01/16/2004
Futures Contracts: Natural Gas, Henry Hub Swap, and e-miNY Natural Gas Contracts
Contract Months: All Natural Gas Contract Months
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NYMEX Division Outright Margins on Natural Gas Futures
(NG)
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Tiers
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Clearing Member / Maintenance Margin
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Member Customer Initial Margin
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Non-Member Customer Initial Margin
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New
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Old
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New
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Old
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New
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Old
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|
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1
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$8,500
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$10,000
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$9,350
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$11,000
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$11,475
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$13,500
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2
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$7,500
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$8,500
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$8,250
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$9,350
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$10,125
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$11,475
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3
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$5,000
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$8,000
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$5,500
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$8,800
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$6,750
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$10,800
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4
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$3,500
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$5,500
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$3,850
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$6,050
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$4,725
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$7,425
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5
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$2,500
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$4,500
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$2,750
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$4,950
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$3,375
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$6,075
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6
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$2,000
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$2,500
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$2,200
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$2,750
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$2,700
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$3,375
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NYMEX Division Outright Margins on Henry Hub Swap
Futures (NN)
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Tiers
|
Clearing Member / Maintenance Margin
|
Member Customer Initial Margin
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Non-Member Customer Initial Margin
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|||
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New
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Old
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New
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Old
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New
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Old
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|
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1
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$2,125
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$2,500
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$2,338
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$2,750
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$2,869
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$3,375
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2
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$1,875
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$2,125
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$2,063
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$2,338
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$2,531
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$2,869
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3
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$1,250
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$2,000
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$1,375
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$2,200
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$1,688
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$2,700
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4
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$875
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$1,375
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$963
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$1,513
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$1,181
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$1,856
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5
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$625
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$1,125
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$688
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$1,238
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$844
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$1,519
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6
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$500
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$625
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$550
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$688
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$675
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$844
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NYMEX Division Outright Margins on Natural Gas e-miNY
Futures (QG)
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Tiers
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Clearing Member / Maintenance Margin
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Member Customer Initial Margin
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Non-Member Customer Initial Margin
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|||
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New
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Old
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New
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Old
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New
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Old
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|
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1
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$4,250
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$5,000
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$4,675
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$5,500
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$5,738
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$6,750
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2
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$3,750
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$4,250
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$4,125
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$4,675
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$5,063
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$5,738
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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 $2,000 starting on Tuesday, January 20, 2004.
| One Long Tier 1 NG | (1 * $8,500) |
=
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$8,500
|
|
| One Short Tier 2 NG | (1 * $7,500) |
=
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- $7,500
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| Net Scan Risk | ($8,500-$7,500) |
=
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$1,000
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| Spread Rate | (1* $1,000) |
=
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+ $1,000
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| Total Requirement |
=
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$2,000
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| Summary | ||||
| Clearing Member (Maintenance Margin): |
$2,000
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| Member Customer (Initial Margin): |
$2,200
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| Non-Member Customer (Initial Margin): |
$2,700
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