02/25/2003
| Effective Date: | Wednesday, February 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 Contract Months, 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): | $9,000 |
$7,000 |
$9,900 |
$7,700 |
$12,150 |
$9,450 |
| Tier 2 (2nd Nearby Month): | $9,000 |
$7,000 |
$9,900 |
$7,700 |
$12,150 |
$9,450 |
| Tier 3 (3rd-6th Nearby Month): | $6,000 |
$5,000 |
$6,600 |
$5,500 |
$8,100 |
$6,750 |
| 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): | $2,250 |
$1,750 |
$2,475 |
$1,925 |
$3,038 |
$2,363 |
| Tier 2 (2nd Nearby Month): | $2,250 |
$1,750 |
$2,475 |
$1,925 |
$3,038 |
$2,363 |
| Tier 3 (3rd-6th Nearby Month): | $1,500 |
$1,250 |
$1,650 |
$1,375 |
$2,025 |
$1,688 |
| 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): | $3,600 |
$2,800 |
$3,960 |
$3,080 |
$4,860 |
$3,780 |
| Tier 2 (2nd Nearby Month): | $3,600 |
$2,800 |
$3,960 |
$3,080 |
$4,860 |
$3,780 |
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): | $2,000 |
$1,000 |
$2,200 |
$1,100 |
$2,700 |
$1,350 |
| Tier 2 (2nd Nearby Month): | $2,000 |
$1,000 |
$2,200 |
$1,100 |
$2,700 |
$1,350 |
| Tier 3 (3rd-6th Nearby Month): | $500 |
$250 |
$550 |
$275 |
$675 |
$388 |
| 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): | $500 |
$250 |
$550 |
$275 |
$675 |
$338 |
| Tier 2 (2nd Nearby Month): | $500 |
$250 |
$550 |
$275 |
$675 |
$338 |
| Tier 3 (3rd-6th Nearby Month): | $125 |
$63 |
$138 |
$69 |
$169 |
$85 |
| 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): | $800 | $400 | $880 | $440 | $1,080 | $540 |
| Tier 2 (2nd Nearby Month): | $800 | $400 | $880 | $440 | $1,080 | $540 |
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 $8,500 starting on Wednesday, February 26, 2003.
| One Long Tier 1 NG | (1 * $9,000) | = | $9,000 |
| One Short Tier 4 NG | (1 * $2,500) | = | -$2,500 |
| Net Scan Risk | ($9,000-$2,500) | = | $6,500 |
| Spread Rate | (1* $2000) | = | +$2,000 |
| Total Requirement | = | $8,500 |
Summary
| Clearing Member (Maintenance Margin): | $8,500 |
| Member Customer (Initial Margin): | $9,350 |
| Non-Member Customer (Initial Margin): | $11,475 |
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.