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----- Forwarded by Sara Shackleton/HOU/ECT on 12/19/2000 02:23 PM -----
=09exchangeinfo@nymex.com =0912/19/2000 02:09 PM =09=09=20 =09=09 To: sara.shackleton@enron.com =09=09 cc:=20 =09=09 Subject: (00-430) Margin Rate Change for Natural Gas Notice No. 00-430 December 19, 2000 TO: ALL NYMEX MEMBERS AND MEMBER FIRMS ALL NYMEX CLEARING FIRMS ALL NYMEX OPERATIONS MANAGERS FROM: Neal Wolkoff, Executive Vice President SUBJECT: MARGIN RATE CHANGE FOR BACK MONTH CONTRACTS Effective Date: Tuesday, December 19, 2000 (close of business). Futures Contract: Henry Hub Natural Gas Futures. Contract Months: April 2001 Through December 2003; ***FORWARD 3 MONTH MARGINS REMAIN UNAFFECTED BY THIS NOTICE*** Rate Change: NYMEX Division Margins on Back Month Henry Hub Natural Gas Futures Contracts Effective Date: Tuesday, December 19, 2000 (close of business) Clearing Member (Maintenance Margin): Old: $14,000 New: $7,00= 0 Member Customer (Initial Margin): Old: $15,400 New: $7,70= 0 Non-Member Customer (Initial Margin): Old: $18,900 New: $9,45= 0 Current systems calculate the margin requirement for spread positions by=20 first determining the "Scan Risk" and then multiplying the number of spread= s=20 by a rate set by the Exchange. Scan Risk is determined by netting the=20 outright margin required for each leg of a spread. Because there is a difference between the outright margin required for the= =20 January, February, and March 2001 delivery months and other months, each=20 spread which includes one leg in either the January, February, or March 200= 1=20 delivery months will have its requirement (at the clearing member rates)=20 calculated at $9,500 starting on Tuesday December 19th. This figure is=20 determined as follows: Example At Clearing Member Rates for December 19th Margin Change: One Long January, February, or March 2001 NG (1 x $14,000) =3D $1= 4,000 One Short April 2001 - December 2003 NG (1 x $7,000) =3D - $ = 7,000 Net Scan Risk ($14,000-$7,000) =3D $ 7,000 Spread Rate (1x $2,500) =3D + $ 2,500 Total Requirement =3D $ 9,500 NYMEX Division Margins on Natural Gas Futures Spreads - Requirements for=20 Spreads with One Leg in Designated Months January 2001 =01) March 2001 Clearing Member (Maintenance Margin): $ 9,500 Member Customer (Initial Margin): $10,450 Non-Member Customer (Initial Margin): $12,825 NYMEX division margins on Natural Gas Futures spreads comprised exclusively= =20 of months April 2001 through December 2003 will remain unchanged. Should you have any questions regarding these changes, please contact Arthu= r=20 McCoy at (212) 299-2928 or Joe Sanguedolce at (212) 299-2855. This notice= =20 supersedes all previous notices regarding outright margins for the NYMEX=20 Henry Hub Natural Gas Futures Contract. __________________________________________________ Please click on the link below to indicate you have received this email. " http://208.206.41.61/email/email_log.cfm?useremail=3Dsara.shackleton@enron.= com&r efdoc=3D(00-430)" Note: If you click on the above line and nothing happens, please copy the text between the quotes, open your internet browser, paste it into the web site address and press Return.
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