Message-ID: <4565695.1075844900276.JavaMail.evans@thyme>
Date: Tue, 19 Dec 2000 06:20:00 -0800 (PST)
From: sara.shackleton@enron.com
To: joseph.deffner@enron.com, mary.cook@enron.com, sarah.wesner@enron.com
Subject: (00-430) Margin Rate Change for Natural Gas
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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.


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