10/15/2004
EFFECTIVE DATE: Monday, October 18, 2004 (close of business)
FUTURES CONTRACTS: Henry Hub Penultimate Swap Contracts
CONTRACT MONTHS: All Natural Gas Contract Months
NOTE: The code NP was used in the past for the NYMEX Permian Basin Natural
Gas Futures contract which has been delisted. (See Notice to Members # 04-380)
NYMEX Division Outright (Scan) Margins on Henry Hub Penultimate Swap
(NP)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
1 (1st Nearby) |
$1,625 |
$1,788 |
$2,194 |
2 (2nd Nearby) |
$1,500 |
$1,650 |
$2,025 |
3 (3rd Nearby) |
$1,500 |
$1,650 |
$2,025 |
4 (4th Nearby) |
$1,500 |
$1,650 |
$2,025 |
5 (5th Nearby) |
$1,375 |
$1,513 |
$1,856 |
6 (6th Nearby) |
$875 |
$963 |
$1,181 |
7 (7th – 14th Nearby) |
$750 |
$825 |
$1,013 |
8 (15th – 29th Nearby) |
$375 |
$413 |
$506 |
9 (Greater than 29th Nearby) |
$250 |
$275 |
$338 |
NYMEX Division Intra-Commodity Spread Margins on Henry Hub Penultimate
Swap (NP)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Initial Margin |
New |
New |
New |
|
1 (1st Nearby) |
$250 |
$275 |
$338 |
2 (2nd Nearby) |
$188 |
$206 |
$253 |
3 (3rd Nearby) |
$188 |
$206 |
$253 |
4 (4th Nearby) |
$188 |
$206 |
$253 |
5 (5th Nearby) |
$125 |
$138 |
$169 |
6 (6th Nearby) |
$125 |
$138 |
$169 |
7 (7th – 14th Nearby) |
$125 |
$138 |
$169 |
8 (15th – 29th Nearby) |
$125 |
$138 |
$169 |
9 (Greater than 29th Nearby) |
$63 |
$69 |
$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 NP leg in Tier 1 and another in Tier 7 will have its requirement (at the clearing member rates) calculated at $1,125 starting on Monday, October 18, 2004.
| One Long Tier 1 NP | (1 * $1,625) | = $1,625 |
| One Short Tier 7 NP | (1 * $ 750) | = $ 750 |
| Net Scan Risk | ($1,625-$750) | = $ 875 |
| Spread Rate | (1* $250) | = + $ 250 |
| Total Requirement | = $1,125 |
| Summary | |
| Clearing Member (Maintenance Margin): | $1,125 |
| Member Customer (Initial Margin): | $1,238 |
| Non-Member Customer (Initial Margin): | $1,519 |
Should you have any questions regarding these changes, please contact Arthur McCoy at (212) 299-2928 or William Doherty at (212) 299-2925.