Message-ID: <25089514.1075844902961.JavaMail.evans@thyme> Date: Mon, 8 Jan 2001 08:05:00 -0800 (PST) From: sara.shackleton@enron.com To: joseph.deffner@enron.com, sarah.wesner@enron.com, mary.cook@enron.com Subject: (01-10) Henry Hub Natural Gas Margin Rate Change for Back Month Contracts: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Sara Shackleton X-To: Joseph Deffner, Sarah Wesner, Mary Cook X-cc: X-bcc: X-Folder: \Sara_Shackleton_Dec2000_June2001_2\Notes Folders\Sent X-Origin: SHACKLETON-S X-FileName: sshackle.nsf Sara Shackleton Enron North America Corp. 1400 Smith Street, EB 3801a Houston, Texas 77002 713-853-5620 (phone) 713-646-3490 (fax) sara.shackleton@enron.com ----- Forwarded by Sara Shackleton/HOU/ECT on 01/08/2001 04:04 PM ----- exchangeinfo@nymex.com 01/08/2001 02:09 PM To: sara.shackleton@enron.com cc: Subject: (01-10) Henry Hub Natural Gas Margin Rate Change for Back Month Contracts: Notice No. 01-10 January 8, 2001 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: Monday, January 8, 2001 (close of business). Futures Contract: Henry Hub Natural Gas. Contract Months: April 2001 and all Subsequent Contract Months. Rate Change: NYMEX Division Margins for the April 2001 Contract and all Subsequent Henry Hub Natural Gas Futures Contracts Effective Date: Monday, January 8, 2001 (close of business) Clearing Member (Maintenance Margin): Old: $7,000 New: $5,000 Member Customer (Initial Margin): Old: $7,700 New: $5,500 Non-Member Customer (Initial Margin): Old: $9,450 New: $6,750 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. Because there is a difference between the outright margin required for the February 2001 and March 2001 delivery months and other months, each spread which includes one leg in either the February 2001or March 2001 delivery months will have its requirement (at the clearing member rates) calculated at $11,500 starting on Monday, January 8, 2001. This figure is determined as follows: Example at Clearing Member Rates One Long February 2001 or March 2001 NG (1 x $14,000) = $14,000 One Short April 2001 - January 2004 NG (1 x $5,000) = - $ 5,000 Net Scan Risk ($14,000-$5,000) = $ 9,000 Spread Rate (1x $2,500) = + $ 2,500 Total Requirement = $11,500 NYMEX Division Margins on Natural Gas Futures Spreads: Requirements for Spreads with One Leg in February 2001 or March 2001 Contract, and One in the April 2001 Contract or Subsequent Contracts Clearing Member (Maintenance Margin): $11,500 Member Customer (Initial Margin): $12,650 Non-Member Customer (Initial Margin): $15,525 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&r efdoc=(01-10)" 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.