Notice to Members
Notice No. 322
06/26/2007
Margin Rate and Tier Changes for Natural Gas Futures, Henry Hub Swap Futures, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Natural Gas miNY Futures, Henry Hub Swing Swap Futures, and Henry Hub Penultimate Swap Contracts
EFFECTIVE DATE: Wednesday, June 27, 2007 (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 Intra–Commodity Spread and Scan Tiers
 
Tiers
New
Old
1
1st Nearby
1st Nearby
2
2nd Nearby
2nd Nearby
3
3rd Nearby
3rd Nearby
4
4th – 5th Nearby
4th – 5th Nearby
5
6th – 8th Nearby
6th – 9th nearby month
6
9th – 20th Nearby
10th – 21st nearby month
7
21st– 32nd Nearby
22nd – 33rd nearby month
8
33rd– 44th Nearby
34th – 45th nearby month
9
45th and Greater Nearby
46th and Greater 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
$5,000
$5,000
$5,500
$5,500
$6,750
$6,750
2
$6,000
$5,500
$6,600
$6,050
$8,100
$7,425
3
$6,500
$5,500
$7,150
$6,050
$8,775
$7,425
4
$6,500
$6,000
$7,150
$6,600
$8,775
$8,100
5
$7,000
$6,500
$7,700
$7,150
$9,450
$8,775
6
$5,000
$4,500
$5,500
$4,950
$6,750
$6,075
7
$4,000
$3,500
$4,400
$3,850
$5,400
$4,725
8
$3,000
$2,750
$3,300
$3,025
$4,050
$3,713
9
$2,500
$2,250
$2,750
$2,475
$3,375
$3,038


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
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
2
$1,500
$1,375
$1,650
$1,513
$2,025
$1,856
3
$1,625
$1,375
$1,788
$1,513
$2,194
$1,856
4
$1,625
$1,500
$1,788
$1,650
$2,194
$2,025
5
$1,750
$1,625
$1,925
$1,788
$2,363
$2,194
6
$1,250
$1,125
$1,375
$1,238
$1,688
$1,519
7
$1,000
$875
$1,100
$963
$1,350
$1,181
8
$750
$688
$825
$756
$1,013
$928
9
$625
$563
$688
$619
$844
$759


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
$5,000
$5,000
$5,500
$5,500
$6,750
$6,750
2
$6,000
$5,500
$6,600
$6,050
$8,100
$7,425
3
$6,500
$5,500
$7,150
$6,050
$8,775
$7,425
4
$6,500
$6,000
$7,150
$6,600
$8,775
$8,100
5
$7,000
$6,500
$7,700
$7,150
$9,450
$8,775
6
$5,000
$4,500
$5,500
$4,950
$6,750
$6,075
7
$4,000
$3,500
$4,400
$3,850
$5,400
$4,725
8
$3,000
$2,750
$3,300
$3,025
$4,050
$3,713
9
$2,500
$2,250
$2,750
$2,475
$3,375
$3,038


NYMEX Division Outright (Scan) Margin on 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
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688


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 3 will have its requirement (at the clearing member rates) calculated at $ 1,500 starting on Wednesday, March 28, 2007.

One Long Tier 1 NG (1 * $ 5,000) = $5,000
One Short Tier 2 NG (1 * $ 6,000) = $6,000
Net Scan Risk $5,000-$6,000) = $1,000
Spread Rate (1* $ 1,000) = + $1,000
Total Requirement   = $2,000
       
Summary      
Clearing Member (Maintenance Margin):     $2,000
Member Customer (Initial Margin):     $2,200
Non-Member Customer (Initial Margin):     $2,700


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.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com