Notice to Members
Notice No. 460
08/29/2006
Margin Rate and Tier Changes for Natural Gas Futures, Henry Hub Swap Futures, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Natural Gas miNY(tm) Futures, Henry Hub Swing Swap Futures, and Henry Hub Penultimate Swap Contracts
EFFECTIVE DATE: Wednesday, August 30, 2006 (close of business)

FUTURES CONTRACTS:
Natural Gas Futures, Henry Hub Swap Futures, Natural Gas (Penultimate) Financial Futures, Natural Gas (Last Day) Financial Futures, NYMEX miNY™ Natural Gas Futures, Henry Hub Swing Swap Futures, and Henry Hub Penultimate Swap Futures Contracts
CONTRACT MONTHS: All Months

NG/NN/HP/HH/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 – 6th Nearby
4th – 7th Nearby
5
7th  Nearby
8th – 9th  Nearby
6
8th – 19th Nearby
10th – 20th Nearby
7
20th – 42nd Nearby
21st – 43rd Nearby
8
43rd – 57th Nearby
44th – 57th Nearby
9
Greater than 58th Nearby
Greater than 58th Nearby

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
$10,000
$10,000
$11,000
$11,000
$13,500
$13,500
2
$10,500
$10,500
$11,550
$11,550
$14,175
$14,175
3
$11,000
$10,500
$12,100
$11,550
$14,850
$14,175
4
$11,500
$11,000
$12,650
$12,100
$15,525
$14,850
5
$6,500
$6,500
$7,150
$7,150
$8,775
$8,775
6
$6,000
$6,000
$6,600
$6,600
$8,100
$8,100
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
$2,500
$2,750
$2,750
$3,375
$3,375
2
$2,625
$2,625
$2,888
$2,888
$3,544
$3,544
3
$2,750
$2,625
$3,025
$2,888
$3,713
$3,544
4
$2,875
$2,750
$3,163
$3,025
$3,881
$3,713
5
$1,625
$1,625
$1,788
$1,788
$2,194
$2,194
6
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
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
$10,000
$11,000
$11,000
$13,500
$13,500
2
$10,500
$10,500
$11,550
$11,550
$14,175
$14,175
3
$11,000
$10,500
$12,100
$11,550
$14,850
$14,175
4
$11,500
$11,000
$12,650
$12,100
$15,525
$14,850
5
$6,500
$6,500
$7,150
$7,150
$8,775
$8,775
6
$6,000
$6,000
$6,600
$6,600
$8,100
$8,100
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
$2,500
$2,750
$2,750
$3,375
$3,375
2
$2,625
$2,625
$2,888
$2,888
$3,544
$3,544
3
$2,750
$2,625
$3,025
$2,888
$3,713
$3,544
NY
MEX 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
$2,500
$2,750
$2,750
$3,375
$3,375

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
$2,500
$2,750
$2,750
$3,375
$3,375
2
$2,625
$2,625
$2,888
$2,888
$3,544
$3,544
3
$2,750
$2,625
$3,025
$2,888
$3,713
$3,544
4
$2,875
$2,750
$3,163
$3,025
$3,881
$3,713
5
$1,625
$1,625
$1,788
$1,788
$2,194
$2,194
6
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
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 30, 2006.

One Long Tier 1 NG (1 * $10,000) = $10,000
One Short Tier 5 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 for Natural Gas Futures, Henry Hub Swap Futures, Natural Gas (Penultimate) Financial Futures, Natural Gas (Last Day) Financial Futures, NYMEX miNY™ Natural Gas Futures, Henry Hub Swing Swap Futures, and Henry Hub Penultimate Swap Futures Contracts.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com