11/14/2002
Contract Months: All Months
The outright margins for the additional products are:
|
NYMEX Division Margins For Additional Products
|
|||
| Clearing Member/ Maintenance Margin | Member Customer Initial Margin | Non-Member Customer Initial Margin | |
| ELECTRICITY | |||
| NYISO A (KA) | $1,500 | $1,650 | $2,025 |
| NYISO G (KG) | $1,500 | $1,650 | $2,025 |
| NYISO J (KJ) | $1,500 | $1,650 | $2,025 |
| NATURAL GAS BASIS SWAPS | |||
| MichCon Basis (NF) | $50 | $55 | $68 |
| Permian Basis (PM) | $175 | $193 | $236 |
| Texas Eastern Zone M-3 Basis (NX) | $50 | $55 | $68 |
| TCO Basis (TC) | $325 | $358 | $439 |
| PGE&E Malin Basis (PB) | $650 | $715 | $878 |
| PGE&E Citygate Basis (PC) | $1,000 | $1,100 | $1,350 |
| NGPL Tex / OK Basis (PD) | $150 | $165 | $203 |
| NGPL LA Basis (NY) | $200 | $220 | $270 |
| ANR Oklahoma Basis (NE) | $100 | $110 | $135 |
| SUMAS Basis (NK) | $200 | $220 | $270 |
| NGPL Mid-Continent Basis (NL) | $150 | $165 | $203 |
| Northern Natural Gas Demarcation Basis (PE) | $75 | $83 | $101 |
| Northern Natural Gas Ventura, Iowa Basis (PF) | $400 | $440 | $540 |
| Dominion Transmission Inc. – Appalachia Basis (PG) | $200 | $220 | $270 |
| OIL SWAPS | |||
| WTI-Bow River Swap (MA) | $2,400 | $2,640 | $3,240 |
| Gulf Coast Gasoline vs. Gulf Coast Heating Oil Spread Swap (MD) | $600 | $660 | $810 |
| Gulf Coast Jet vs. NYMEX No. 2 Heating Oil Spread Swap (ME) | $600 | $660 | $810 |
| Gulf Coast No. 6 Fuel Oil 3.0%S Swap (MF) | $2,400 | $2,640 | $3,240 |
| Gulf Coast No. 6 Fuel Oil Crack Swap (MG) | $2,400 | $2,640 | $3,240 |
| Los Angeles CARB Gasoline Swap (MH) | $2,400 | $2,640 | $3,240 |
| Los Angeles CARB Gasoline vs. NYMEX Gasoline Swap (MI) | $600 | $660 | $810 |
| New York Harbor Conv. Gasoline vs. NYMEX Unleaded Gasoline Spread Swap (MJ) | $600 | $660 | $810 |
| New York Harbor LS Diesel vs. NYMEX No. 2 Heating Oil Spread Swap (MK) | $600 | $660 | $810 |
| New York Harbor Residual Fuel Crack Swap (ML) | $600 | $660 | $810 |
| New York Harbor Residual Fuel 1.0%S Swap (MM) | $2,400 | $2,640 | $3,240 |
| NYMEX Gasoline vs. NYMEX Heating Oil Swap (MR) | $600 | $660 | $810 |
| NYMEX Gasoline Calendar Swap (MS) | $2,400 | $2,640 | $3,240 |
| NYMEX New York Harbor Heating Oil Calendar Swap (MP) | $2,400 | $2,640 | $3,240 |
| L.A. Jet Fuel vs. NYMEX No. 2 Heating Oil Spread Swap (MQ) | $600 | $660 | $810 |
The intra-commodity straddle margins for the additional products are:
|
NYMEX Division Straddle Margins For Additional Products
|
|||
| Clearing Member/ Maintenance Margin | Member Customer Initial Margin | Non-Member Customer Initial Margin | |
| ELECTRICITY | |||
| NYISO A (KA) | $1,500 | $1,650 | $2,025 |
| NYISO G (KG) | $1,500 | $1,650 | $2,025 |
| NYISO J (KJ) | $1,500 | $1,650 | $2,025 |
| NATURAL GAS BASIS SWAPS | |||
| MichCon Basis (NF) | $25 | $28 | $34 |
| Permian Basis (PM) | $25 | $28 | $34 |
