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Enron Mail |
Notice No. 01-26
January 19, 2001 TO: ALL NYMEX DIVISION MEMBERS AND MEMBER FIRMS ALL NYMEX DIVISION CLEARING FIRMS ALL NYMEX DIVISION OPERATIONS MANAGERS FROM: Neal Wolkoff Executive Vice President SUBJECT: MARGIN RATE CHANGE: FEBRUARY, MARCH, AND APRIL 2001 CONTRACTS ONLY Effective Date: Friday, January 19, 2001 (close of business). Futures Contract: Henry Hub Natural Gas Futures. Contract Months: February, March, and April 2001 Contracts Only. Rate Change: NYMEX Division Margins for the February and March 2001 Henry Hub Natural Gas Futures Contracts Only Effective Date: Friday, January 19, 2001 (close of business). Clearing Member (Maintenance Margin): Old: $14,000 New: $12,000 Member Customer (Initial Margin): Old: $15,400 New: $13,200 Non-Member Customer (Initial Margin): Old: $18,900 New: $16,200 NYMEX Division Margins for the April 2001 Henry Hub Natural Gas Futures Contract Only Effective Date: Friday, January 19, 2001 (close of business.) Clearing Member (Maintenance Margin): Old: $5,000 New: $6,000 Member Customer (Initial Margin): Old: $5,500 New: $6,600 Non-Member Customer (Initial Margin): Old: $6,750 New: $8,100 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. Note the outright margin level required for the February and March 2001 contracts, the April 2001 contract, and all subsequent contracts differ. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below are provided three spread scenarios where the legs of the spread are margined differently. Scenario One A spread consisting of one leg in either the February 2001 or March 2001 contracts and another in the April 2001 contract will have its requirement (at the clearing member rates) calculated at $8,500 starting on Friday, January 19, 2001. Example at Clearing Member Rates One Long February 2001 or March 2001 NG (1 x $12,000) = $12,000 One Short April 2001 NG (1 x $6,000) =- $6,000 Net Scan Risk ($12,000-$6,000)= $6,000 Spread Rate (1x $2,500) =+ $2,500 Total Requirement = $8,500 Scenario Two A spread consisting of one leg in either the February 2001 or March 2001 contracts and another in any month following the April 2001 contract will have its requirement (at the clearing member rates) calculated at $9,500 starting on Friday, January 19, 2001. Example at Clearing Member Rates One Long February 2001 or March 2001 NG (1 x $12,000) = $12,000 One Short May 2001 - January 2004 NG (1 x $5,000) = -$5,000 Net Scan Risk ($12,000-$5,000)= $7,000 Spread Rate (1x $2,500) = +$2,500 Total Requirement = $ 9,500 Scenario Three A spread consisting of one leg in the April 2001 contract and another in any month following the April 2001 contract will have its requirement (at the clearing member rates) calculated at $3,500 starting on Friday, January 19, 2001. Example at Clearing Member Rates One Long April 2001 NG (1 x $6,000) = $ 6,000 One Short May 2001 - January 2004 NG (1 x $5,000) = - $ 5,000 Net Scan Risk ($6,000-$5,000) = $ 1,000 Spread Rate (1x $2,500) = + $ 2,500 Total Requirement = $ 3,500 Summary of NYMEX Division Margins on Natural Gas Futures Spreads Scenario One: February or March 2001 Contracts versus the April 2001 Contract Clearing Member (Maintenance Margin): $ 8,500 Member Customer (Initial Margin): $ 9,350 Non-Member Customer (Initial Margin): $11,475 Scenario Two: February or March 2001 Contracts versus Contracts following the April 2001 Contract Clearing Member (Maintenance Margin): $ 9,500 Member Customer (Initial Margin): $10,450 Non-Member Customer (Initial Margin): $12,825 Scenario Three: April 2001 Contract versus Contracts following the April 2001 Contract Clearing Member (Maintenance Margin): $ 3,500 Member Customer (Initial Margin): $ 3,850 Non-Member Customer (Initial Margin): $ 4,725 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 margins for the NYMEX 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=sara.shackleton@enron.com& refdoc=document reference" 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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