10/07/2004
| EFFECTIVE DATE: | Friday, October 8, 2004 (close of business) |
| FUTURES CONTRACTS: | Natural Gas, Henry Hub Swaps and e-miNY |
| Natural Gas Contracts | |
| CONTRACT MONTHS: | Contract Month Realignment for Tier 7 and 8 Spread and Scan Tiers:, and Revised Outright Margin for Tier 1, 2, 3, 4 and 5 |
NG/NN Scan and Intra-Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd Nearby |
3rd Nearby |
4 |
4th Nearby |
4th Nearby |
5 |
5th Nearby |
5th Nearby |
6 |
6th Nearby |
6th Nearby |
7 |
7th – 14th Nearby |
7th – 13th Nearby |
8 |
15th – 29th Nearby |
14th – 29th Nearby |
9 |
Greater than 29th Nearby |
Greater than 29th Nearby |
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 |
$6,500 |
$6,000 |
$7,150 |
$6,600 |
$8,775 |
$8,100 |
2 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
3 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
4 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
5 |
$5,500 |
$5,250 |
$6,050 |
$5,775 |
$7,425 |
$7,088 |
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 |
$1,625 |
$1,500 |
$1,788 |
$1,650 |
$2,194 |
$2,025 |
2 |
$1,500 |
$1,375 |
$1,650 |
$1,513 |
$2,025 |
$1,856 |
3 |
$1,500 |
$1,375 |
$1,650 |
$1,513 |
$2,025 |
$1,856 |
4 |
$1,500 |
$1,375 |
$1,650 |
$1,513 |
$2,025 |
$1,856 |
5 |
$1,375 |
$1,313 |
$1,513 |
$1,444 |
$1,856 |
$1,772 |
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 |
$3,250 |
$3,000 |
$3,575 |
$3,300 |
$4,388 |
$4,050 |
2 |
$3,000 |
$2,750 |
$3,300 |
$3,025 |
$4,050 |
$3,713 |
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 5 will have its requirement (at the clearing member rates) calculated at $2,000 starting on Friday, October 8, 2004.
| One Long Tier 1 NG | (1 * $6,500) | = |
$6,500 | |
| One Short Tier 5 NG | (1 * $5,500) | = |
$5,500 | |
| Net Scan Risk | ($6,500-$5,500) | = |
$1,000 | |
| Spread Rate | (1* $ 1000) | = |
+ |
$1,000 |
| Total Requirement | = |
$2,000 |
| Clearing Member (Maintenance Margin): | $2,000 |
| Member Customer (Initial Margin): | $2,200 |
| Non-Member Customer (Initial Margin): | $2,700 |
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas Futures and Henry Hub Swap Futures contracts.