03/03/2004
| Effective Date: | Thursday, March 4, 2004 (close of business) |
| Futures Contracts: | Natural Gas, Henry Hub Swap, and e-miNYsm Natural Gas Futures Contracts |
| Contract Months: | Tier 1 Only |
NYMEX Division Outright Tier 1 Margins on NG, NN, and QG
Contract |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
NG |
$4,000 |
$5,500 |
$4,400 |
$6,050 |
$5,400 |
$7,425 |
NN |
$1,000 |
$1,375 |
$1,100 |
$1,513 |
$1,350 |
$1,856 |
QG |
$2,000 |
$2,750 |
$2,200 |
$3,025 |
$2,700 |
$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 2 will have its requirement (at the clearing member rates) calculated at $1,500 starting on Thursday, March 4, 2003.
| One Long Tier 1 NG | (1 * $4,000) | = | $4,000 | |
| One Short Tier 2 NG | (1 * $3,500) | = | - |
$3,500 |
| Net Scan Risk | ($4,000-$3,500) | = | $500 | |
| Spread Rate | (1* $1000) | = | + |
$1,000 |
| Total Requirement | $1,500 |
Summary
| Clearing Member (Maintenance Margin): | $1,500 |
| Member Customer (Initial Margin): | $1,650 |
| Non-Member Customer (Initial Margin): | $2,025 |
This notice supersedes all previous notices regarding margin rates for Natural Gas Futures, Henry Hub Swap, and Natural Gas e-miNYsm futures contracts.