Notice to Members
Notice No. 592
12/28/2005
Margin Rates Change for Existing NYMEX Division Natural Gas Basis, Index, and Swing Swap Contracts
EFFECTIVE DATE: Thursday, December 29, 2005 (close of business)

FUTURES CONTRACTS:
Basis Swaps: Transco Zone 6 Basis Swap (NZ) and Texas Eastern Zone M-3 Basis Swap (NX)

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), Dominion Index Swap (IH), PG&E City Gate Index Swap (IK), Northwest Rockies Index Swap (IR), SoCal Index Swap (IF), San Juan Index Swap (IJ), Sumas Index Swap (IU), TETCO M-3 Index Swap (IX), Transco Zone 6 Index Swap (IT)

Swing Swaps: Dominion Swing Swap (SH), Kern River Swing Swap (SR), PG&E City Gate Swing Swap (SK), San Juan Swing Swap (SJ), SoCal Swing Swap (SF), Sumas Swing Swap (SU), TETCO M-3 Swing Swap (SX), Transco Zone 6 Swing Swap (ST), Chicago City Gate Swing Swap (SS), El Paso/Permian Swing Swap (SL), Houston Ship Channel Swing Swap (SM), Panhandle Swing Swap (SV), Waha Swing Swap (SY)
CONTRACT MONTHS: All Months

Note: The revised margin rates are in bold


NYMEX Division Margin Rates For Existing Natural Gas Basis Swaps
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
Spot Assessment
Natural Gas Basis Financial
New
Old
New
Old
New
Old
New
Old
Transco Zone 6 Swap (NZ)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,200
$600
$1,320
$660
$1,620
$810
$100
$100
      Tier 2: 2nd Nearby
$1,100
$550
$1,210
$605
$1,485
$743
 
 
      Tier 3: 3rd - 6th Nearby
$500
$1,000
$550
$1,100
$675
$1,350
 
 
      Tier 4: 7th - 12th Nearby
$200
$200
$220
$220
$270
$270
 
 
      Tier 5: 13th And Greater
$100
$100
$110
$110
$135
$135
 
 
Texas Eastern Zone M-3 Swap (NX)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,300
$700
$1,430
$770
$1,755
$945
$100
$100
      Tier 2: 2nd Nearby and Greater
$500
$500
$550
$550
$675
$675
 
 


NYMEX Division Outright (Scan) Margin Rates For Existing Natural Gas Index Swaps
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
Natural Gas Index Financial
New
Old
New
Old
New
Old
Henry Hub Index Swap (IN)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$2,000
$3,300
$2,200
$4,050
$2,700
      Tier 2: Greater than 2nd Nearby
$50
$50
$55
$55
$68
$68
Chicago City Gate Index Swap (IS)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$2,500
$3,300
$2,750
$4,050
$3,375
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
El Paso/Permian Index Swap (IL)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$1,575
$3,300
$1,733
$4,050
$2,126
      Tier 2: Greater than 2nd Nearby
$200
$200
$220
$220
$270
$270
Houston Ship Channel Index Swap (IP)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,500
$2,300
$3,850
$2,530
$4,725
$3,105
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Panhandle Index Swap (IV)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,500
$1,700
$3,850
$1,870
$4,725
$2,295
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Waha Index Swap (IY)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,500
$2,000
$3,850
$2,200
$4,725
$2,700
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Dominion Index Swap (IH)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
      Tier 2: Greater than 2nd Nearby
$100
$100
$110
$110
$135
$135
PG&E City Gate Index Swap (IK)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$2,800
$1,600
$3,080
$1,760
$3,780
$2,160
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Rockies Index Swap (IR)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,200
$1,975
$3,520
$2,173
$4,320
$2,666
      Tier 2: Greater than 2nd Nearby
$300
$225
$330
$248
$405
$304
SoCal Index Swap (IF)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$2,200
$3,300
$2,420
$4,050
$2,970
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
San Juan Index Swap (IJ)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,800
$1,800
$1,980
$1,980
$2,430
$2,430
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Sumas Index Swap (IU)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$2,600
$2,000
$2,860
$2,200
$3,510
$2,700
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
TETCO M-3 Index Swap (IX)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$2,300
$3,300
$2,530
$4,050
$3,105
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Transco Zone 6 Index Swap (IT)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$3,000
$2,300
$3,300
$2,530
$4,050
$3,105
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169


NYMEX Division Outright (Scan) Margin Rates For The New Natural Gas Swing Swaps
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
All Nearby Contracts
New
Old
New
Old
New
Old
Dominion Swing Swap (SH)
$3,500
$3,500
$3,850
$3,850
$4,725
$4,725
Kern River Swing Swap (SR)
$4,500
$3,750
$4,950
$4,125
$6,075
$5,063
PG&E City Gate Swing Swap (SK)
$4,500
$3,750
$4,950
$4,125
$6,075
$5,063
San Juan Swing Swap (SJ)
$4,000
$3,500
$4,400
$3,850
$5,400
$4,725
SoCal Swing Swap (SF)
$4,500
$4,000
$4,950
$4,400
$6,075
$5,400
Sumas Swing Swap (SU)
$4,300
$3,000
$4,730
$3,300
$5,805
$4,050
TETCO M-3 Swing Swap (SX)
$4,600
$4,000
$5,060
$4,400
$6,210
$5,400
Transco Zone 6 Swing Swap (ST)
$4,200
$4,000
$4,620
$4,400
$5,670
$5,400
Chicago City Gate Swing Swap (SS)
$3,600
$3,600
$3,960
$3,960
$4,860
$4,860
El Paso Permian Swing Swap (SL)
$3,600
$3,600
$3,960
$3,960
$4,860
$4,860
Houston Ship Channel Swing Swap (SM)
$5,000
$5,000
$5,500
$5,500
$6,750
$6,750
Panhandle Swing Swap (SV)
$3,500
$3,500
$3,850
$3,850
$4,725
$4,725
Waha Swing Swap (SY)
$5,000
$5,000
$5,500
$5,500
$6,750
$6,750

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