04/20/2006
Futures Contracts: Natural Gas, Henry Hub Swaps, NYMEX miNY™ Natural Gas, Henry Hub Swing Swaps, and Henry Hub Penultimate Swap Contracts
Contract Months: All Months
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 |
$9,000 |
$6,500 |
$9,900 |
$7,150 |
$12,150 |
$8,775 |
2 |
$7,500 |
$6,000 |
$8,250 |
$6,600 |
$10,125 |
$8,100 |
3 |
$7,500 |
$6,000 |
$8,250 |
$6,600 |
$10,125 |
$8,100 |
4 |
$9,000 |
$7,500 |
$9,900 |
$8,250 |
$12,150 |
$10,125 |
5 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
6 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
7 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
8 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
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 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
2 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
3 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
4 |
$2,250 |
$1,875 |
$2,475 |
$2,063 |
$3,038 |
$2,531 |
5 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
6 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
7 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
8 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
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 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
2 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
NYMEX Division Outright (Scan) Margin on 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 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
NYMEX Division Outright (Scan) Margin on Henry Hub Penultimate Swap Futures (NP)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
2 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
3 |
$1,875 |
$1,500 |
$2,063 |
$1,650 |
$2,531 |
$2,025 |
4 |
$2,250 |
$1,875 |
$2,475 |
$2,063 |
$3,038 |
$2,531 |
5 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
6 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
7 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
8 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
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 2 will have its requirement (at the clearing member rates) calculated at $ 2,500 starting on Friday, April 21, 2006.
| One Long Tier 1 NG | (1 * $9,000) | = | $9,000 |
| One Short Tier 2 NG | (1 * $ 7,500) | = | $7,500 |
| Net Scan Risk | ($9,000-$7,500) | = | $1,500 |
| Spread Rate | (1* $ 1,000) | = + | $1,000 |
| Total Requirement | = | $2,500 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $2,500 | ||
| Member Customer (Initial Margin): | $2,750 | ||
| Non-Member Customer (Initial Margin): | $3,375 |
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.