02/27/2003
| Effective Date: | Friday, February 28, 2003 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | Tier 1 NG, NN, and 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): | $11,000 |
$9,000 |
$12,100 |
$9,900 |
$14,850 |
$12,150 |
| Tier 2 (2nd Nearby Month): | $9,000 |
$9,000 |
$9,900 |
$9,900 |
$12,150 |
$12,150 |
| Tier 3 (3rd-6th Nearby Month): | $6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
| 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): | $2,750 |
$2,250 |
$3,025 |
$2,475 |
$3,713 |
$3,038 |
| Tier 2 (2nd Nearby Month): | $2,250 |
$2,250 |
$2,475 |
$2,475 |
$3,038 |
$3,038 |
| Tier 3 (3rd-6th Nearby Month): | $1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
| 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): | $4,400 |
$3,600 |
$4,840 |
$3,960 |
$5,940 |
$4,860 |
| Tier 2 (2nd Nearby Month): | $3,600 |
$3,600 |
$3,960 |
$3,960 |
$4,860 |
$4,860 |
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 $10,500 starting on Friday, February 28, 2003.
| One Long Tier 1 NG | (1 * $11,000) | = | $11,000 | |
| One Short Tier 4 NG | (1 * $2,500) | = | - | $2,500 |
| Net Scan Risk | ($11,000-$2,500) | = | $8,500 | |
| Spread Rate | (1* $2000) | = | + | $2,000 |
| Total Requirement | = | $10,500 |
Summary
| Clearing Member (Maintenance Margin): | $10,500 |
| Member Customer (Initial Margin): | $11,550 |
| Non-Member Customer (Initial Margin): | $14,175 |
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.