10/01/2004
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts
CONTRACT MONTHS: All Natural Gas Contract Months
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 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
2 |
$5,500 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
3 |
$5,500 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
4 |
$5,500 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
5 |
$5,250 |
$4,750 |
$5,775 |
$5,225 |
$7,088 |
$6,413 |
6 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
7 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
8 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
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 | $1,500 | $1,375 | $1,650 | $1,513 | $2,025 | $1,856 |
| 2 | $1,375 | $1,250 | $1,513 | $1,375 | $1,856 | $1,688 |
| 3 | $1,375 | $1,250 | $1,513 | $1,375 | $1,856 | $1,688 |
| 4 | $1,375 | $1,250 | $1,513 | $1,375 | $1,856 | $1,688 |
| 5 | $1,313 | $1,188 | $1,444 | $1,306 | $1,772 | $1,603 |
| 6 | $875 | $875 | $963 | $963 | $1,181 | $1,181 |
| 7 | $750 | $750 | $825 | $825 | $1,013 | $1,013 |
| 8 | $375 | $375 | $413 | $413 | $506 | $506 |
| 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 | $3,000 | $2,750 | $3,300 | $3,025 | $4,050 | $3,713 |
| 2 | $2,750 | $2,500 | $3,025 | $2,750 | $3,713 | $3,375 |
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 $3,500 starting
on Monday, October 4, 2004.
| One Long Tier 1 NG | (1 * $6,000) | = | $6,000 |
| One Short Tier 6 NG | (1 * $3,500) | = | $3,500 |
| Net Scan Risk | ($6,000-$3,500) | = | $2,500 |
| Spread Rate | (1* $ 1000) | = + | $1,000 |
| Total Requirement | = | $3,500 |
| Summary | |
| Clearing Member (Maintenance Margin): | $3,000 |
| Member Customer (Initial Margin): | $3,850 |
| Non-Member Customer (Initial Margin): | $4,725 |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or William Doherty at (212) 299-2925. This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures and Henry Hub Swap Futures contracts.