| Texas Eastern Zone M-3 Basis (NX) | $25 | $28 | $34 |
| TCO Basis (TC) | $25 | $28 | $34 |
| PGE&E Malin Basis (PB) | $25 | $28 | $34 |
| PGE&E Citygate Basis (PC) | $25 | $28 | $34 |
| NGPL Tex / OK Basis (PD) | $25 | $28 | $34 |
| NGPL LA Basis (NY) | $25 | $28 | $34 |
| ANR Oklahoma Basis (NE) | $25 | $28 | $34 |
| SUMAS Basis (NK) | $25 | $28 | $34 |
| NGPL Mid-Continent Basis (NL) | $25 | $28 | $34 |
| Northern Natural Gas Demarcation Basis (PE) | $25 | $28 | $34 |
| Northern Natural Gas Ventura, Iowa Basis (PF) | $25 | $28 | $34 |
| Dominion Transmission Inc. – Appalachia Basis (PG) | $25 | $28 | $34 |
| OIL SWAPS | |||
| WTI-Bow River Swap (MA) | $480 | $528 | $648 |
| Gulf Coast Gasoline vs. Gulf Coast Heating Oil Spread Swap (MD) | $240 | $264 | $324 |
| Gulf Coast Jet vs. NYMEX No. 2 Heating Oil Spread Swap (ME) | $240 | $264 | $324 |
| Gulf Coast No. 6 Fuel Oil 3.0%S Swap (MF) | $480 | $528 | $648 |
| Gulf Coast No. 6 Fuel Oil Crack Swap (MG) | $480 | $528 | $648 |
| Los Angeles CARB Gasoline Swap (MH) | $480 | $528 | $648 |
| Los Angeles CARB Gasoline vs. NYMEX Gasoline Swap (MI) | $240 | $264 | $324 |
| New York Harbor Conv. Gasoline vs. NYMEX Unleaded Gasoline Spread Swap (MJ) | $240 | $264 | $324 |
| New York Harbor LS Diesel vs. NYMEX No. 2 Heating Oil Spread Swap (MK) | $240 | $264 | $324 |
| New York Harbor Residual Fuel Crack Swap (ML) | $480 | $528 | $648 |
| New York Harbor Residual Fuel 1.0%S Swap (MM) | $480 | $528 | $648 |
| NYMEX Gasoline vs. NYMEX Heating Oil Swap (MR) | $240 | $264 | $324 |
| NYMEX Gasoline Calendar Swap (MS) | $480 | $528 | $648 |
| NYMEX New York Harbor Heating Oil Calendar Swap (MP) | $480 | $528 | $648 |
| L.A. Jet Fuel vs. NYMEX No. 2 Heating Oil Spread Swap (MQ) | $240 | $264 | $324 |
The inter-commodity spread credits for the additional products and regular traded products are:
| NYMEX Division Inter-Commodity Spread Credits Additional Products | |||
| Spread |
Priority
|
Ratio
|
Percent Credit
|
| KA:NG |
67
|
1:2
|
60
|
| KG:NG |
68
|
1:2
|
60
|
| KJ:NG |
69
|
1:2
|
60
|
| KA:QJ |
70
|
1:1
|
60
|
| KG:QJ |
71
|
1:1
|
60
|
| KJ:QJ |
72
|
1:1
|
60
|
| KA:KV |
73
|
1:1
|
40
|
| KG:KV |
74
|
1:1
|
40
|
| KJ:KV |
75
|
1:1
|
40
|
| KA:KM |
76
|
1:1
|
40
|
| KG:KM |
77
|
1:1
|
40
|
| KJ:KM |
78
|
1:1
|
40
|
| KA:KG |
79
|
1:1
|
60
|
| KA:KJ |
80
|
1:1
|
60
|
| KJ:KG |
81
|
1:1
|
60
|
| CL:MA |
82
|
1:1
|
95
|
| CS:MA |
83
|
1:1
|
85
|
| DC:MA |
84
|
1:1
|
85
|
| LS:MA |
85
|
1:1
|
85
|
| TS:MA |
86
|
1:1
|
85
|
| CM:MA |
87
|
1:1
|
85
|
| MF:HO |
88
|
1:1
|
85
|
| MG:HO |
89
|
1:1
|
85
|
| MH:HU |
90
|
1:1
|
85
|
| MM:HO |
91
|
1:1
|
85
|
| MS:HU |
92
|
1:1
|
85
|
| MP:HO |
93
|
1:1
|
85
|
| MA:MF |
94
|
1:1
|
70
|
| MA:MG |
95
|
1:1
|
70
|
| MA:MH |
96
|
1:1
|
70
|
| MA:MM |
97
|
1:1
|
70
|
| MA:MS |
98
|
1:1
|
70
|
| MA:MP |
99
|
1:1
|
70
|
| MF:MG |
100
|
1:1
|
85
|
| MF:MH |
101
|
1:1
|
85
|
