05/11/2005
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps and e-miNY Natural Gas Contracts
CONTRACT MONTHS: All Months
NG/NN Intra-Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd Nearby |
3rd Nearby |
4 |
4th - 6th Nearby |
4th Nearby |
5 |
7th - 10th Nearby |
5th - 11th Nearby |
6 |
11th - 20thNearby |
12th - 15th Nearby |
7 |
21st - 31st Nearby |
16th - 27th Nearby |
8 |
32nd - 43rd Nearby |
28th - 48th Nearby |
9 |
Greater than 43rd Nearby |
Greater than 48th Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$4,500 |
$5,500 |
$4,950 |
$6,050 |
$6,075 |
$7,425 |
2 |
$4,500 |
$5,500 |
$4,950 |
$6,050 |
$6,075 |
$7,425 |
3 |
$4,000 |
$4,750 |
$4,400 |
$5,225 |
$5,400 |
$6,413 |
4 |
$4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
5 |
$5,000 |
$4,250 |
$5,500 |
$4,675 |
$6,750 |
$5,738 |
6 |
$3,000 |
$4,000 |
$3,300 |
$4,400 |
$4,050 |
$5,400 |
7 |
$2,750 |
$2,000 |
$3,025 |
$2,200 |
$3,713 |
$2,700 |
8 |
$2,500 |
$1,500 |
$2,750 |
$1,650 |
$3,375 |
$2,025 |
9 |
$2,500 |
$1,250 |
$2,750 |
$1,375 |
$3,375 |
$1,688 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,125 |
$1,375 |
$1,238 |
$1,513 |
$1,519 |
$1,856 |
2 |
$1,125 |
$1,375 |
$1,238 |
$1,513 |
$1,519 |
$1,856 |
3 |
$1,000 |
$1,188 |
$1,100 |
$1,306 |
$1,350 |
$1,603 |
4 |
$1,000 |
$1,125 |
$1,100 |
$1,238 |
$1,350 |
$1,519 |
5 |
$1,250 |
$1,063 |
$1,375 |
$1,169 |
$1,688 |
$1,434 |
6 |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
7 |
$688 |
$500 |
$756 |
$550 |
$928 |
$675 |
8 |
$625 |
$375 |
$688 |
$413 |
$844 |
$506 |
9 |
$625 |
$313 |
$688 |
$344 |
$844 |
$422 |
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 |
$2,250 |
$2,750 |
$2,475 |
$3,025 |
$3,038 |
$3,713 |
2 |
$2,250 |
$2,750 |
$2,475 |
$3,025 |
$3,038 |
$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 8 will have its requirement (at the clearing member rates) calculated at $3,000 starting on Thursday, May 12, 2005.
| One Long Tier 1 NG | (1 * $4,500) | = | $4,500 |
| One Short Tier 8 NG | (1 * $2,500) | = | $2,500 |
| Net Scan Risk | ($4,500-$2,500) | = | $2,000 |
| Spread Rate | (1* $ 1000) | = + | $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 |