11/08/2005
FUTURES CONTRACTS: San Juan Basis Swap (NJ), NGPL Mid-Continent Basis Swap (NL)
CONTRACT MONTHS: All Months
NYMEX Division Scan and Intra-Commodity Spread Tiers for San Juan(NJ) and NGPL Mid-Continent(NL) Natural Gas Basis Swaps
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby and Greater |
3 |
3rd - 6th Nearby |
N/A |
4 |
7th - 12th Nearby |
N/A |
5 |
13th And Greater |
N/A |
Natural Gas Basis Financial |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
Spot Assessment |
||||
| San Juan Basis Swap (NJ) | New |
Old |
New |
Old |
New |
Old |
New |
Old |
| Tier 1: 1st Nearby | $800 |
$1,100 |
$880 |
$1,210 |
$1,080 |
$1,485 |
$250 |
$250 |
| Tier 2: 2nd Nearby | $775 |
$475 |
$853 |
$523 |
$1,046 |
$641 |
||
| Tier 3: 3rd - 6th Nearby | $800 |
N/A |
$880 |
N/A |
$1,080 |
N/A |
||
| Tier 4: 7th - 12th Nearby | $425 |
N/A |
$468 |
N/A |
$574 |
N/A |
||
| Tier 5: 13th And Greater | $200 |
N/A |
$220 |
N/A |
$270 |
N/A |
||
| NGPL Mid-Continent Basis Swap (NL) | ||||||||
| Tier 1: 1st Nearby | $925 |
$1,200 |
$1,018 |
$1,320 |
$1,249 |
$1,620 |
$250 |
$250 |
| Tier 2: 2nd Nearby | $475 |
$500 |
$523 |
$550 |
$641 |
$675 |
||
| Tier 3: 3rd - 6th Nearby | $675 |
N/A |
$743 |
N/A |
$911 |
N/A |
||
| Tier 4: 7th - 12th Nearby | $275 |
N/A |
$303 |
N/A |
$371 |
N/A |
||
| Tier 5: 13th And Greater | $175 |
N/A |
$193 |
N/A |
$236 |
N/A |
||
Natural Gas Basis Financial |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||||
| San Juan Basis Swap (NJ) | New |
Old |
New |
Old |
New |
Old |
||
| Tier 1: 1st Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 2: 2nd Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 3: 3rd - 6th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 4: 7th - 12th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 5: 13th And Greater | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| NGPL Mid-Continent Basis Swap (NL) | ||||||||
| Tier 1: 1st Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 2: 2nd Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 3: 3rd - 6th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 4: 7th - 12th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
| Tier 5: 13th And Greater | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
||
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 NJ leg in Tier 1 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $400 starting on Wednesday, November 9, 2005.
| One Long Tier 1 NJ | (1 * $800) | = | $800 |
| One Short Tier 4 NJ | (1 * $425) | = | $425 |
| Net Scan Risk | = | $375 | |
| Spread Rate | (1* $ 25) | = + | $25 |
| Total Requirement | = | $400 |
| Summary | |
| Clearing Member (Maintenance Margin): | $400 |
| Member Customer (Initial Margin): | $440 |
| Non-Member Customer (Initial Margin): | $540 |
This notice supersedes all previous notices regarding margin rates and tiers for the Natural Gas Basis swap contracts listed above.