04/21/2004
| Effective Date: | Thursday, April 22, 2004 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts |
| Contract Months: | All Natural Gas Contract Months |
NG/NN Scan and Intra-Commodity Spread Tiers
| Tiers | New | Old |
| 1 | 1st Nearby | 1st Nearby |
| 2 | 2nd Nearby | 2nd Nearby |
| 3 | 3rd – 6th Nearby | 3rd Nearby |
| 4 | 7th – 12th Nearby | 4th – 10th Nearby |
| 5 | 13th – 18th Nearby | 11th – 15th Nearby |
| 6 | Greater than 18th Nearby | Greater than 15th Nearby |
NYMEX Division Outright (Scan) 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 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
2 |
$3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
3 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
4 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
5 |
$2,000 |
$3,000 |
$2,200 |
$3,300 |
$2,700 |
$4,050 |
6 |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
NYMEX Division Outright (Scan) 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 |
$875 |
$1,000 |
$963 |
$1,100 |
$1,181 |
$1,350 |
2 |
$750 |
$875 |
$825 |
$963 |
$1,013 |
$1,181 |
3 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
4 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
5 |
$500 |
$750 |
$550 |
$825 |
$675 |
$1,013 |
6 |
$375 |
$500 |
$413 |
$550 |
$506 |
$675 |
NYMEX Division Outright (Scan) Margin 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 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
2 |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$2,363 |
NYMEX Division Intra-Commodity Spread 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 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
2 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
3 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
4 |
$1,000 |
$250 |
$1,100 |
$275 |
$1,350 |
$338 |
5 |
$100 |
$100 |
$110 |
$110 |
$135 |
$135 |
6 |
$100 |
$100 |
$110 |
$110 |
$135 |
$135 |
NYMEX Division Intra-Commodity Spread 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 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
2 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
3 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
4 |
$250 |
$63 |
$275 |
$69 |
$338 |
$85 |
5 |
$25 |
$25 |
$28 |
$28 |
$34 |
$34 |
6 |
$25 |
25 |
$28 |
$28 |
$34 |
$34 |
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 $1,500 starting on Thursday, April 22, 2004.
| One Long Tier 1 NG | (1 * $3,500) | = | $3,500 |
|
| One Short Tier 2 NG | (1 * $3,000) | - |
$3,000 |
|
| Net Scan Risk | ($3,500-$3,000) | = | $500 |
|
| Spread Rate | (1* $1,000) | = | + |
$1,000 |
| Total Requirement | = | $1,500 |
Summary
| Clearing Member (Maintenance Margin): | 1,500 | |
| Member Customer (Initial Margin): | $1,650 | |
| Non-Member Customer (Initial Margin): | $2,050 |
This notice supersedes all previous notices regarding margin rate for Natural Gas Futures, Henry Hub Swap, and Natural Gas e-miNY Futures contracts.