01/06/2005
| EFFECTIVE DATE: | Friday, January 7, 2005 (close of business) |
| FUTURES CONTRACTS: | Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts |
| CONTRACT MONTHS: | Revised Outright Margin for Tier 1, 2 and 3 |
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 |
$7,000 |
$8,500 |
$7,700 |
$9,350 |
$9,450 |
$11,475 |
2 |
$7,000 |
$8,500 |
$7,700 |
$9,350 |
$9,450 |
$11,475 |
3 |
$6,000 |
$7,500 |
$6,600 |
$8,250 |
$8,100 |
$10,125 |
4 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
5 |
$5,000 |
$5,000 |
$5,500 |
$5,500 |
$6,750 |
$6,750 |
6 |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
7 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
8 |
$2,000 |
$2,000 |
$2,200 |
$2,000 |
$2,700 |
$2,700 |
9 |
$1,750 |
$1,750 |
$1,925 |
$1,750 |
$2,363 |
$2,363 |
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 |
$1,750 |
$2,125 |
$1,925 |
$2,338 |
$2,363 |
$2,869 |
2 |
$1,750 |
$2,125 |
$1,925 |
$2,338 |
$2,363 |
$2,869 |
3 |
$1,500 |
$1,875 |
$1,650 |
$2,063 |
$2,025 |
$2,531 |
4 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
5 |
$1,250 |
$1,250 |
$1,375 |
$1,375 |
$1,688 |
$1,688 |
6 |
$1,125 |
$1,125 |
$1,238 |
$1,238 |
$1,519 |
$1,519 |
7 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
8 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
9 |
$438 |
$438 |
$481 |
$481 |
$591 |
$591 |
NYMEX Division Outright (Scan) Margin 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 |
$3,500 |
$4,250 |
$3,850 |
$4,675 |
$4,725 |
$5,738 |
2 |
$3,500 |
$4,250 |
$3,850 |
$4,675 |
$4,725 |
$5,738 |
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 $3,000 starting on Friday, January 7, 2005.
| One Long Tier 1 NG | (1 * $7,000) | = | $7,000 | |
| One Short Tier 5 NG | (1 * $5,000) | = | $5,000 | |
| Net Scan Risk | ($7,000-$5,000) | = | $2,000 | |
| Spread Rate | (1* $ 1000) | = | + | $1,000 |
| Total Requirement | = | $3,000 |
| 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 changes for Natural Gas, Henry Hub Swap and e-miNY Futures contracts.