08/16/2007
EFFECTIVE DATE : Friday, August 17, 2007 (close of business)
FUTURES CONTRACTS: Natural Gas Futures, Henry Hub Swaps, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Natural Gas miNY™ Futures, Henry Hub Swing Swap Futures and Henry Hub Penultimate Swap Contracts
CONTRACT MONTHS: All months
Note: The revised margins are in bold.
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 |
$7,500 |
$6,500 |
$8,250 |
$7,150 |
$10,125 |
$8,775 |
2 |
$8,500 |
$7,500 |
$9,350 |
$8,250 |
$11,475 |
$10,125 |
3 |
$7,500 |
$7,000 |
$8,250 |
$7,700 |
$10,125 |
$9,450 |
4 |
$7,000 |
$7,000 |
$7,700 |
$7,700 |
$9,450 |
$9,450 |
5 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
6 |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
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) 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 |
$1,875 |
$1,625 |
$2,063 |
$1,788 |
$2,531 |
$2,194 |
2 |
$2,125 |
$1,875 |
$2,338 |
$2,063 |
$2,869 |
$2,531 |
3 |
$1,875 |
$1,750 |
$2,063 |
$1,925 |
$2,531 |
$2,363 |
4 |
$1,750 |
$1,750 |
$1,925 |
$1,925 |
$2,363 |
$2,363 |
5 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
6 |
$1,125 |
$1,125 |
$1,238 |
$1,238 |
$1,519 |
$1,519 |
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 |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$7,500 |
$6,500 |
$8,250 |
$7,150 |
$10,125 |
$8,775 |
2 |
$8,500 |
$7,500 |
$9,350 |
$8,250 |
$11,475 |
$10,125 |
3 |
$7,500 |
$7,000 |
$8,250 |
$7,700 |
$10,125 |
$9,450 |
4 |
$7,000 |
$7,000 |
$7,700 |
$7,700 |
$9,450 |
$9,450 |
5 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
6 |
$4,500 |
$4,500 |
$4,950 |
$4,950 |
$6,075 |
$6,075 |
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) 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 |
$1,875 |
$1,625 |
$2,063 |
$1,788 |
$2,531 |
$2,194 |
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 2 will have its requirement (at the clearing member rates) calculated at $ 2,000 starting on Friday, August 17, 2007.
One Long Tier 1 NG (1 * $ 7,500) = $ 7,500 One Short Tier 2 NG (1 * $ 8,500) = $ 8,500
Net Scan Risk ($8,500-$7,500) = $ 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 rate for Natural Gas Futures, Henry Hub Swaps, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Gas Natural Gas miNY™ Futures, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts.