09/26/2006
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 ContractsCONTRACT 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 – 5th Nearby |
3rd Nearby |
4 |
6th Nearby |
4th – 6th Nearby |
5 |
7th – 17th Nearby |
7th Nearby |
6 |
18th – 29th Nearby |
8th – 18th Nearby |
7 |
30th – 41st Nearby |
19th – 42 nd Nearby |
8 |
42th – 53rd Nearby |
43th – 57th Nearby |
9 |
Greater than 54th 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 |
$8,000 |
$8,000 |
$8,800 |
$8,800 |
$10,800 |
$10,800 |
2 |
$8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
3 |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
4 |
$6,000 |
$10,500 |
$6,600 |
$11,550 |
$8,100 |
$14,175 |
5 |
$5,500 |
$6,000 |
$6,050 |
$6,600 |
$7,425 |
$8,100 |
6 |
$3,500 |
$5,500 |
$3,850 |
$6,050 |
$4,725 |
$7,425 |
7 |
$3,750 |
$3,000 |
$4,125 |
$3,300 |
$5,063 |
$4,050 |
8 |
$4,000 |
$2,500 |
$4,400 |
$2,750 |
$5,400 |
$3,375 |
9 |
$4,250 |
$2,500 |
$4,675 |
$2,750 |
$5,738 |
$3,375 |
NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN)
Henry Hub Penultimate Swap (NP) and 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 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
2 |
$2,000 |
$2,250 |
$2,200 |
$2,475 |
$2,700 |
$3,038 |
3 |
$2,250 |
$2,500 |
$2,475 |
$2,750 |
$3,038 |
$3,375 |
4 |
$1,500 |
$2,625 |
$1,650 |
$2,888 |
$2,025 |
$3,544 |
5 |
$1,375 |
$1,500 |
$1,513 |
$1,650 |
$1,856 |
$2,025 |
6 |
$875 |
$1,375 |
$963 |
$1,513 |
$1,181 |
$1,856 |
7 |
$938 |
$750 |
$1,031 |
$825 |
$1,266 |
$1,013 |
8 |
$1,000 |
$625 |
$1,100 |
$688 |
$1,350 |
$844 |
9 |
$1,063 |
$625 |
$1,169 |
$688 |
$1,434 |
$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 |
$8,000 |
$8,000 |
$8,800 |
$8,800 |
$10,800 |
$10,800 |
2 |
$8,000 |
$9,000 |
$8,800 |
$9,900 |
$10,800 |
$12,150 |
3 |
$9,000 |
$10,000 |
$9,900 |
$11,000 |
$12,150 |
$13,500 |
4 |
$6,000 |
$10,500 |
$6,600 |
$11,550 |
$8,100 |
$14,175 |
5 |
$5,500 |
$6,000 |
$6,050 |
$6,600 |
$7,425 |
$8,100 |
6 |
$3,500 |
$5,500 |
$3,850 |
$6,050 |
$4,725 |
$7,425 |
7 |
$3,750 |
$3,000 |
$4,125 |
$3,300 |
$5,063 |
$4,050 |
8 |
$4,000 |
$2,500 |
$4,400 |
$2,750 |
$5,400 |
$3,375 |
9 |
$4,250 |
$2,500 |
$4,675 |
$2,750 |
$5,738 |
$3,375 |
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 |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
Scan Risk Example at Clearing Member Rates
A spread consisting of one NG leg in Tier 1 and another in Tier 4 will have its requirement (at the clearing member rates) calculated at $ 3,000 starting on Thursday, September 28, 2006.
| One Long Tier 1 NG | (1 * $ 8,000) | = | $8,000 |
| One Short Tier 5 NG | (1 * $ 6,000) | = | $6,000 |
| Net Scan Risk | ($8,000 – $6,000) | = | $2,000 |
| Spread Rate | (1* $ 1,000) | = + | $1,000 |
| Total Requirement | = | $3,000 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $3,000 | ||
| Member Customer (Initial Margin): | $3,300 | ||
| Non-Member Customer (Initial Margin): | $4,050 |
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.