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.




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