02/26/2008
EFFECTIVE DATE : Wednesday, February 27, 2008 (close of business)
FUTURES CONTRACTS: Natural Gas Futures, Henry Hub Swaps, Natural Gas Penultimate, Natural Gas Last Day, GLOBEX 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 |
3rd - 6th Nearby |
3rd - 7th Nearby |
4 |
7th- 12th Nearby |
8th- 13th Nearby |
5 |
13th– 18th Nearby |
14th– 19th Nearby |
6 |
19th– 24th Nearby |
20th– 25th Nearby |
7 |
25th– 36th Nearby |
26th– 37th Nearby |
8 |
37th– 48th Nearby |
38th– 49th Nearby |
9 |
Greater than 48th Nearby |
Greater than 49th Nearby |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG), 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 |
$5,000 |
$6,050 |
$5,500 |
$7,425 |
$6,750 |
2 |
$5,250 |
$4,750 |
$5,775 |
$5,225 |
$7,088 |
$6,413 |
3 |
$5,250 |
$4,250 |
$5,775 |
$4,675 |
$7,088 |
$5,738 |
4 |
$5,500 |
$4,500 |
$6,050 |
$4,950 |
$7,425 |
$6,075 |
5 |
$3,750 |
$3,500 |
$4,125 |
$3,850 |
$5,063 |
$4,725 |
6 |
$4,000 |
$3,750 |
$4,400 |
$4,125 |
$5,400 |
$5,063 |
7 |
$3,500 |
$3,250 |
$3,850 |
$3,575 |
$4,725 |
$4,388 |
8 |
$3,250 |
$3,000 |
$3,575 |
$3,300 |
$4,388 |
$4,050 |
9 |
$2,750 |
$2,500 |
$3,025 |
$2,750 |
$3,713 |
$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 |
$1,375 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$1,688 |
2 |
$1,313 |
$1,188 |
$1,444 |
$1,306 |
$1,772 |
$1,603 |
3 |
$1,313 |
$1,063 |
$1,444 |
$1,169 |
$1,772 |
$1,434 |
4 |
$1,375 |
$1,125 |
$1,513 |
$1,238 |
$1,856 |
$1,519 |
5 |
$938 |
$875 |
$1,031 |
$963 |
$1,266 |
$1,181 |
6 |
$1,000 |
$938 |
$1,100 |
$1,031 |
$1,350 |
$1,266 |
7 |
$875 |
$813 |
$963 |
$894 |
$1,181 |
$1,097 |
8 |
$813 |
$750 |
$894 |
$825 |
$1,097 |
$1,013 |
9 |
$688 |
$625 |
$756 |
$688 |
$928 |
$844 |
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 |
$1,250 |
$1,513 |
$1,375 |
$1,856 |
$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 2 will have its requirement (at the clearing member rates) calculated at $ 1,000 starting on February 27, 2008.
One Long Tier 1 NG (1 * $ 5,500) = $ 5,500 One Short Tier 2 NG (1 * $ 5,250) = $ 5,250
Net Scan Risk ($5,500-$5,250) = $ 250
Spread Rate (1* $ 750) = + $ 750
Total Requirement = $ 1,000
Summary
Clearing Member (Maintenance Margin): $ 1,000
Member Customer (Initial Margin): $ 1,100
Non-Member Customer (Initial Margin): $ 1,350
This notice supersedes all previous notices regarding margin rate for Natural Gas Futures, Henry Hub Swaps, Natural Gas Penultimate, Natural Gas Last Day, GLOBEX Natural Gas miNY™ Futures, Henry Hub Swing Swaps and Henry Hub Penultimate Swap Contracts.