3rd Nearby |
4th - 10th Nearby |
4 |
4th - 10th Nearby |
11th - 15th Nearby |
5 |
11th - 15th Nearby |
Greater than 15th Nearby |
6 |
Greater than 15th Nearby |
N/A |
NYMEX Division Outright Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
| New | Old | New | Old | New | Old | |
1 |
$8,500 | $7,000 | $9,350 | $7,700 | $11,475 | $9,450 |
2 |
$8,500 | $7,000 | $9,350 | $7,700 | $11,475 | $9,450 |
3 |
$8,000 | $5,500 | $8,800 | $6,050 | $10,800 | $7,425 |
4 |
$5,500 | $4,500 | $6,050 | $4,950 | $7,425 | $6,075 |
5 |
$4,500 | $2,500 | $4,950 | $2,750 | $6,075 | $3,375 |
6 |
$2,500 | N/A | $2,750 | N/A | $3,375 | N/A |
NYMEX Division Outright Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,125 |
$1,750 |
$2,338 |
$1,925 |
$2,869 |
$2,363 |
2 |
$2,125 |
$1,750 |
$2,338 |
$1,925 |
$2,869 |
$2,363 |
3 |
$2,000 |
$1,375 |
$2,200 |
$1,513 |
$2,700 |
$1,856 |
4 |
$1,375 |
$1,125 |
$1,513 |
$1,238 |
$1,856 |
$1,519 |
5 |
$1,125 |
$625 |
$1,238 |
$688 |
$1,519 |
$844 |
6 |
$625 |
N/A |
$688 |
N/A |
$844 |
N/A |
NYMEX Division Outright Margins on Natural Gas e-miNY Futures (QG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$4,250 |
$3,500 |
$4,675 |
$3,850 |
$5,738 |
$4,725 |
2 |
$4,250 |
$3,500 |
$4,675 |
$3,850 |
$5,738 |
$4,725 |
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 4 will have its requirement (at the clearing member rates) calculated at $4,000 starting on Thursday, December 11, 2003.
| One Long Tier 2 NG | (1 * $8,500) |
= |
$8,500 |
|
| One Short Tier 4 NG | (1 * $5,500) |
= |
- |
$5,500 |
| Net Scan Risk | ($8,500-$5,500) |
= |
$3,000 |
|
| Spread Rate | (1* $1,000) |
= |
+ |
$1,000 |
| Total Requirement | = |
$4,000 |
||
| Summary | ||||
Clearing Member (Maintenance Margin):
|
$4,000 |
|||
| Member Customer (Initial Margin): | $4,400 |
|||
| Non-Member Customer (Initial Margin): | $5,400 |
|||
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.