09/22/2005
EFFECTIVE DATE: Friday, September 23, 2005(close of business)
FUTURES CONTRACTS: Natural Gas, Henry Hub Swaps, e-miNY, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts
CONTRACT MONTHS: Tier 1,2 ,3 and 4
Note: The revised margins are in bold.
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 |
$16,000 |
$13,000 |
$17,600 |
$14,300 |
$21,600 |
$17,550 |
2 |
$15,000 |
$12,500 |
$16,500 |
$13,750 |
$20,250 |
$16,875 |
3 |
$14,500 |
$12,500 |
$15,950 |
$13,750 |
$19,575 |
$16,875 |
4 |
$14,000 |
$12,000 |
$15,400 |
$13,200 |
$18,900 |
$16,200 |
5 |
$5,750 |
$5,750 |
$6,325 |
$6,325 |
$7,763 |
$7,763 |
6 |
$3,250 |
$3,250 |
$3,575 |
$3,575 |
$4,388 |
$4,388 |
7 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
8 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
9 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
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 |
$4,000 |
$3,250 |
$4,400 |
$3,575 |
$5,400 |
$4,388 |
2 |
$3,750 |
$3,125 |
$4,125 |
$3,438 |
$5,063 |
$4,219 |
3 |
$3,625 |
$3,125 |
$3,988 |
$3,438 |
$4,894 |
$4,219 |
4 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
5 |
$1,438 |
$1,438 |
$1,581 |
$1,581 |
$1,941 |
$1,941 |
6 |
$813 |
$813 |
$894 |
$894 |
$1,097 |
$1,097 |
7 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
8 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
9 |
$375 |
$375 |
$413 |
$413 |
$506 |
$506 |
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 |
$8,000 |
$6,500 |
$8,800 |
$7,150 |
$10,800 |
$8,775 |
2 |
$7,500 |
$6,250 |
$8,250 |
$6,875 |
$10,125 |
$8,438 |
NYMEX Division Outright (Scan) Margin on Henry Hub SwingSwap Futures (SN) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$4,000 |
$3,250 |
$4,400 |
$3,575 |
$5,400 |
$4,388 |
NYMEX Division Outright (Scan) Margins on Henry Hub Penultimate Swap (NP) |
||||||
Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$4,000 |
$3,250 |
$4,400 |
$3,575 |
$5,400 |
$4,388 |
2 |
$3,750 |
$3,125 |
$4,125 |
$3,438 |
$5,063 |
$4,219 |
3 |
$3,625 |
$3,125 |
$3,988 |
$3,438 |
$4,894 |
$4,219 |
4 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
5 |
$1,438 |
$1,438 |
$1,581 |
$1,581 |
$1,941 |
$1,941 |
6 |
$813 |
$813 |
$894 |
$894 |
$1,097 |
$1,097 |
7 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
8 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
9 |
$375 |
$375 |
$413 |
$413 |
$506 |
$506 |
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 $11,250 starting on Friday, September 23, 2005.
One Long Tier 1 NG (1 * $16,000) = $16,000 One Short Tier 5 NG (1 * $ 5,750) = $ 5,750
Net Scan Risk ($16,000-$5,750) = $10,250
Spread Rate (1* $ 1000) = + $ 1,000
Total Requirement = $11,250
Summary
Clearing Member (Maintenance Margin): $ 11,250
Member Customer (Initial Margin): $ 12,375
Non-Member Customer (Initial Margin): $ 15,188
This notice supersedes all previous notices regarding margin rates and for Natural Gas, Henry Hub Swaps, e-miNY, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts.