02/03/2004
| Effective Date: | Wednesday, February 4, 2004 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNYsm Natural Gas Contracts |
| Contract Months: | All Natural Gas Contract Months |
NYMEX Division Outright 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 |
$5,500 |
$8,500 |
$6,050 |
$9,350 |
$7,425 |
$11,475 |
2 |
$3,500 |
$7,500 |
$3,850 |
$8,250 |
$4,725 |
$10,125 |
3 |
$3,000 |
$5,000 |
$3,300 |
$5,500 |
$4,050 |
$6,750 |
4 |
$3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
5 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
6 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
NYMEX Division Outright 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 |
$1,375 |
$2,125 |
$1,513 |
$2,338 |
$1,856 |
$2,869 |
2 |
$875 |
$1,875 |
$963 |
$2,063 |
$1,181 |
$2,531 |
3 |
$750 |
$1,250 |
$825 |
$1,375 |
$1,013 |
$1,688 |
4 |
$750 |
$875 |
$825 |
$963 |
$1,013 |
$1,181 |
5 |
$750 |
$625 |
$825 |
$688 |
$1,013 |
$844 |
6 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
NYMEX Division Outright Margins on Natural Gas e-miNYsm Futures (QG)
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,750 |
$4,250 |
$3,025 |
$4,675 |
$3,713 |
$5,738 |
2 |
$1,750 |
$3,750 |
$1,925 |
$4,125 |
$2,363 |
$5,063 |
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 2 will have its requirement (at the clearing member rates) calculated at $3,000 starting on Wednesday, February 4, 2004.
| One Long Tier 1 NG | (1 * $5,500) | = |
$5,500 | |
| One Short Tier 2 NG | (1 * $3,500) | = |
- |
$3,500 |
| Net Scan Risk | ($5,500-$3,500) | = |
$2,000 | |
| Spread Rate | (1* $1,000) | = |
+ |
$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 |
This notice supersedes all previous notices regarding margin rate for Natural Gas Futures, Henry Hub Swap, and Natural Gas e-miNYsm Futures contracts.