Notice to Members
Notice No. 201
05/27/2004
Margin Rate and Tier Changes for Natural Gas Futures (NG), Henry Hub Swap Futures (NN) and Natural Gas e-miNY(sm) Futures (QG) Contracts
EFFECTIVE DATE: Friday, May 28, 2004 (close of business)
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY
  Natural Gas Contracts
CONTRACT MONTHS: All Natural Gas Contract Months

NG/NN Scan and Intra-Commodity Spread Tiers
1
1st Nearby
1st Nearby
2
2nd Nearby
2nd Nearby
3
3rd - 5th Nearby
3rd - 6th Nearby
4
6th - 8th Nearby
7th - 12th Nearby
5
9th - 10th Nearby
13th - 18th Nearby
6
11th - 18th Nearby
Greater than 18th Nearby
7
Greater than 18th Nearby
N/A


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
$4,000
$4,000
$4,400
$4,400
$5,400
$5,400
2
$4,000
$4,000
$4,400
$4,400
$5,400
$5,400
3
$4,000
$4,000
$4,400
$4,400
$5,400
$5,400
4
$4,000
$4,000
$4,400
$4,400
$5,400
$5,400
5
$4,000
$2,000
$4,400
$2,200
$5,400
$2,700
6
$2,500
$1,500
$2,750
$1,650
$3,375
$2,025
7
$1,500
N/A
$1,650
N/A
$2,025
N/A


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
$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
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
4
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
5
$1,000
$500
$1,100
$550
$1,350
$675
6
$625
$375
$688
$413
$844
$506
7
$375
N/A
$413
N/A
$506
N/A


NYMEX Division Outright (Scan) Margins 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
$1,000
$1,000
$1,100
1
$1,000
$1,000
2
$1,000
$1,000
$1,100
2
$1,000
$1,000


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
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
4
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
5
$1,000
$100
$1,100
$110
$1,350
$135
6
$750
$100
$825
$110
$1,013
$135
7
$250
N/A
$275
N/A
$338
N/A

NYMEX Division Intra-Commodity 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
$250
$250
$275
$275
$338
$338
4
$375
$375
$413
$413
$506
$506
5
$250
$25
$275
$28
$338
$34
6
$188
$25
$206
$28
$253
$34
7
$63
N/A
$69
N/A
$84
N/A


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 6 will have its requirement (at the clearing member rates) calculated at $2,500 starting on Friday, May 28, 2004.

One Long Tier 1 NG (1 * $4,000)
=
$4,000
One Short Tier 6 NG (1 * $2,500)
=
$2,500
Net Scan Risk ($4,000-$2,500)
=
$1,500
Spread Rate (1* $ 1,000)
=
+
 $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


This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures and Henry Hub Swap Futures contracts.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com