03/08/2007
Futures Contracts: Natural Gas Futures, Henry Hub Swaps, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Natural Gas miNY™ Futures, Henry Hub Penultimate Swap and Henry Hub Swing Swap Futures Contracts
Contract Months: Tiers 1 and 2 Only
Note: The revised margins are in bold
| 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 |
$6,000 |
$6,050 |
$6,600 |
$7,425 |
$8,100 |
3 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
4 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$2,750 |
$2,750 |
$3,025 |
$3,025 |
$3,713 |
$3,713 |
9 |
$2,250 |
$2,250 |
$2,475 |
$2,475 |
$3,038 |
$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 |
$1,375 |
$1,625 |
$1,513 |
$1,788 |
$1,856 |
$2,194 |
2 |
$1,375 |
$1,500 |
$1,513 |
$1,650 |
$1,856 |
$2,025 |
3 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
4 |
$1,375 |
$1,375 |
$1,513 |
$1,513 |
$1,856 |
$1,856 |
5 |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
6 |
$1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
7 |
$875 |
$875 |
$963 |
$963 |
$1,181 |
$1,181 |
8 |
$688 |
$688 |
$756 |
$756 |
$928 |
$928 |
9 |
$563 |
$563 |
$619 |
$619 |
$759 |
$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 |
$5,500 |
$6,500 |
$6,050 |
$7,150 |
$7,425 |
$8,775 |
2 |
$5,500 |
$6,000 |
$6,050 |
$6,600 |
$7,425 |
$8,100 |
3 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
4 |
$5,500 |
$5,500 |
$6,050 |
$6,050 |
$7,425 |
$7,425 |
5 |
$6,000 |
$6,000 |
$6,600 |
$6,600 |
$8,100 |
$8,100 |
6 |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
7 |
$3,500 |
$3,500 |
$3,850 |
$3,850 |
$4,725 |
$4,725 |
8 |
$2,750 |
$2,750 |
$3,025 |
$3,025 |
$3,713 |
$3,713 |
9 |
$2,250 |
$2,250 |
$2,475 |
$2,475 |
$3,038 |
$3,038 |
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 |
$1,375 |
$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 5 will have its requirement (at the clearing member rates) calculated at $ 1,500 starting on Friday, March 9, 2007.
| One Long Tier 1 NG | (1 * $ 5,500) | = | $5,500 |
| One Short Tier 4 NG | (1 * $ 6,000) | = | $6,000 |
| Net Scan Risk | ($5,500-$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 tiers for Natural Gas Futures, Henry Hub Swaps, Globex Natural Gas Penultimate, Globex Natural Gas Last Day, Gas Natural Gas miNY™ Futures, Henry Hub Penultimate Swap and Henry Hub Swing Swap Futures.