Notice to Members
Notice No. 465
12/08/2004
Margin Rates Change for NYMEX Division Natural Gas Basis and Index Swap Futures Contracts, and Spot Month Margin Assessment Rates Change for NYMEX Division Natural Gas Basis Swap Futures Contracts
EFFECTIVE DATE: Wednesday, December 8, 2004(close of business)

FUTURES CONTRACTS:
Basis Swaps: Alberta Gas Swap (NA), Chicago Swap (NB), Henry Hub Swap (HB), Houston Ship Channel Swap (NH), San Juan Swap (NJ), Socal Swap (NS), Transco Zone 6 Swap (NZ), Northwest Pipeline Rockies Swap (NR), Panhandle Swap (PH), Michcon Swap (NF), Permian Basin Swap (PM), Texas Eastern Zone M-3 Swap (NX), TCO Swap (TC), PG&E Malin Swap (PB), PG&E Citygate Swap (PC), NGPL Tex/OK Swap (PD), NGPL LA Swap (NY), ANR Oklahoma (NE), SUMAS Swap (NK), NGPL Mid-Continent (NL), Northern Natural Gas Demarcation Swap (PE), Northern Natural Gas Ventura, Iowa Swap (PF), Dominion Transmission Inc. - Appalachia Swap (PG), CIG Rockies Swap (CI), Waha Swap (NW), Tetco Eastern South (TX), Columbia Gulf Onshore Basis (GL), Tetco ELA Basis (TE), Transco Zone 3 Basis (CZ)

Index Swaps: Henry Hub Index Swap (IN), Chicago City Gate Index Swap (IS), El Paso/Permian Index Swap (IL), Houston Ship Channel Index Swap (IP), Panhandle Index Swap (IV), Waha Index Swap (IY)
CONTRACT MONTHS: All Months

Note: The revised margins are in bold.

NYMEX Division Margin Rates for Natural Gas Basis Swaps
Natural Gas Basis Financial Swaps
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
Spot Assessment
 
New
Old
New
Old
New
Old
New
Old
Alberta Gas Swap (NA)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$300
$300
$330
$330
$405
$405
$1,000
$100
         Tier 2: 2nd Nearby
$175
$175
$193
$193
$236
$236
 
 
         Tier 3: 3rd - 6th Nearby
$100
$125
$110
$138
$135
$169
 
 
         Tier 4: 7th - 12th Nearby
$100
$125
$110
$138
$135
$169
 
 
         Tier 5: 13th and Greater
$80
$50
$88
$55
$108
$68
 
 
Chicago Swap (NB)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$50
$220
$55
$270
$68
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$100
$50
$110
$55
$135
$68
 
 
Henry Hub Swap (HB)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$25
$25
$28
$28
$34
$34
$0
$0
         Tier 2: 2nd Nearby and Greater
$25
$25
$28
$28
$34
$34
 
 
Houston Ship Channel Swap (NH)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$75
$220
$83
$270
$101
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$100
$75
$110
$83
$135
$101
 
 
San Juan Swap (NJ)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$350
$550
$385
$675
$473
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$300
$300
$330
$330
$405
$405
 
 
Socal Swap (NS)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$375
$550
$413
$675
$506
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$300
$300
$330
$330
$405
$405
 
 
Transco Zone 6 Swap (NZ)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$150
$220
$165
$270
$203
$0
$0
         Tier 2: 2nd Nearby
$400
$75
$440
$83
$540
$101
 
 
         Tier 3: 3rd - 6th Nearby
$400
$75
$440
$83
$540
$101
 
 
         Tier 4: 7th - 12th Nearby
$75
$50
$83
$55
$101
$68
 
 
         Tier 5: 13th and Greater
$50
$25
$55
$28
$68
$34
 
 
Northwest Pipeline, Rockies Swap (NR)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$325
$550
$358
$675
$439
$1,000
$0
         Tier 2: 2nd Nearby
$250
$225
$275
$248
$338
$304
 
 
         Tier 3: 3rd - 6th Nearby
$225
$200
$248
$220
$304
$270
 
 
         Tier 4: 7th - 12th Nearby
$125
$125
$138
$138
$169
$169
 
 
         Tier 5: 13th and Greater
$75
$75
$83
$83
$101
$101
 
 
Panhandle Swap (PH)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$100
$550
$110
$675
$135
$1,000
$200
         Tier 2: 2nd Nearby and Greater
$300
$75
$330
$83
$405
$101
 
 
MichCon Swap (NF)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$75
$550
$83
$675
$101
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$75
$75
$83
$83
$101
$101
 
 
Permian Swap (PM)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$200
$550
$220
$675
$270
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$300
$100
$330
$110
$405
$135
 
 
Texas Eastern Zone M-3 Swap (NX)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$100
$220
$110
$270
$135
$0
$0
         Tier 2: 2nd Nearby and Greater
$150
$100
$165
$110
$203
$135
 
 
TCO Swap (TC)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$100
$75
$110
$83
$135
$101
$0
$0
         Tier 2: 2nd Nearby and Greater
$75
$50
$83
$55
$101
$68
 
 
PG&E Malin Swap (PB)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$250
$550
$275
$675
$338
$1,000
$500
         Tier 2: 2nd Nearby and Greater
$200
$175
$220
$193
$270
$236
 
 
PG&E Citygate Swap (PC)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$275
$550
$303
$675
$371
$1,000
$500
         Tier 2: 2nd Nearby and Greater
$300
$275
$330
$303
$405
$371
 
