12/12/2003
| Effective Date: | Monday, December 15, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | January 04 / Tier 1 Only |
| Contract | Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| NG | $10,000 |
$8,500 |
$11,000 |
$9,350 |
$13,500 |
$11,475 |
| NN | $2,500 |
$2,125 |
$2,750 |
$2,338 |
$3,375 |
$2,869 |
| QG | $5,000 |
$4,250 |
$5,500 |
$4,675 |
$6,750 |
$5,738 |
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 $2,500 starting on Monday, December 15, 2003.
| One Long Tier 1 NG | (1 * $10,000) | = |
$10,000 | |
| One Short Tier 2 NG | (1 * $8,500) | = |
- |
$8,500 |
| Net Scan Risk | ($10,000-$8,500) | = |
$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 |