06/30/2004
| EFFECTIVE DATE: | Thursday, July 1, 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
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd – 4th Nearby |
3rd - 5th Nearby |
4 |
5th - 8th Nearby |
6th - 8th Nearby |
5 |
9th Nearby |
9th - 10th Nearby |
6 |
10th – 16th Nearby |
11th - 18th Nearby |
7 |
17th – 20th Nearby |
Greater than 18th Nearby |
8 |
Greater than 20th Nearby |
N/A |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer |
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 |
$3,750 |
$4,000 |
$4,125 |
$4,400 |
$5,063 |
$5,400 |
4 |
$4,250 |
$4,000 |
$4,675 |
$4,400 |
$5,738 |
$5,400 |
5 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
6 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
7 |
$3,000 |
$1,500 |
$3,300 |
$1,650 |
$4,050 |
$2,025 |
8 |
$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 |
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 |
$938 |
$1,000 |
$1,031 |
$1,100 |
$1,266 |
$1,350 |
4 |
$1,063 |
$1,000 |
$1,169 |
$1,100 |
$1,434 |
$1,350 |
5 |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
6 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
7 |
$750 |
$375 |
$825 |
$413 |
$1,013 |
$506 |
8 |
$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 |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
2 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Intra-Commodity Spread Margins on Natural Gas Futures (NG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer |
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 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
4 |
$500 |
$1,500 |
$550 |
$1,650 |
$675 |
$2,025 |
5 |
$500 |
$1,000 |
$550 |
$1,100 |
$675 |
$1,350 |
6 |
$500 |
$750 |
$550 |
$825 |
$675 |
$1,013 |
7 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
8 |
$250 |
N/A |
$275 |
N/A |
$338 |
N/A |
NYMEX Division Intra-Commodity Spread Margins on Henry Hub Swap Futures (NN)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer |
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 |
$250 |
$138 |
$275 |
$169 |
$338 |
4 |
$125 |
$375 |
$138 |
$413 |
$169 |
$506 |
5 |
$125 |
$250 |
$138 |
$275 |
$169 |
$338 |
6 |
$125 |
$188 |
$138 |
$206 |
$169 |
$253 |
7 |
$63 |
$63 |
$69 |
$69 |
$84 |
$84 |
8 |
$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 5 and another in Tier 6 will have its requirement (at the clearing member rates) calculated at $1,000 starting on Thursday, July 1, 2004.
| One Long Tier 5 NG | (1 * $3,000) | = |
$3,000 | |
| One Short Tier 6 NG | (1 * $2,500) | = |
$2,500 | |
| Net Scan Risk | ($3,000-$2,500) | = |
$500 | |
| Spread Rate | (1* $500) | = |
+ |
$500 |
| Total Requirement | = |
$1,000 |
Summary
| Clearing Member (Maintenance Margin): | $1,000 |
| Member Customer (Initial Margin): | $1,100 |
| Non-Member Customer (Initial Margin): | $1,350 |
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures and Henry Hub Swap Futures contracts.