08/11/2005
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps, e-miNY, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts
CONTRACT MONTHS: All Months
NG/NN/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 - 7th Nearby |
4th - 6th Nearby |
5 |
8th - 19th Nearby |
7th - 10thNearby |
6 |
20th - 31st Nearby |
11th - 20th Nearby |
7 |
32nd - 52nd Nearby |
21st - 31st Nearby |
8 |
53rd - 64th Nearby |
32nd - 43rd Nearby |
9 |
Greater than 64th Nearby |
Greater than 43rd Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$5,500 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
2 |
$5,750 |
$5,000 |
$6,325 |
$5,500 |
$7,763 |
$6,750 |
3 |
$6,000 |
$5,000 |
$6,600 |
$5,500 |
$8,100 |
$6,750 |
4 |
$6,250 |
$5,000 |
$6,875 |
$5,500 |
$8,438 |
$6,750 |
5 |
$4,000 |
$5,000 |
$4,400 |
$5,500 |
$5,400 |
$6,750 |
6 |
$3,250 |
$3,000 |
$3,575 |
$3,300 |
$4,388 |
$4,050 |
7 |
$3,000 |
$2,750 |
$3,300 |
$3,025 |
$4,050 |
$3,713 |
8 |
$2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
9 |
$1,500 |
$2,500 |
$1,650 |
$2,750 |
$2,025 |
$3,375 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,375 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$1,688 |
2 |
$1,438 |
$1,250 |
$1,581 |
$1,375 |
$1,941 |
$1,688 |
3 |
$1,500 |
$1,250 |
$1,650 |
$1,375 |
$2,025 |
$1,688 |
4 |
$1,563 |
$1,250 |
$1,719 |
$1,375 |
$2,109 |
$1,688 |
5 |
$1,000 |
$1,250 |
$1,100 |
$1,375 |
$1,350 |
$1,688 |
6 |
$813 |
$750 |
$894 |
$825 |
$1,097 |
$1,013 |
7 |
$750 |
$688 |
$825 |
$756 |
$1,013 |
$928 |
8 |
$500 |
$625 |
$550 |
$688 |
$675 |
$844 |
9 |
$375 |
$625 |
$413 |
$688 |
$506 |
$844 |
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 |
$2,750 |
$2,500 |
$3,025 |
$2,750 |
$3,713 |
$3,375 |
2 |
$2,875 |
$2,500 |
$3,163 |
$2,750 |
$3,881 |
$3,375 |
NYMEX Division Outright (Scan) Margin on Henry Hub Swing Swap Futures (SN)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,375 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$1,688 |
NYMEX Division Outright (Scan) Margin on Henry Hub Penultimate Swap Futures (NP)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,375 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$1,688 |
2 |
$1,438 |
$1,250 |
$1,581 |
$1,375 |
$1,941 |
$1,688 |
3 |
$1,500 |
$1,250 |
$1,650 |
$1,375 |
$2,025 |
$1,688 |
4 |
$1,563 |
$1,250 |
$1,719 |
$1,375 |
$2,109 |
$1,688 |
5 |
$1,000 |
$1,250 |
$1,100 |
$1,375 |
$1,350 |
$1,688 |
6 |
$813 |
$750 |
$894 |
$825 |
$1,097 |
$1,013 |
7 |
$750 |
$688 |
$825 |
$756 |
$1,013 |
$928 |
8 |
$500 |
$625 |
$550 |
$688 |
$675 |
$844 |
9 |
$375 |
$625 |
$413 |
$688 |
$506 |
$844 |
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 $2,500 starting on Friday, August 11, 2005.
| One Long Tier 1 NG | (1 * $5,500) | = | $5,500 |
| One Short Tier 5 NG | (1 * $4,000) | = | $4,000 |
| Net Scan Risk | ($5,500-$4,000) | = | $1,500 |
| Spread Rate | (1* $ 1000) | = + | $1,000 |
| Total Requirement | = | $2,500 |
| Summary | |
| Clearing Member (Maintenance Margin): | $2,500 |
| Member Customer (Initial Margin): | $2,750 |
| Non-Member Customer (Initial Margin): | $3,375 |
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas, Henry Hub Swaps, e-miNY, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts.