02/24/2006
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) ContractsCONTRACT 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-7th Nearby |
3rd-8th Nearby |
4 |
8th-12th Nearby |
9th-13th Nearby |
5 |
13th Nearby |
14th Nearby |
6 |
14th-24th Nearby |
15th-27th Nearby |
7 |
25th-48th Nearby |
28th-47th Nearby |
8 |
49th-60th Nearby |
48th-62nd Nearby |
9 |
Greater than 60th Nearby |
Greater than the 62nd Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$7,500 |
$9,000 |
$8,250 |
$9,900 |
$10,125 |
$12,150 |
2 |
$6,500 |
$8,000 |
$7,150 |
$8,800 |
$8,775 |
$10,800 |
3 |
$6,500 |
$7,000 |
$7,150 |
$7,700 |
$8,775 |
$9,450 |
4 |
$7,500 |
$8,500 |
$8,250 |
$9,350 |
$10,125 |
$11,475 |
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 |
$1,875 |
$2,250 |
$2,063 |
$2,475 |
$2,531 |
$3,038 |
2 |
$1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
3 |
$1,625 |
$1,750 |
$1,788 |
$1,925 |
$2,194 |
$2,363 |
4 |
$1,875 |
$2,125 |
$2,063 |
$2,338 |
$2,531 |
$2,869 |
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 |
$1,875 |
$2,250 |
$2,063 |
$2,475 |
$2,531 |
$3,038 |
2 |
$1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
NYMEX Division Outright (Scan) Margin for 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 |
$1,875 |
$2,250 |
$2,063 |
$2,475 |
$2,531 |
$3,038 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
1 |
$1,875 |
$2,250 |
$2,063 |
$2,475 |
$2,531 |
$3,038 |
2 |
$1,625 |
$2,000 |
$1,788 |
$2,200 |
$2,194 |
$2,700 |
3 |
$1,625 |
$1,750 |
$1,788 |
$1,925 |
$2,194 |
$2,363 |
4 |
$1,875 |
$2,125 |
$2,063 |
$2,338 |
$2,531 |
$2,869 |
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 5 will have its requirement (at the clearing member rates) calculated at $ 3,000 starting on Friday, February 24, 2006.
| One Long Tier 1 NG | (1 * $7,500) | = | $7,500 |
| One Short Tier 5 NG | (1 * $5,500) | = | $5,500 |
| Net Scan Risk | ($7,500-$5,500) | = | $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 Swaps, Natural Gas miNY™ Futures, Henry Hub Swing Swaps, and Henry Hub Penultimate Swap Contracts.