MARGIN RATE CHANGES FOR HENRY HUB SWAP AND NATURAL GAS FUTURES.

The NYMEX announced an across the board reduction in natural gas margin rates
today.
The memo follows.

Thank you.

Notice No. 02-14
January 09, 2002

TO: ALL NYMEX MEMBERS AND MEMBER FIRMS
ALL NYMEX CLEARING FIRMS
ALL NYMEX OPERATIONS MANAGERS
FROM: J. Robert Collins, Jr., President
SUBJECT: MARGIN RATE CHANGES FOR HENRY HUB SWAP (NN) AND NATURAL GAS
(NG) FUTURES.
Effective Date: Thursday, January 10, 2002 (close of
business)
Futures Contracts: Natural Gas (NG), Henry Hub Swap (NN)
Futures
Contract Months: All Months
Rate Change:

NYMEX Division Outright Margins on Natural Gas and Henry Hub Swap Futures
Contracts

Clearing Member Non-Member
Member Customer

New Old New Old New Old
Tier 1 (1st Nearby Month):
$2,500 $3,500 $2,750 $3,850 $3,375
$4,725

Tier 2 (2nd Nearby Month):
$2,500 $3,000 $2,750 $3,300 $3,375
$4,050

Tier 3 (3rd - 6th Nearby Months):
$2,000 $2,500 $2,200 $2,750 $2,700
$3,375

Tier 4 (7th - 12th Nearby Months):
$1,500 $2,000 $1,650 $2,200 $2,025
$2,700

Tier 5 (13th and greater):
$1,500 $2,000 $1,650 $2,200 $2,025
$2,700

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 futures leg in Tier 1 and another in Tier 3 will
have its requirement (at the clearing member rates) calculated at $1,000
starting on Thursday, January 10, 2002.

One Long Tier 1 NG or NN (1 * $2,500)
= $2,500
One Short Tier 3 NG or NN (1 * $2,000)
= - $2,000
Net Scan Risk ($2,500-$2,000)
= $ 500
Spread Rate (1* $500)
= + $ 500
Total Requirement
= $1,000
Scan Risk Example Summary
Margin on a Spread Between a Tier 1 and Tier 3 Futures Contract
Clearing Member (Maintenance Margin):
$1,000
Member Customer (Initial Margin):
$1,100
Non-Member Customer (Initial Margin):
$1,350

Inter-Month Spread Margins on Natural Gas and Henry Hub Swap Futures
Contracts
Clearing
Member
Member Customer
Non-Member
Tier 1 (1st Nearby Month): $500 $550
$675
Tier 2 (2nd Nearby Month): $250 $275
$237
Tier 3 (3rd - 6th Nearby Months): $250 $275
$237
Tier 4 (7th - 12th Nearby Months): $250 $275
$237
Tier 5 (13th and greater): $100 $110
$135

The inter-commodity spread margins will be $0 between Natural Gas (NG) and
Henry Hub Swap (NN) futures contracts. Spread credits between Henry Hub Swap
futures and all other NYMEX energy products will be the same as the Natural
Gas spread credits.
Should you have any questions regarding these changes, please contact Arthur
McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice
supersedes all previous notices regarding outright and spread margins for
the NYMEX Natural Gas (NG) futures contract and the NYMEX Henry Hub Swap
futures contract.

_____________________________________________________________________________________________________________________________________

Ce message et toutes les pieces jointes (ci-apres le "message") sont etablis a l'intention exclusive de ses destinataires et sont confidentiels. Si vous recevez ce message par erreur, merci de le detruire et d'en avertir immediatement l'expediteur.

Toute utilisation de ce message non conforme a sa destination, toute diffusion ou toute publication, totale ou partielle, est interdite, sauf autorisation expresse.

L'internet ne permettant pas d'assurer l'integrite de ce message, BNP PARIBAS (et ses filiales) decline(nt) toute responsabilite au titre de ce message, dans l'hypothese ou il aurait ete modifie.
----------------------------------------------------------------------------------
This message and any attachments (the "message") are intended solely for the addressees and are confidential. If you receive this message in error, please delete it and immediately notify the sender.

Any use not in accord with its purpose, any dissemination or disclosure, either whole or partial, is prohibited except formal approval.

The internet can not guarantee the integrity of this message. BNP PARIBAS (and its subsidiaries) shall (will) not therefore be liable for the message if modified.
_____________________________________________________________________________________________________________________________________