12/28/2005
FUTURES CONTRACTS: Natural Gas Futures, Henry Hub Swaps, NYMEX miNY™ Natural Gas Futures, Henry Hub Swing Swap Futures, 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 - 14th Nearby |
4th Nearby |
5 |
15th Nearby |
5th - 9th Nearby |
6 |
16th - 27th Nearby |
10th - 15th Nearby |
7 |
28th - 47th Nearby |
16th Nearby |
8 |
48th - 62nd Nearby |
17th - 48th Nearby |
9 |
Greater than the 62nd Nearby |
Greater than the 48th Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$14,000 |
$15,500 |
$15,400 |
$17,050 |
$18,900 |
$20,925 |
2 |
$14,000 |
$16,000 |
$15,400 |
$17,600 |
$18,900 |
$21,600 |
3 |
$8,000 |
$15,500 |
$8,800 |
$17,050 |
$10,800 |
$20,925 |
4 |
$7,000 |
$8,000 |
$7,700 |
$8,800 |
$9,450 |
$10,800 |
5 |
$4,500 |
$7,000 |
$4,950 |
$7,700 |
$6,075 |
$9,450 |
6 |
$3,500 |
$6,750 |
$3,850 |
$7,425 |
$4,725 |
$9,113 |
7 |
$3,000 |
$4,500 |
$3,300 |
$4,950 |
$4,050 |
$6,075 |
8 |
$2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
9 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial
Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,500 |
$3,875 |
$3,850 |
$4,263 |
$4,725 |
$5,231 |
2 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
3 |
$2,000 |
$3,875 |
$2,200 |
$4,263 |
$2,700 |
$5,231 |
4 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
5 |
$1,125 |
$1,750 |
$1,238 |
$1,925 |
$1,519 |
$2,363 |
6 |
$875 |
$1,688 |
$963 |
$1,856 |
$1,181 |
$2,278 |
7 |
$750 |
$1,125 |
$825 |
$1,238 |
$1,013 |
$1,519 |
8 |
$625 |
$750 |
$688 |
$825 |
$844 |
$1,013 |
9 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
NYMEX Division Outright (Scan) Margin on NYMEX miNY™ Natural Gas Futures (QG)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,500 |
$3,875 |
$3,850 |
$4,263 |
$4,725 |
$5,231 |
2 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
NYMEX Division Outright (Scan) Margin for 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 |
$3,500 |
$3,875 |
$3,850 |
$4,263 |
$4,725 |
$5,231 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$3,500 |
$3,875 |
$3,850 |
$4,263 |
$4,725 |
$5,231 |
2 |
$3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
3 |
$2,000 |
$3,875 |
$2,200 |
$4,263 |
$2,700 |
$5,231 |
4 |
$1,750 |
$2,000 |
$1,925 |
$2,200 |
$2,363 |
$2,700 |
5 |
$1,125 |
$1,750 |
$1,238 |
$1,925 |
$1,519 |
$2,363 |
6 |
$875 |
$1,688 |
$963 |
$1,856 |
$1,181 |
$2,278 |
7 |
$750 |
$1,125 |
$825 |
$1,238 |
$1,013 |
$1,519 |
8 |
$625 |
$750 |
$688 |
$825 |
$844 |
$1,013 |
9 |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
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 $10,500 starting on Friday, December 30, 2005.
| One Long Tier 1 NG | (1 * $14,000) | = | $14,000 |
| One Short Tier 5 NG | (1 * $ 4,500) | = | $4,500 |
| Net Scan Risk | ($14,000-$4,500) | = | $9,500 |
| Spread Rate | (1* $ 1000) | = + | $1,000 |
| Total Requirement | = | $10,500 |
| Summary | |
| Clearing Member (Maintenance Margin): | $10,500 |
| Member Customer (Initial Margin): | $11,550 |
| Non-Member Customer (Initial Margin): | $14,175 |
This notice supersedes all previous notices regarding margin rates and tiers for Natural Gas, Henry Hub Swaps, NYMEX miNY™ Natural Gas, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts.