EFFECTIVE DATE: Tuesday, August 30, 2005 (close of business)
FUTURES CONTRACTS:
Basis Swaps: Alberta Gas Basis Swap (NA),
Chicago Basis Swap (NB), Henry Hub Basis Swap (HB), Houston Ship Channel Basis
Swap (NH), San Juan Basis Swap (NJ), Socal Basis Swap (NS), Transco Zone 6 Basis
Swap (NZ), Northwest Pipeline Rockies Basis Swap (NR), Panhandle Basis Swap
(PH), Michcon Basis Swap (NF), Permian Basin Basis Swap (PM), Texas Eastern
Zone M-3 Basis Swap (NX), TCO Basis Swap (TC), PGE&E Malin Basis Swap (PB),
PGE&E Citygate Basis Swap (PC), NGPL Tex/OK Basis Swap (PD), NGPL LA Basis
Swap (NY), ANR Oklahoma (NE), SUMAS Basis Swap (NK), NGPL Mid-Continent (NL),
Northern Natural Gas Demarcation Basis Swap (PE), Northern Natural Gas Ventura,
Iowa Basis Swap (PF), Dominion Transmission Inc. Appalachia Basis Swap
(PG), CIG Rockies Basis Swap (CI), Waha Basis Swap (NW), Tetco Eastern South
Basis Swap (TX), Columbia Gulf Onshore Basis Swap (GL), Tectco ELA Basis Swap
(TE), Transco Zone 3 Basis Swap (CZ), ANR LA Basis Swap (ND), Tennessee Zone
0 Basis Swap (NQ), Tennessee 500 Leg Basis Swap (NM), Trunkline, LA Basis Swap
(NU), Kern River Wyoming Basis Swap (NV), Questar Basis Swap (TA), Texas Gas,
SL Basis Swap (TB)
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)
CONTRACT MONTHS: All Months
Note: The revised margin rates are in bold
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 Nearby Month |
$1,475 |
$1,175 |
$1,623 |
$1,293 |
$1,991 |
$1,586 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Chicago City Gate Index Swap (IS) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$3,450 |
$2,750 |
$3,795 |
$3,025 |
$4,658 |
$3,713 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| El Paso/Permian Index Swap (IL) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,575 |
$1,250 |
$1,733 |
$1,375 |
$2,126 |
$1,688 |
| Tier 2: Greater than 1st Nearby |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
| Houston Ship Channel Index Swap (IP) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$950 |
$750 |
$1,045 |
$825 |
$1,283 |
$1,013 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Panhandle Index Swap (IV) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Waha Index Swap (IY) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Dominion Index Swap (IH) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,475 |
$1,175 |
$1,623 |
$1,293 |
$1,991 |
$1,586 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| PG&E City Gate Index Swap (IK) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Rockies Index Swap (IR) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| SoCal Index Swap (IF) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| San Juan Index Swap (IJ) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Sumas Index Swap (IU) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| TETCO M-3 Index Swap (IX) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,475 |
$1,175 |
$1,623 |
$1,293 |
$1,991 |
$1,586 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
| Transco Zone 6 Index Swap (IT) |
|
|
|
|
|
|
| Tier 1: 1st Nearby Month |
$1,475 |
$1,175 |
$1,623 |
$1,293 |
$1,991 |
$1,586 |
| Tier 2: Greater than 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
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 |
| Alberta Gas Swap (NA) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby |
$225 |
$175 |
$248 |
$193 |
$304 |
$236 |
|
|
| Tier 3: 3rd - 6th Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
|
|
| Tier 4: 7th - 12th Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
|
|
| Tier 5: 13th and Greater |
$100 |
$80 |
$110 |
$88 |
$135 |
$108 |
|
|
| Chicago Swap (NB) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
|
|
| Henry Hub Swap (HB) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
$0 |
$0 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| Houston Ship Channel Swap (NH) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
|
|
| San Juan Swap (NJ) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| Socal Swap (NS) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| Transco Zone 6 Swap (NZ) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$0 |
$0 |
| Tier 2: 2nd Nearby |
$500 |
$400 |
$550 |
$440 |
$675 |
$540 |
|
|
| Tier 3: 3rd - 6th Nearby |
$500 |
$400 |
$550 |
$440 |
$675 |
$540 |
|
|
| Tier 4: 7th - 12th Nearby |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Tier 5: 13th and Greater |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
|
|
| Northwest Pipeline, Rockies Swap (NR) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby |
$325 |
$250 |
$358 |
$275 |
$439 |
$338 |
|
|
| Tier 3: 3rd - 6th Nearby |
$300 |
$225 |
$330 |
