EFFECTIVE DATE: Friday, July 28, 2006 (close of business)
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 Contracts
CONTRACT MONTHS: All Months
NG/NN/HP/HH/NP IntraCommodity Spread and Scan
Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd Nearby |
2nd Nearby |
3 |
3rd Nearby |
3rd 4th Nearby |
4 |
4th 7th Nearby |
5th 8th Nearby |
5 |
8th 9th Nearby |
9th 10th Nearby |
6 |
10th 20th Nearby |
11th 21st Nearby |
7 |
21st 43rd Nearby |
22nd 44th Nearby |
8 |
44th 57th Nearby |
45th 57th Nearby |
9 |
Greater than 58th Nearby |
Greater than 58th Nearby |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$8,500 |
$6,500 |
$9,350 |
$7,150 |
$11,475 |
$8,775 |
2 |
$9,000 |
$6,500 |
$9,900 |
$7,150 |
$12,150 |
$8,775 |
3 |
$9,000 |
$8,000 |
$9,900 |
$8,800 |
$12,150 |
$10,800 |
4 |
$10,000 |
$9,500 |
$11,000 |
$10,450 |
$13,500 |
$12,825 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$5,500 |
$4,000 |
$6,050 |
$4,400 |
$7,425 |
$5,400 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
9 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$2,125 |
$1,625 |
$2,338 |
$1,788 |
$2,869 |
$2,194 |
2 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
3 |
$2,250 |
$2,000 |
$2,475 |
$2,200 |
$3,038 |
$2,700 |
4 |
$2,500 |
$2,375 |
$2,750 |
$2,613 |
$3,375 |
$3,206 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,375 |
$1,000 |
$1,513 |
$1,100 |
$1,856 |
$1,350 |
7 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
8 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
9 |
$625 |
$625 |
$688 |
$688 |
$844 |
$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 |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$8,500 |
$6,500 |
$9,350 |
$7,150 |
$11,475 |
$8,775 |
2 |
$9,000 |
$6,500 |
$9,900 |
$7,150 |
$12,150 |
$8,775 |
3 |
$9,000 |
$8,000 |
$9,900 |
$8,800 |
$12,150 |
$10,800 |
4 |
$10,000 |
$9,500 |
$11,000 |
$10,450 |
$13,500 |
$12,825 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$5,500 |
$4,000 |
$6,050 |
$4,400 |
$7,425 |
$5,400 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
9 |
$2,500 |
$2,500 |
$2,750 |
$2,750 |
$3,375 |
$3,375 |
NYMEX Division Outright (Scan) Margins on GLOBEX miNY Natural Gas (QG)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$2,125 |
$1,625 |
$2,338 |
$1,788 |
$2,869 |
$2,194 |
2 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
3 |
$2,250 |
$2,000 |
$2,475 |
$2,200 |
$3,038 |
$2,700 |
NYMEX Division Outright (Scan) Margin on Henry Hub SwingSwap Futures
(SN)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$2,125 |
$1,625 |
$2,338 |
$1,788 |
$2,869 |
$2,194 |
NYMEX Division Outright (Scan) Margins on Henry Hub Penultimate Swap (NP)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
NonMember Customer
Initial Margin |
|
New |
Old |
New |
Old |
New |
Old |
1 |
$2,125 |
$1,625 |
$2,338 |
$1,788 |
$2,869 |
$2,194 |
2 |
$2,250 |
$1,625 |
$2,475 |
$1,788 |
$3,038 |
$2,194 |
3 |
$2,250 |
$2,000 |
$2,475 |
$2,200 |
$3,038 |
$2,700 |
4 |
$2,500 |
$2,375 |
$2,750 |
$2,613 |
$3,375 |
$3,206 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,375 |
$1,000 |
$1,513 |
$1,100 |
$1,856 |
$1,350 |
7 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
8 |
$750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
9 |
$625 |
$625 |
$688 |
$688 |
$844 |
$844 |
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 $ 3,500 starting on Friday,
July 28, 2006.
| One Long Tier 1 NG |
(1 * $8,5 00) |
= |
$8,500 |
| One Short Tier 5 NG |
(1 * $ 6,000) |
= |
$6,000 |
| Net Scan Risk |
($8,500$6,000) |
= |
$2,500 |
| Spread Rate |
(1* $ 1,000) |
= + |
$1,000 |
| Total Requirement |
|
= |
$3,500 |
| |
|
|
|
| Summary |
|
|
|
| Clearing Member (Maintenance Margin): |
|
|
$3,500 |
| Member Customer (Initial Margin): |
|
|
$3,850 |
| NonMember Customer (Initial Margin): |
|
|
$4,725 |
| |
|
|
|
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. |