09/08/2004
| Effective Date: | Thursday, September 9, 2004 (close of business) |
| Futures Contracts: | Henry Hub Index Swap (IN), Chicago City Gate Index Swap (IS), El Paso/Permian Index Swap (IL), Houston Ship Channel Index Swap (IP), Panhandle Index Swap (IV), Waha Index Swap (IY) |
| Contract Months: | All Contracts |
NYMEX Division Outright (Scan) Margins on Henry Hub Index Swap (IN), Chicago City Gate Index Swap (IS), El Paso/Permian Index Swap (IL), Houston Ship Channel Index Swap (IP), Panhandle Index Swap (IV), Waha Index Swap (IY)
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
||||
New |
Old |
New |
Old |
New |
Old |
|
Henry Hub Index Swap (IN) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$100 |
$550 |
$110 |
$675 |
$135 |
Tier 2: Greater than 1st Nearby |
$100 |
$25 |
$110 |
$28 |
$135 |
$34 |
Chicago City Gate Index Swap (IS) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$75 |
$550 |
$83 |
$675 |
$101 |
Tier 2: Greater than 1st Nearby |
$100 |
$50 |
$110 |
$55 |
$135 |
$68 |
El Paso/Permian Index Swap (IL) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$200 |
$550 |
$220 |
$675 |
$270 |
Tier 2: Greater than 1st Nearby |
$150 |
$150 |
$165 |
$165 |
$203 |
$203 |
Houston Ship Channel Index Swap (IP) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$75 |
$550 |
$83 |
$675 |
$101 |
Tier 2: Greater than 1st Nearby |
$100 |
$50 |
$110 |
$55 |
$135 |
$68 |
Panhandle Index Swap (IV) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$125 |
$550 |
$138 |
$675 |
$169 |
Tier 2: Greater than 1st Nearby |
$100 |
$100 |
$110 |
$110 |
$135 |
$135 |
Waha Index Swap (IY) |
||||||
Tier 1 - 1st Nearby Month |
$500 |
$75 |
$550 |
$83 |
$675 |
$101 |
Tier 2: Greater than 1st Nearby |
$100 |
$50 |
$110 |
$55 |
$135 |
$68 |
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 IN leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $425 starting on Thursday, September 9, 2004.
| One Long Tier 1 IN | (1 * $500) | = |
$500 | |
| One Short Tier 2 IN | (1 * $100) | = |
- |
$100 |
| Net Scan Risk | ($500-$100) | = |
$400 | |
| Spread Rate | (1* 25) | = |
$25 | |
| Total Requirement | = |
$425 |
Summary
| Clearing Member (Maintenance Margin): | $425 |
| Member Customer (Initial Margin): | $468 |
| Non-Member Customer (Initial Margin): | $574 |