 
NGPL Tex / OK Swap (PD)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$150
$75
$165
$83
$203
$101
$500
$500
         Tier 2: 2nd Nearby and Greater
$125
$50
$138
$55
$169
$68
 
 
NGPL LA Swap (NY)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$25
$25
$28
$28
$34
$34
$500
$500
         Tier 2: 2nd Nearby and Greater
$25
$25
$28
$28
$34
$34
 
 
ANR Oklahoma Swap (NE)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$100
$220
$110
$270
$135
$1,000
$500
         Tier 2: 2nd Nearby and Greater
$200
$100
$220
$110
$270
$135
 
 
SUMAS Swap (NK)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$500
$325
$550
$358
$675
$439
$1,000
$500
         Tier 2: 2nd Nearby and Greater
$350
$300
$385
$330
$473
$405
 
 
NGPL Mid-Continent Swap (NL)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$75
$220
$83
$270
$101
$1,000
$500
         Tier 2: 2nd Nearby and Greater
$200
$50
$220
$55
$270
$68
 
 
Northern Natural Gas Demarcation Swap (PE)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$100
$220
$110
$270
$135
$500
$500
         Tier 2: 2nd Nearby and Greater
$150
$50
$165
$55
$203
$68
 
 
Northern Natural Gas Ventura, Iowa Swap (PF)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$50
$220
$55
$270
$68
$500
$500
         Tier 2: 2nd Nearby and Greater
$150
$50
$165
$55
$203
$68
 
 
Dominion Transmission Inc. - Appalachia Swap (PG)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$250
$100
$275
$110
$338
$135
$500
$500
         Tier 2: 2nd Nearby and Greater
$150
$100
$165
$110
$203
$135
 
 
CIG Rockies Swap (CI)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$1,250
$475
$1,375
$523
$1,688
$641
$500
$500
         Tier 2: 2nd Nearby
$300
$325
$330
$358
$405
$439
 
 
         Tier 3: 3rd - 6th Nearby
$200
$275
$220
$303
$270
$371
 
 
         Tier 4: 7th - 12th Nearby
$100
$175
$110
$193
$135
$236
 
 
         Tier 5: 13th and Greater
$75
$125
$83
$138
$101
$169
 
 
Waha Swap (NW)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$200
$100
$220
$110
$270
$135
$1,000
$100
         Tier 2: 2nd Nearby and Greater
$200
$75
$220
$83
$270
$101
 
 
Tetco Eastern South/STX (TX)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$150
$50
$165
$55
$203
$68
$100
$100
         Tier 2: 2nd Nearby and Greater
$75
$50
$83
$55
$101
$68
 
 
Columbia Gulf Onshore Basis (GL)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$50
$50
$55
$55
$68
$68
$100
$100
         Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 
Tetco ELA Basis (TE)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$50
$50
$55
$55
$68
$68
$0
$0
         Tier 2: 2nd Nearby and Greater
$25
$50
$28
$55
$34
$68
 
 
Transco Zone 3 Basis (CZ)
 
 
 
 
 
 
 
 
         Tier 1 - 1st Nearby
$50
$50
$55
$55
$68
$68
$100
$100
         Tier 2: 2nd Nearby and Greater
$25
$50
$28
$55
$34
$68
 
 


NYMEX Division Margin Rates for Natural Gas Index Swaps
Natural Gas Index Financial Swaps
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
Henry Hub Index Swap (IN)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$1,175
$500
$1,293
$550
$1,586
$675
         Tier 2: Greater than 1st Nearby
$100
$100
$110
$110
$135
$135
Chicago City Gate Index Swap (IS)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$2,750
$500
$3,025
$550
$3,713
$675
         Tier 2: Greater than 1st Nearby
$100
$100
$110
$110
$135
$135
El Paso/Permian Index Swap (IL)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$1,250
$500
$1,375
$550
$1,688
$675
         Tier 2: Greater than 1st Nearby
$150
$150
$165
$165
$203
$203
Houston Ship Channel Index Swap (IP)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$750
$500
$825
$550
$1,013
$675
         Tier 2: Greater than 1st Nearby
$100
$100
$110
$110
$135
$135
Panhandle Index Swap (IV)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$1,000
$500
$1,100
$550
$1,350
$675
         Tier 2: Greater than 1st Nearby
$100
$100
$110
$110
$135
$135
Waha Index Swap (IY)
 
 
 
 
 
 
         Tier 1 - 1st Nearby Month
$1,000
$500
$1,100
$550
$1,350
$675
         Tier 2: Greater than 1st Nearby
$100
$100
$110
$110
$135
$135


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. Spreading between differently margined contracts results in a higher spread margin than between equally margined contracts. Below is provided an example where the legs of a spread are margined differently.

Scan Risk Example at Clearing Member Rates
A spread consisting of one IN leg in Tier 1 and another in Tier 2 will have its requirement (at the clearing member rates) calculated at $1,175 starting on Wednesday, December 8, 2004.


One Long Tier 1 IN (1 * $1,250)
=
$
1,250
One Short Tier 2 IN (1 * $100)
=
-
$
100
Net Scan Risk ($1,250-$100)
=
$
1,150
Spread Rate (1* $25)
=
$
25
Total Requirement  
=
$
1,175


Summary
Clearing Member (Maintenance Margin):
$1,175
Member Customer (Initial Margin):
$1,293
Non-Member Customer (Initial Margin):
$1,586

This notice supersedes all previous notices regarding margins rates for the Natural Gas Basis and Index swap contracts, and spot month margin assessment rates for Natural Gas Basis swap contracts listed above.
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com