09/26/2007
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 ContractsCONTRACT MONTHS: All Months
NG/NN/HP/HH/NP/QG 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 – 6th Nearby |
5 |
6th – 17th Nearby |
7th – 18th Nearby |
6 |
18th – 29th Nearby |
19th – 30th Nearby |
7 |
30th– 41st Nearby |
31st – 42nd Nearby |
8 |
42nd– 53rd Nearby |
43rd – 54th Nearby |
9 |
54th and Greater Nearby |
55th and Greater Nearby |
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 $ 1,500 starting on Wednesday, September 26, 2007.
| One Long Tier 1 NG | (1 * $ 7,500) | = | $7,500 |
| One Short Tier 2 NG | (1 * $ 7,000) | = | $7,000 |
| Net Scan Risk | ($7,500-$7,000) | = | $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 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.