Notice to Members
Notice No. 302
08/17/2004
New Margin Rates, Intra-Commodity Spread Rates, and Inter-Commodity Spread Credit Ratios for the Natural Gas Swing Swap and Index Swap
Effective Date: Tuesday, August 17, 2004 (close of business)
Futures Contracts: Henry Hub Swing Swap (SN), Henry Hub Index Swap (IN), Chicago City Gate Swing Swap (SS), Chicago City Gate Index Swap (IS), El Paso/Permian Swing Swap (SL), El Paso/Permian Index Swap (IL), Houston Ship Channel Swing Swap (SM), Houston Ship Channel Index Swap (IM), Panhandle Swing Swap (SV), Panhandle Index Swap (IV), Waha Swing Swap (SY), Waha Index Swap (IY)
Contract Months: All Contracts

NYMEX Division Outright (Scan) Margins on Henry Hub Swing Swap (SN)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$900
$990
$1,215
2 (Greater than 2nd Nearby)
$500
$550
$675
NYMEX Division Outright (Scan) Margins on Henry Hub Index Swap (IN)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$100
$110
$135
2 (Greater than 1st Nearby)
$25
$28
$34
NYMEX Division Outright (Scan) Margins on Chicago Swing Swap (SS)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$1,000
$1,100
$1,350
2 (Greater than 2nd Nearby)
$500
$550
$675
NYMEX Division Outright (Scan) Margins on Chicago Index Swap (IS)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$75
$83
$101
2 (Greater than 1st Nearby)
$50
$55
$68
NYMEX Division Outright (Scan) Margins on El Paso/Permian Swing Swap (SL)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$1,000
$1,100
$1,350
2 (Greater than 2nd Nearby)
$500
$550
$675
NYMEX Division Outright (Scan) Margins on El Paso/Permian Index Swap (IL)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$200
$220
$270
2 (Greater than 1st Nearby)
$150
$165
$203
NYMEX Division Outright (Scan) Margins on Houston Ship Channel Swing Swap (SM)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$800
$880
$1,080
2 (Greater than 2nd Nearby)
$400
$440
$540
NYMEX Division Outright (Scan) Margins on Houston Ship Channel Index Swap (IM)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$75
$83
$101
2 (Greater than 1st Nearby)
$50
$55
$68
NYMEX Division Outright (Scan) Margins on Waha Swing Swap (SY)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$1,000
$1,100
$1,350
2 (Greater than 2nd Nearby)
$500
$550
$675
NYMEX Division Outright (Scan) Margins on Waha Index Swap (IY)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$75
$83
$101
2 (Greater than 1st Nearby)
$50
$55
$68
NYMEX Division Outright (Scan) Margins on Panhandle Swing Swap (SV)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st and 2nd Nearby)
$1,000
$1,100
$1,350
2 (Greater than 2nd Nearby)
$500
$550
$675
NYMEX Division Outright (Scan) Margins on Panhandle Index Swap (IV)
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby Month)
$125
$138
$169
2 (Greater than 1st Nearby)
$100
$110
$135
NYMEX Division Intra-Commodity Spread Margins For Henry Hub Swing Swap, Chicago Swing Swap, El Paso/Permian Swing Swap, Houston Ship Channel Swing Swap, Panhandle Swing Swap, and Waha Swing Swap
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
1 (1st Nearby)
$100
$110
$135
2 (Greater than 1st Nearby)
$50
$55
$68
NYMEX Division Intra-Commodity Spread Margins For Henry Hub Index Swap, Chicago Index Swap, El Paso/Permian Index Swap, Houston Ship Channel Index Swap, Panhandle Index Swap, and Waha Index Swap
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Initial Margin
New
New
New
All Months
$25
$28
$34
NYMEX Division Inter-Commodity Spread Credits For Henry Hub Swing Swap, Chicago Swing Swap, El Paso/Permian Swing Swap, Houston Ship Channel Swing Swap, Panhandle Swing Swap, Waha Swing Swap
Spread
Priority
Ratio
Percent Credit
SL:SY
30
1:01
98
SM:SV
31
1:01
96
SS:SM
34
1:01
95
SM:SN
35
1:01
95
SS:SV
36
1:01
94
SM:SY
37
1:01
94
SV:SY
38
1:01
94
SL:SV
39
1:01
93
SL:SM
40
1:01
92
SS:SY
41
1:01
91
SS:SN
45
1:01
90
SS:SL
46
1:01
90
SN:SY
47
1:01
90
SN:SV
48
1:01
89
SL:SN
49
1:01
88


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 SS leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $600 starting on Tuesday, August 17, 2003.

One Long Tier 1 SS (1 * $1,000) =   $1,000
One Short Tier 2 SS (1 * $500) = - $500
Net Scan Risk ($1000-$500) =   $500
Spread Rate (1* 100) =   $100
Total Requirement   =   $600

Summary
Clearing Member (Maintenance Margin): $600
Member Customer (Initial Margin): $660
Non-Member Customer (Initial Margin): $810
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com