| MF:MM |
102
|
1:1
|
85
|
| MF:MS |
103
|
1:1
|
85
|
| MF:MP |
104
|
1:1
|
85
|
| MG:MH |
105
|
1:1
|
85
|
| MG:MM |
106
|
1:1
|
85
|
| MG:MS |
107
|
1:1
|
85
|
| MG:MP |
108
|
1:1
|
85
|
| MH:MM |
109
|
1:1
|
85
|
| MH:MS |
110
|
1:1
|
85
|
| MH:MP |
111
|
1:1
|
85
|
| MM:MS |
112
|
1:1
|
85
|
| MM:MP |
113
|
1:1
|
85
|
| MS:MP |
114
|
1:1
|
85
|
| NF:NG:QJ |
115
|
4:1:2
|
60
|
| NX:NG:QJ |
116
|
4:1:2
|
60
|
| TC:NG:QJ |
117
|
4:1:2
|
60
|
| PD:NG:QJ |
118
|
4:1:2
|
60
|
| NY:NG:QJ |
119
|
4:1:2
|
60
|
| NE:NG:QJ |
120
|
4:1:2
|
60
|
| NK:NG:QJ |
121
|
4:1:2
|
60
|
| NL:NG:QJ |
122
|
4:1:2
|
60
|
| PE:NG:QJ |
123
|
4:1:2
|
60
|
| PF:NG:QJ |
124
|
4:1:2
|
60
|
| PG:NG:QJ |
125
|
4:1:2
|
60
|
| NF:NG:KA |
126
|
4:1:2
|
60
|
| NX:NG:KA |
127
|
4:1:2
|
60
|
| TC:NG:KA |
128
|
4:1:2
|
60
|
| PD:NG:KA |
129
|
4:1:2
|
60
|
| NY:NG:KA |
130
|
4:1:2
|
60
|
| NE:NG:KA |
131
|
4:1:2
|
60
|
| NK:NG:KA |
132
|
4:1:2
|
60
|
| NL:NG:KA |
133
|
4:1:2
|
60
|
| PE:NG:KA |
134
|
4:1:2
|
60
|
| PF:NG:KA |
135
|
4:1:2
|
60
|
| PG:NG:KA |
136
|
4:1:2
|
60
|
| NF:NG:KG |
137
|
4:1:2
|
60
|
| NX:NG:KG |
138
|
4:1:2
|
60
|
| TC:NG:KG |
139
|
4:1:2
|
60
|
| PD:NG:KG |
140
|
4:1:2
|
60
|
| NY:NG:KG |
141
|
4:1:2
|
60
|
| NE:NG:KG |
142
|
4:1:2
|
60
|
| NK:NG:KG |
143
|
4:1:2
|
60
|
| NL:NG:KG |
144
|
4:1:2
|
60
|
| PE:NG:KG |
145
|
4:1:2
|
60
|
| PF:NG:KG |
146
|
4:1:2
|
60
|
| PG:NG:KG |
147
|
4:1:2
|
60
|
| NF:NG:KJ |
148
|
4:1:2
|
60
|
| NX:NG:KJ |
149
|
4:1:2
|
60
|
| TC:NG:KJ |
150
|
4:1:2
|
60
|
| PD:NG:KJ |
151
|
4:1:2
|
60
|
| NY:NG:KJ |
152
|
4:1:2
|
60
|
| NE:NG:KJ |
153
|
4:1:2
|
60
|
| NK:NG:KJ |
154
|
4:1:2
|
60
|
| NL:NG:KJ |
155
|
4:1:2
|
60
|
| PE:NG:KJ |
156
|
4:1:2
|
60
|
| PF:NG:KJ |
157
|
4:1:2
|
60
|
| PG:NG:KJ |
158
|
4:1:2
|
60
|
| PM:NG:KV |
159
|
4:1:2
|
60
|
| NX:NG:KV |
160
|
4:1:2
|
60
|
| PB:NG:KV |
161
|
4:1:2
|
60
|
| PC:NG:KV |
162
|
4:1:2
|
60
|
| PM:NG:KM |
163
|
4:1:2
|
60
|
| NX:NG:KM |
164
|
4:1:2
|
60
|
| PB:NG:KM |
165
|
4:1:2
|
60
|
| PC:NG:KM |
166
|
4:1:2
|
60
|
The spot month assessments for the additional products are:
| NYMEX Division Spot Month Assessments Additional Products | Spot Month AssessmentA |
| ELECTRICITY | |
| NYISO A (KA) | $3,500 |
| NYISO G (KG) | $3,500 |
| NYISO J (KJ) | $3,500 |
| NATURAL GAS BASIS SWAPS | |
| MichCon Basis (NF) | $750 |
| Permian Basis (PM) | $750 |
| Texas Eastern Zone M-3 Basis (NX) | $750 |
| TCO Basis (TC) | $750 |
| PGE&E Malin Basis (PB) | $750 |
| PGE&E Citygate Basis (PC) | $750 |
| NGPL Tex / OK Basis (PD) | $750 |
| NGPL LA Basis (NY) | $750 |
| ANR Oklahoma Basis (NE) | $750 |
| SUMAS Basis (NK) | $750 |
| NGPL Mid-Continent Basis (NL) | $750 |
| Northern Natural Gas Demarcation Basis (PE) | $750 |
| Northern Natural Gas Ventura, Iowa Basis (PF) | $750 |
| Dominion Transmission Inc. – Appalachia Basis (PG) | $750 |
(A) = Effective on the day submission deadline terminates.