08/01/2006
Futures Contracts: Natural Gas, Henry Hub Swaps, NYMEX miNY™ Natural Gas, Henry Hub Swing Swaps, and Henry Hub Penultimate Swap Contracts
Contract Months: Tiers 1 through 6
Note: The revised margins are in bold
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$10,000 |
$8,500 |
$11,000 |
$9,350 |
$13,500 |
$11,475 |
2 |
$10,500 |
$9,000 |
$11,550 |
$9,900 |
$14,175 |
$12,150 |
3 |
$10,500 |
$9,000 |
$11,550 |
$9,900 |
$14,175 |
$12,150 |
4 |
$11,000 |
$10,000 |
$12,100 |
$11,000 |
$14,850 |
$13,500 |
5 |
$6,500 |
$6,000 |
$7,150 |
$6,600 |
$8,775 |
$8,100 |
6 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
9 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
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 |
$2,500 |
$2,125 |
$2,750 |
$2,338 |
$3,375 |
$2,869 |
2 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
3 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
4 |
$2,750 |
$2,500 |
$3,025 |
$2,750 |
$3,713 |
$3,375 |
5 |
$1,625 |
$1,500 |
$1,788 |
$1,650 |
$2,194 |
$2,025 |
6 |
$1,500 |
$1,375 |
$1,650 |
$1,513 |
$2,025 |
$1,856 |
7 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
8 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
9 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
NYMEX Division Outright (Scan) Margins on GLOBEX Natural Gas Penultimate
(HP) and Natural Gas Last Day (HH)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$10,000 |
$8,500 |
$11,000 |
$9,350 |
$13,500 |
$11,475 |
2 |
$10,500 |
$9,000 |
$11,550 |
$9,900 |
$14,175 |
$12,150 |
3 |
$10,500 |
$9,000 |
$11,550 |
$9,900 |
$14,175 |
$12,150 |
4 |
$11,000 |
$10,000 |
$12,100 |
$11,000 |
$14,850 |
$13,500 |
5 |
$6,500 |
$6,000 |
$7,150 |
$6,600 |
$8,775 |
$8,100 |
6 |
$6,000 |
$5,500 |
$6,600 |
$6,050 |
$8,100 |
$7,425 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
9 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on GLOBEX miNY Natural Gas (QG)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,500 |
$2,125 |
$2,750 |
$2,338 |
$3,375 |
$2,869 |
2 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
3 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
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 |
$2,500 |
$2,125 |
$2,750 |
$2,338 |
$3,375 |
$2,869 |
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 |
$2,500 |
$2,125 |
$2,750 |
$2,338 |
$3,375 |
$2,869 |
2 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
3 |
$2,625 |
$2,250 |
$2,888 |
$2,475 |
$3,544 |
$3,038 |
4 |
$2,750 |
$2,500 |
$3,025 |
$2,750 |
$3,713 |
$3,375 |
5 |
$1,625 |
$1,500 |
$1,788 |
$1,650 |
$2,194 |
$2,025 |
6 |
$1,500 |
$1,375 |
$1,650 |
$1,513 |
$2,025 |
$1,856 |
7 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
8 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
9 |
$625 |
$625 |
$688 |
$688 |
$844 |
$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 $ 4,500 starting on Wednesday, August 2, 2006.
| One Long Tier 1 NG | (1 * $10,000) | = | $10,000 |
| One Short Tier 2 NG | (1 * $6,500) | = | $6,500 |
| Net Scan Risk | ($10,000-$6,500) | = | $3,500 |
| Spread Rate | (1* $ 1,000) | = + | $1,000 |
| Total Requirement | = | $4,500 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $4,500 | ||
| Member Customer (Initial Margin): | $4,950 | ||
| Non-Member Customer (Initial Margin): | $6,075 |
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.