$248 |
$405 |
$304 |
|
|
| Tier 4: 7th - 12th Nearby |
$175 |
$125 |
$193 |
$138 |
$236 |
$169 |
|
|
| Tier 5: 13th and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Panhandle Swap (PH) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| MichCon Swap (NF) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Permian Swap (PM) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| Texas Eastern Zone M-3 Swap (NX) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$0 |
$0 |
| Tier 2: 2nd Nearby and Greater |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
|
|
| TCO Swap (TC) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
$0 |
$0 |
| Tier 2: 2nd Nearby and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| PGE&E Malin Swap (PB) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
|
|
| PGE&E Citygate Swap (PC) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| NGPL Tex / OK Swap (PD) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
$500 |
$500 |
| Tier 2: 2nd Nearby and Greater |
$175 |
$125 |
$193 |
$138 |
$236 |
$169 |
|
|
| NGPL LA Swap (NY) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
$500 |
$500 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| ANR Oklahoma Swap (NE) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
|
|
| SUMAS Swap (NK) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$450 |
$350 |
$495 |
$385 |
$608 |
$473 |
|
|
| NGPL Mid-Continent Swap (NL) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
|
|
| Northern Natural Gas Demarcation Swap (PE) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$500 |
$500 |
| Tier 2: 2nd Nearby and Greater |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
|
|
| Northern Natural Gas Ventura, Iowa Swap (PF) Tier 1: 1st
Nearby |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$500 |
$500 |
| Tier 2: 2nd Nearby and Greater |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
|
|
| Dominion Transmission Inc. – Appalachia Swap (PG) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$325 |
$250 |
$358 |
$275 |
$439 |
$338 |
$500 |
$500 |
| Tier 2: 2nd Nearby and Greater |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
|
|
| CIG Rockies Swap (CI) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$1,575 |
$1,250 |
$1,733 |
$1,375 |
$2,126 |
$1,688 |
$500 |
$500 |
| Tier 2: 2nd Nearby |
$375 |
$300 |
$413 |
$330 |
$506 |
$405 |
|
|
| Tier 3: 3rd - 6th Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
|
|
| Tier 4: 7th - 12th Nearby |
$125 |
$100 |
$138 |
$110 |
$169 |
$135 |
|
|
| Tier 5: 13th and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Waha Swap (NW) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
$1,000 |
$1,000 |
| Tier 2: 2nd Nearby and Greater |
$250 |
$200 |
$275 |
$220 |
$338 |
$270 |
|
|
| Tetco Eastern South/STX (TX) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Columbia Gulf Onshore Basis (GL) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
|
|
| Tectco ELA Basis (TE) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$0 |
$0 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| Transco Zone 3 Basis (CZ) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| ANR, LA (ND) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| Tennessee, Zone 0 (NQ) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$200 |
$150 |
$220 |
$165 |
$270 |
$203 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Tennessee, LA 500 (NM) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| Trunkline, LA (NU) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
| Kern River Basis (Ppal) (NV) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$500 |
$500 |
| Tier 2: 2nd Nearby |
$325 |
$250 |
$358 |
$275 |
$439 |
$338 |
|
|
| Tier 3: 3rd - 6th Nearby |
$300 |
$225 |
$330 |
$248 |
$405 |
$304 |
|
|
| Tier 4: 7th - 11th Nearby |
$175 |
$125 |
$193 |
$138 |
$236 |
$169 |
|
|
| Tier 5: 12th and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Questar Basis (TA) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$625 |
$500 |
$688 |
$550 |
$844 |
$675 |
$500 |
$500 |
| Tier 2: 2nd Nearby |
$325 |
$250 |
$358 |
$275 |
$439 |
$338 |
|
|
| Tier 3: 3rd - 6th Nearby |
$300 |
$225 |
$330 |
$248 |
$405 |
$304 |
|
|
| Tier 4: 7th - 11th Nearby |
$175 |
$125 |
$193 |
$138 |
$236 |
$169 |
|
|
| Tier 5: 12th and Greater |
$100 |
$75 |
$110 |
$83 |
$135 |
$101 |
|
|
| Texas Gas, SL (TB) |
|
|
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$75 |
$50 |
$83 |
$55 |
$101 |
$68 |
$100 |
$100 |
| Tier 2: 2nd Nearby and Greater |
$50 |
$25 |
$55 |
$28 |
$68 |
$34 |
|
|
This notice supersedes all previous notices regarding margins rates for
the Natural Gas Basis and Index swap contracts listed above. |