05/11/2005
FUTURES CONTRACTS: Natural Gas, Henry Hub Penultimate Swap and Henry Hub Swing Swap
CONTRACT MONTHS: All Months
NP 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 - 6th Nearby |
5 |
7th - 10th Nearby |
7th Nearby |
6 |
11th - 20th Nearby |
8th Nearby |
7 |
21st - 31st Nearby |
9th - 14th Nearby |
8 |
32nd - 43rd Nearby |
15th - 29th Nearby |
9 |
Greater than 43rd Nearby |
Greater than 29th Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,125 |
$1,625 |
$1,238 |
$1,788 |
$1,519 |
$2,194 |
2 |
$1,125 |
$1,500 |
$1,238 |
$1,650 |
$1,519 |
$2,025 |
3 |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
4 |
$1,000 |
$1,500 |
$1,100 |
$1,650 |
$1,350 |
$2,025 |
5 |
$1,250 |
$1,375 |
$1,375 |
$1,513 |
$1,688 |
$1,856 |
6 |
$750 |
$875 |
$825 |
$963 |
$1,013 |
$1,181 |
7 |
$688 |
$750 |
$756 |
$825 |
$928 |
$1,013 |
8 |
$625 |
$375 |
$688 |
$413 |
$844 |
$506 |
9 |
$625 |
$250 |
$688 |
$275 |
$844 |
$338 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,125 |
$1,875 |
$1,238 |
$2,063 |
$1,519 |
$2,531 |
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 NP leg in Tier 1 and another in Tier 8 will have its requirement (at the clearing member rates) calculated at $ 750 starting on Thursday, May 12, 2005.
| One Long Tier 1 NG | (1 * $1,125) | = | $1,125 | |
| One Short Tier 8 NG | (1 * $ 625) | = | - |
$625 |
| Net Scan Risk | ($1,125 -$ 625) | = | $500 | |
| Spread Rate | (1* $ 250) | = | $250 | |
| Total Requirement | = | $750 |
| Summary | |
| Clearing Member (Maintenance Margin): | $750 |
| Member Customer (Initial Margin): | $825 |
| Non-Member Customer (Initial Margin): | $1,013 |