04/02/2003
| Effective Date: | Wednesday, April 2, 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): | $4,000 | $4,500 | $4,400 | $4,950 | $5,400 | $6,075 |
| Tier 2 (2nd Nearby Month): | $3,500 | $4,000 | $3,850 | $4,400 | $4,725 | $5,400 |
| Tier 3 (3rd-6th Nearby Month): | $3,500 | $4,000 | $3,850 | $4,400 | $4,725 | $5,400 |
| 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): | $1,000 | $1,125 | $1,100 | $1,238 | $1,350 | $1,519 |
| Tier 2 (2nd Nearby Month): | $875 | $1,000 | $963 | $1,100 | $1,181 | $1,350 |
| Tier 3 (3rd-6th Nearby Month): | $875 | $1,000 | $963 | $1,100 | $1,181 | $1,350 |
| 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): | $1,600 | $1,800 | $1,760 | $1,980 | $2,160 | $2,430 |
| Tier 2 (2nd Nearby Month): | $1,400 | $1,600 | $1,540 | $1,760 | $1,890 | $2,160 |
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 2 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 * $4,000) | = |
$4,000 | |
| One Short Tier 2 NG | (1 * $3,500) | = |
- |
$3,500 |
| Net Scan Risk | ($4,000-$3,500) | = |
$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.