Notice to Members
Notice No. 275
05/26/2006
Margin Rate and Tier Changes for Natural Gas Futures, Henry Hub Swap Futures, Natural Gas miNY™ Futures, Henry Hub Swing Swap Futures, and Henry Hub Penultimate Swap Contracts
EFFECTIVE DATE: Tuesday, May 30, 2006 (close of business)

FUTURES CONTRACTS:
Natural Gas Futures (NG), Henry Hub Swap Futures (NN), Natural Gas miNY™ Futures (QG), Henry Hub Swing Swap Futures (SN), and Henry Hub Penultimate Swap (NP) 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 - 5th Nearby
3rd - 5th Nearby
4
6th - 9th Nearby
6th - 10th Nearby
5
10th  Nearby
11th - 12th  Nearby
6
11th – 23rd Nearby
13th – 23rd Nearby
7
24th- 48th Nearby
24th- 48th Nearby
8
49th –  60th  Nearby
49th –  60th  Nearby
9
Greater than  60th Nearby
Greater than  60th 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
1
$6,500
$7,500
$7,150
$8,250
$8,775
$10,125
2
$6,500
$7,000
$7,150
$7,700
$8,775
$9,450
3
$7,500
$7,500
$8,250
$8,250
$10,125
$10,125
4
$9,000
$9,000
$9,900
$9,900
$12,150
$12,150
5
$6,000
$5,500
$6,600
$6,050
$8,100
$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


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
1
$1,625
$1,875
$1,788
$2,063
$2,194
$2,531
2
$1,625
$1,750
$1,788
$1,925
$2,194
$2,363
3
$1,875
$1,875
$2,063
$2,063
$2,531
$2,531
4
$2,250
$2,250
$2,475
$2,475
$3,038
$3,038
5
$1,500
$1,375
$1,650
$1,513
$2,025
$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
1
$1,625
$1,875
$1,788
$2,063
$2,194
$2,531
2
$1,625
$1,750
$1,788
$1,925
$2,194
$2,363


NYMEX Division Outright (Scan) Margin for Henry Hub Swing Swap Futures (SN)
 
1 $1,625 $1,875 $1,788 $2,063 $2,194 $2,531

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
1
$1,625
$1,875
$1,788
$2,063
$2,194
$2,531
2
$1,625
$1,750
$1,788
$1,925
$2,194
$2,363
3
$1,875
$1,875
$2,063
$2,063
$2,531
$2,531
4
$2,250
$2,250
$2,475
$2,475
$3,038
$3,038
5
$1,500
$1,375
$1,650
$1,513
$2,025
$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 5 will have its requirement (at the clearing member rates) calculated at $ 1,500 starting on Tuesday, May 30, 2006.

One Long Tier 1 NG (1 * $6,500) = $6,500
One Short Tier 5 NG (1 * $ 6,000) = $6,000
Net Scan Risk ($6,500-$6,000) = $500
Spread Rate (1* $ 1,000) = + $1,000
Total Requirement   = $1,500
       
Summary      
Clearing Member (Maintenance Margin):     $1,500
Member Customer (Initial Margin):     $1,650
Non-Member Customer (Initial Margin):     $2,025


This notice supersedes all previous notices regarding margin rates and for Natural Gas Futures, Henry Hub Swaps, Natural Gas miNY™ Futures, Henry Hub Swing Swaps, and Henry Hub Penultimate Swap Contracts.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com