12/27/2007
EFFECTIVE DATE : Friday, December 28, 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.
NG/NN/NP/HH/HP/QG Intra-Commodity Spread and Scan Tiers |
||
Tiers |
New |
Old |
1 |
1 st Nearby |
1 st Nearby |
2 |
2 nd Nearby |
2 nd Nearby |
3 |
3 rd Nearby |
3 rd Nearby |
4 |
4th - 7th Nearby |
4th - 9th Nearby |
5 |
8th– 14th Nearby |
10th– 15th Nearby |
6 |
15th– 26th Nearby |
16th– 27th Nearby |
7 |
27th– 38th Nearby |
28th– 39th Nearby |
8 |
39th– 50th Nearby |
40th– 51st Nearby |
9 |
Greater than 50th Nearby |
Greater than 52nd Nearby |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$5,500 |
$6,500 |
$6,050 |
$7,150 |
$7,425 |
$8,775 |
2 |
$5,500 |
$6,500 |
$6,050 |
$7,150 |
$7,425 |
$8,775 |
3 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
4 |
$4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
5 |
$4,750 |
$5,000 |
$5,225 |
$5,500 |
$6,413 |
$6,750 |
6 |
$3,750 |
$4,000 |
$4,125 |
$4,400 |
$5,063 |
$5,400 |
7 |
$3,250 |
$3,500 |
$3,575 |
$3,850 |
$4,388 |
$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) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$1,375 |
$1,625 |
$1,513 |
$1,788 |
$1,856 |
$2,194 |
2 |
$1,375 |
$1,625 |
$1,513 |
$1,788 |
$1,856 |
$2,194 |
3 |
$1,250 |
$1,500 |
$1,375 |
$1,650 |
$1,688 |
$2,025 |
4 |
$1,125 |
$1,250 |
$1,238 |
$1,375 |
$1,519 |
$1,688 |
5 |
$1,188 |
$1,250 |
$1,306 |
$1,375 |
$1,603 |
$1,688 |
6 |
$938 |
$1,000 |
$1,031 |
$1,100 |
$1,266 |
$1,350 |
7 |
$813 |
$875 |
$894 |
$963 |
$1,097 |
$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) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$5,500 |
$6,500 |
$6,050 |
$7,150 |
$7,425 |
$8,775 |
2 |
$5,500 |
$6,500 |
$6,050 |
$7,150 |
$7,425 |
$8,775 |
3 |
$5,000 |
$6,000 |
$5,500 |
$6,600 |
$6,750 |
$8,100 |
4 |
$4,500 |
$5,000 |
$4,950 |
$5,500 |
$6,075 |
$6,750 |
5 |
$4,750 |
$5,000 |
$5,225 |
$5,500 |
$6,413 |
$6,750 |
6 |
$3,750 |
$4,000 |
$4,125 |
$4,400 |
$5,063 |
$5,400 |
7 |
$3,250 |
$3,500 |
$3,575 |
$3,850 |
$4,388 |
$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 Swing Swap Futures (SN) |
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Tiers |
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
|
New |
Old |
New |
Old |
New |
Old |
1 |
$1,375 |
$1,625 |
$1,513 |
$1,788 |
$1,856 |
$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 3 will have its requirement (at the clearing member rates) calculated at $ 1,500 starting on Friday, December 28, 2007.
One Long Tier 1 NG (1 * $ 5,500) = $ 5,500 One Short Tier 3 NG (1 * $ 5,000) = $ 5,000
Net Scan Risk ($5,500-$5,000) = $ 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 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.