10/22/2004
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts
CONTRACT MONTHS: Revised Outright Margin for Tier 1, 2, 3, 4, 5 and 6
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 |
$7,500 |
$6,500 |
$8,250 |
$7,150 |
$10,125 |
$8,775 |
2 |
$7,500 |
$6,000 |
$8,250 |
$6,600 |
$10,125 |
$8,100 |
3 |
$7,250 |
$6,000 |
$7,975 |
$6,600 |
$9,788 |
$8,100 |
4 |
$7,000 |
$6,000 |
$7,700 |
$6,600 |
$9,450 |
$8,100 |
5 |
$6,500 |
$5,500 |
$7,150 |
$6,050 |
$8,775 |
$7,425 |
6 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$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 |
$1,875 |
$1,625 |
$2,063 |
$1,788 |
$2,531 |
$2,194 |
2 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
3 |
$1,813 |
$1,500 |
$1,994 |
$1,650 |
$2,447 |
$2,025 |
4 |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
5 |
$1,625 |
$1,375 |
$1,788 |
$1,513 |
$2,194 |
$1,856 |
6 |
$1,000 |
$875 |
$1,100 |
$963 |
$1,350 |
$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 |
$3,750 |
$3,250 |
$4,125 |
$3,575 |
$5,063 |
$4,388 |
2 |
$3,750 |
$3,000 |
$4,125 |
$3,300 |
$5,063 |
$4,050 |
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 22, 2004.
| One Long Tier 1 NG | (1 * $7,500) | = | $7,500 |
| One Short Tier 5 NG | (1 * $6,500) | = | $6,500 |
| Net Scan Risk | ($7,500-$6,500) | = | $1,000 |
| Spread Rate | (1* $ 1000) | = + | $1,000 |
| Total Requirement | = | $2,000 |
| Summary | |
| Clearing Member (Maintenance Margin): | $2,000 |
| Member Customer (Initial Margin): | $2,200 |
| Non-Member Customer (Initial Margin): | $2,700 |
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 for Natural Gas Futures, Henry Hub Swap Futures and Natural Gas e-miNY Futures contracts.