02/18/2005
FUTURES CONTRACTS:
ANR Louisiana Basis Futures Contract (ND)
Kern River, Wyoming Basis Futures Contract (NV)
Questar Basis Futures Contract (TA)
Tennessee 500 Leg Basis Futures Contract (NM)
Tennessee Zone 0 Basis Futures Contract (NQ)
Texas Gas, Zone SL Basis Futures Contract (TB)
Trunkline, LA Basis Futures Contract (NU)
CONTRACT MONTHS: All Months
NYMEX Division Outright (Scan) Margins on ANR Louisiana (ND), Tennessee
500 Leg (NM), Trunkline, LA (NU), And Texas Gas, Zone SL (TB) Basis Futures
Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial
Margin |
New |
New |
New |
|
| Tier 1 (1st Nearby) | $50 |
$55 |
$68 |
| Tier 2 (Greater than 2nd Nearby) | $25 |
$28 |
$34 |
NYMEX Division Outright (Scan) Margins on Tennessee Zone 0 (NQ) Basis Futures Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial
Margin |
New |
New |
New |
|
Tier 1 (1st Nearby) |
$150 |
$165 |
$203 |
Tier 2 (Greater than 2nd Nearby) |
$75 |
$83 |
$101 |
NYMEX Division Outright (Scan) Margins on Kern River, Wyoming (NV), And Questar (TA) Basis Futures Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial
Margin |
New |
New |
New |
|
Tier 1 (1st Nearby) |
$500 |
$550 |
$675 |
Tier 2 (2nd Nearby) |
$250 |
$275 |
$338 |
Tier 3 (3rd - 4th Nearby) |
$225 |
$248 |
$304 |
Tier 4 (5th -11th Nearby) |
$125 |
$138 |
$169 |
Tier 5 (Greater than 11th Nearby) |
$75 |
$83 |
$101 |
NYMEX Division Intra-Commodity Spread Margin on ANR Louisiana (ND), Tennessee 500 Leg (NM), Trunkline, LA (NU), And Texas Gas, Zone SL (TB), Kern River, Wyoming (NV), And Questar (TA), Tennessee Zone 0 (NQ) Basis Futures Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial
Margin |
New |
New |
New |
|
All Months |
$25 |
$28 |
$34 |
NYMEX Division Spot Assessment Margin on ANR Louisiana (ND), Tennessee 500 Leg (NM), Trunkline, LA (NU), And Texas Gas, Zone SL (TB), Wyoming (NV), And Questar (TA), Tennessee Zone 0 (NQ) Basis Futures Contracts
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non–Member Customer Initial
Margin |
ND |
$100 |
$110 |
$135 |
NM |
$100 |
$110 |
$135 |
NU |
$100 |
$110 |
$135 |
TB |
$100 |
$110 |
$135 |
NV |
$500 |
$550 |
$675 |
TA |
$500 |
$550 |
$675 |
NQ |
$100 |
$110 |
$135 |
NYMEX Division Inter-Commodity Spread Credits For Kern River, Wyoming (NV), And Questar (TA) Basis Futures Contracts
Spread |
Priority |
Ratio |
% Credit |
NV:NR |
230 |
1:01 |
65 |
NV:CI |
231 |
1:01 |
65 |
TA:NR |
232 |
1:01 |
65 |
TA:CI |
233 |
1:01 |
65 |
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 NV leg in Tier 1 and another in Tier 5 will have its requirement (at the clearing member rates) calculated at $450 starting on Tuesday, February 22, 2004.
| One Long Tier 1 NV | (1 * $500) | = | $500 |
| One Short Tier 5 NV | (1 * $75) | = | $ 75 |
| Net Scan Risk | ($500-$75) | = | $425 |
| Spread Rate | (1* $ 25) | = + | $ 25 |
| Total Requirement | = | $450 |
| Summary | |
| Clearing Member (Maintenance Margin): | $450 |
| Member Customer (Initial Margin): | $495 |
| Non-Member Customer (Initial Margin): | $608 |