06/27/2006
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 – 4th Nearby |
3rd – 5th Nearby |
4 |
5th – 8th Nearby |
6th – 9th Nearby |
5 |
9th – 10th Nearby |
10th Nearby |
6 |
11th – 21st Nearby |
11th – 23rd Nearby |
7 |
22nd – 44th Nearby |
24th – 48th Nearby |
8 |
45th – 57th Nearby |
49th – 60th Nearby |
9 |
Greater than 58th Nearby |
Greater than 60th Nearby |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
1 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
2 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
3 |
$8,000 |
$7,500 |
$8,800 |
$8,250 |
$10,800 |
$10,125 |
4 |
$9,500 |
$9,000 |
$10,450 |
$9,900 |
$12,825 |
$12,150 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
7 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
8 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
9 |
$2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial
Margin |
Non-Member Customer Initial
Margin |
|||
1 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
2 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
3 |
$2,000 |
$1,875 |
$2,200 |
$2,063 |
$2,700 |
$2,531 |
4 |
$2,375 |
$2,250 |
$2,613 |
$2,475 |
$3,206 |
$3,038 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,000 |
$875 |
$1,100 |
$963 |
$1,350 |
$1,181 |
7 |
$875 |
$750 |
$963 |
$825 |
$1,181 |
$1,013 |
8 |
$750 |
$625 |
$825 |
$688 |
$1,013 |
$844 |
9 |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial
Margin |
Non-Member Customer Initial
Margin |
|||
1 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
2 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
3 |
$8,000 |
$7,500 |
$8,800 |
$8,250 |
$10,800 |
$10,125 |
4 |
$9,500 |
$9,000 |
$10,450 |
$9,900 |
$12,825 |
$12,150 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
7 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
8 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
9 |
$2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial
Margin |
Non-Member Customer Initial
Margin |
|||
1 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
2 |
$6,500 |
$6,500 |
$7,150 |
$7,150 |
$8,775 |
$8,775 |
3 |
$8,000 |
$7,500 |
$8,800 |
$8,250 |
$10,800 |
$10,125 |
4 |
$9,500 |
$9,000 |
$10,450 |
$9,900 |
$12,825 |
$12,150 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$4,000 |
$3,500 |
$4,400 |
$3,850 |
$5,400 |
$4,725 |
7 |
$3,500 |
$3,000 |
$3,850 |
$3,300 |
$4,725 |
$4,050 |
8 |
$3,000 |
$2,500 |
$3,300 |
$2,750 |
$4,050 |
$3,375 |
9 |
$2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
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 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
2 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
3 |
$2,000 |
$1,875 |
$2,200 |
$2,063 |
$2,700 |
$2,500 |
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 |
|||
1 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
1 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
2 |
$1,625 |
$1,625 |
$1,788 |
$1,788 |
$2,194 |
$2,194 |
3 |
$2,000 |
$1,875 |
$2,200 |
$2,063 |
$2,700 |
$2,531 |
4 |
$2,375 |
$2,250 |
$2,613 |
$2,475 |
$3,206 |
$3,038 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,000 |
$875 |
$1,100 |
$963 |
$1,350 |
$1,181 |
7 |
$875 |
$750 |
$963 |
$825 |
$1,181 |
$1,013 |
8 |
$750 |
$625 |
$825 |
$688 |
$1,013 |
$844 |
9 |
$625 |
$500 |
$688 |
$550 |
$844 |
$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 Thursday, June 29, 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 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.