06/09/2008
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
Note: The revised margins are in bold
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 | $8,250 | $7,500 | $9,075 | $8,250 | $11,138 | $10,125 |
| 2 | $8,250 | $7,500 | $9,075 | $8,250 | $11,138 | $10,125 |
| 3 | $9,000 | $8,000 | $9,900 | $8,800 | $12,150 | $10,800 |
| 4 | $9,250 | $8,500 | $10,175 | $9,350 | $12,488 | $11,475 |
| 5 | $6,000 | $5,500 | $6,600 | $6,050 | $8,100 | $7,425 |
| 6 | $6,000 | $5,500 | $6,600 | $6,050 | $8,100 | $7,425 |
| 7 | $4,750 | $4,500 | $5,225 | $4,950 | $6,413 | $6,075 |
| 8 | $4,500 | $4,250 | $4,950 | $4,675 | $6,075 | $5,738 |
| 9 | $4,000 | $3,750 | $4,400 | $4,125 | $5,400 | $5,063 |
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 | $2,063 | $1,875 | $2,269 | $2,063 | $2,784 | $2,531 |
| 2 | $2,063 | $1,875 | $2,269 | $2,063 | $2,784 | $2,531 |
| 3 | $2,250 | $2,000 | $2,475 | $2,200 | $3,038 | $2,700 |
| 4 | $2,313 | $2,125 | $2,544 | $2,338 | $3,122 | $2,869 |
| 5 | $1,500 | $1,375 | $1,650 | $1,513 | $2,025 | $1,856 |
| 6 | $1,500 | $1,375 | $1,650 | $1,513 | $2,025 | $1,856 |
| 7 | $1,188 | $1,125 | $1,306 | $1,238 | $1,603 | $1,519 |
| 8 | $1,125 | $1,063 | $1,238 | $1,169 | $1,519 | $1,434 |
| 9 | $1,000 | $938 | $1,100 | $1,031 | $1,350 | $1,266 |
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 | $2,063 | $1,875 | $2,269 | $2,063 | $2,784 | $2,531 |
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 $ 750 starting on Tuesday, June 10, 2008.
| One Long Tier 1 NG | (1 * $ 8,250) | = | $8,250 |
| One Short Tier 2 NG | (1 * $ 8,250) | = | $8,250 |
| Net Scan Risk | ($8,250-$8,250) | = | $0 |
| Spread Rate | (1* $ 750) | = + | $750 |
| Total Requirement | = | $750 | |
| Summary | |||
| Clearing Member (Maintenance Margin): | $750 | ||
| Member Customer (Initial Margin): | $825 | ||
| Non-Member Customer (Initial Margin): | $1,013 |