09/13/2004
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts
CONTRACT MONTHS: Tier 1, 2, 3, and 4 Outright Margin and Tier 1 Spread Margin for Natural Gas Contracts
Note: The revised margins are in bold.
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 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
2 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
3 |
$4,500 |
$4,000 |
$4,950 |
$4,400 |
$6,075 |
$5,400 |
4 |
$4,500 |
$4,250 |
$4,950 |
$4,675 |
$6,075 |
$5,738 |
5 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
6 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
7 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
8 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
9 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
| 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 |
$875 |
$1,100 |
$963 |
$1,350 |
$1,181 |
2 |
$1,000 |
$875 |
$1,100 |
$963 |
$1,350 |
$1,181 |
3 |
$1,125 |
$1,000 |
$1,238 |
$1,100 |
$1,519 |
$1,350 |
4 |
$1,125 |
$1,063 |
$1,238 |
$1,169 |
$1,519 |
$1,434 |
5 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
6 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
7 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
8 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
|
9 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| 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 |
$2,000 |
$1,750 |
$2,200 |
$1,925 |
$2,700 |
$2,363 |
2 |
$2,000 |
$1,750 |
$2,200 |
$1,925 |
$2,700 |
$2,363 |
| 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 |
$500 |
$1,100 |
$550 |
$1,350 |
$675 |
2 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
3 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
4 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
5 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
6 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
7 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
8 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
9 |
$250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| 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 |
$125 |
$275 |
$138 |
$338 |
$169 |
2 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
3 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
4 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
5 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
6 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
7 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
8 |
$125 |
$125 |
$138 |
$138 |
$169 |
$169 |
9 |
$63 |
$63 |
$69 |
$69 |
$84 |
$84 |
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 $3,000 starting on Monday, September 13, 2004.
One Long Tier 1 NG (1 * $4,000) = $4,000
One Short Tier 6 NG (1 * $2,000) = $2,000
Net Scan Risk ($4,000-$2,000) = $2,000
Spread Rate (1* $ 1000) = + $1,000
Total Requirement = $3,000
Summary
Clearing Member (Maintenance Margin): $3,000
Member Customer (Initial Margin): $3,300
Non-Member Customer (Initial Margin): $4,050