Notice to Members
Notice No. 467
10/06/2005
Margin Rates Change for Existing Nymex Division Natural Gas Basis and Index Swap Contracts
EFFECTIVE DATE: Friday, October 7, 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 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
$700
$375
$770
$413
$945
$506
$500
$1,000
      Tier 2: 2nd Nearby
$350
$225
$385
$248
$473
$304
 
 
      Tier 3: 3rd - 6th Nearby
$200
$125
$220
$138
$270
$169
 
 
      Tier 4: 7th - 12th Nearby
$125
$125
$138
$138
$169
$169
 
 
      Tier 5: 13th And Greater
$100
$100
$110
$110
$135
$135
 
 
Chicago Swap (NB)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$600
$250
$660
$275
$810
$338
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$125
$125
$138
$138
$169
$169
 
 
Henry Hub Swap (HB)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$50
$50
$55
$55
$68
$68
$0
$0
      Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 
Houston Ship Channel Swap (NH)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,000
$525
$1,100
$578
$1,350
$709
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$300
$325
$330
$358
$405
$439
 
 
San Juan Swap (NJ)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$850
$625
$935
$688
$1,148
$844
$250
$1,000
      Tier 2: 2nd Nearby and Greater
$475
$375
$523
$413
$641
$506
 
 
Socal Swap (NS)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$900
$625
$990
$688
$1,215
$844
$250
$1,000
      Tier 2: 2nd Nearby and Greater
$475
$375
$523
$413
$641
$506
 
 
Transco Zone 6 Swap (NZ)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$350
$250
$385
$275
$473
$338
$100
$0
      Tier 2: 2nd Nearby
$550
$500
$605
$550
$743
$675
 
 
      Tier 3: 3rd - 6th Nearby
$800
$500
$880
$550
$1,080
$675
 
 
      Tier 4: 7th - 12th Nearby
$150
$100
$165
$110
$203
$135
 
 
      Tier 5: 13th And Greater
$100
$75
$110
$83
$135
$101
 
 
Northwest Pipeline, Rockies Swap (NR)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$750
$625
$825
$688
$1,013
$844
$500
$1,000
      Tier 2: 2nd Nearby
$500
$325
$550
$358
$675
$439
 
 
      Tier 3: 3rd - 6th Nearby
$500
$300
$550
$330
$675
$405
 
 
      Tier 4: 7th - 12th Nearby
$225
$175
$248
$193
$304
$236
 
 
      Tier 5: 13th And Greater
$125
$100
$138
$110
$169
$135
 
 
Panhandle Swap (PH)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$900
$800
$990
$880
$1,215
$1,080
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$500
$400
$550
$440
$675
$540
 
 
MichCon Swap (NF)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$625
$625
$688
$688
$844
$844
$100
$1,000
      Tier 2: 2nd Nearby and Greater
$100
$100
$110
$110
$135
$135
 
 
Permian Swap (PM)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,200
$800
$1,320
$880
$1,620
$1,080
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$500
$475
$550
$523
$675
$641
 
 
Texas Eastern Zone M-3 Swap (NX)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$325
$250
$358
$275
$439
$338
$100
$0
      Tier 2: 2nd Nearby and Greater
$500
$200
$550
$220
$675
$270
 
 
TCO Swap (TC)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$200
$125
$220
$138
$270
$169
$50
$0
      Tier 2: 2nd Nearby and Greater
$125
$100
$138
$110
$169
$135
 
 
PGE&E Malin Swap (PB)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,200
$875
$1,320
$963
$1,620
$1,181
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$500
$400
$550
$440
$675
$540
 
 
PGE&E Citygate Swap (PC)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,300
$925
$1,430
$1,018
$1,755
$1,249
$500
$1,000
      Tier 2: 2nd Nearby and Greater
$500
$475
$550
$523
$675
$641
 
 
NGPL Tex / OK Swap (PD)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$750
$425
$825
$468
$1,013
$574
$250
$500
      Tier 2: 2nd Nearby and Greater
$300
$275
$330
$303
$405
$371
 
 
NGPL LA Swap (NY)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$50
$50
$55
$55
$68
$68
$25
$500
      Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 
ANR Oklahoma Swap (NE)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,000
$825
$1,100
$908
$1,350
$1,114
$400
$1,000
      Tier 2: 2nd Nearby and Greater
$425
$325
$468
$358
$574
$439
 
 
SUMAS Swap (NK)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,000
$625
$1,100
$688
$1,350
$844
$300
$1,000
      Tier 2: 2nd Nearby and Greater
$575
$450
$633
$495
$776
$608
 
 
NGPL Mid-Continent Swap (NL)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$900
$250
$990
$275
$1,215
$338
$250
$1,000
      Tier 2: 2nd Nearby and Greater
$250
$250
$275
$275
$338
$338
 
 
Northern Natural Gas Demarcation Swap (PE)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$850
$450
$935
$495
$1,148
$608
$250
$500
      Tier 2: 2nd Nearby and Greater
$275
$275
$303
$303
$371
$371
 
 
Northern Natural Gas Ventura, Iowa Swap (PF)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$750
$425
$825
$468
$1,013
$574
$250
$500
      Tier 2: 2nd Nearby and Greater
$350
$275
$385
$303
$473
$371
 
 
Dominion Transmission Inc. – Appalachia Swap (PG)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$325
$325
$358
$358
$439
$439
$100
$500
      Tier 2: 2nd Nearby and Greater
$200
$200
$220
$220
$270
$270
 
 
CIG Rockies Swap (CI)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,800
$1,575
$1,980
$1,733
$2,430
$2,126
$250
$500
      Tier 2: 2nd Nearby
$500
$375
$550
$413
$675
$506
 
 
      Tier 3: 3rd - 6th Nearby
$450
$250
$495
$275
$608
$338
 
 
      Tier 4: 7th - 12th Nearby
$300
$125
$330
$138
$405
$169
 
 
      Tier 5: 13th And Greater
$200
$100
$220
$110
$270
$135
 
 
Waha Swap (NW)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$1,100
$725
$1,210
$798
$1,485
$979
$750
$1,000
      Tier 2: 2nd Nearby and Greater
$350
$325
$385
$358
$473
$439
 
 
Tetco Eastern South/STX (TX)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$400
$200
$440
$220
$540
$270
$100
$100
      Tier 2: 2nd Nearby
$250
$100
$275
$110
$338
$135
 
 
      Tier 3: 3rd - 6th Nearby
$200
$100
$220
$110
$270
$135
 
 
      Tier 4: 7th - 12th Nearby
$150
$100
$165
$110
$203
$135
 
 
      Tier 5: 13th And Greater
$125
$100
$138
$110
$169
$135
 
 
Columbia Gulf Onshore Basis (GL)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$75
$75
$83
$83
$101
$101
$1,500
$100
      Tier 2: 2nd Nearby
$75
$75
$83
$83
$101
$101
 
 
      Tier 3: 3rd - 6th Nearby
$75
$75
$83
$83
$101
$101
 
 
      Tier 4: 7th - 12th Nearby
$75
$75
$83
$83
$101
$101
 
 
      Tier 5: 13th And Greater
$75
$75
$83
$83
$101
$101
 
 
Tectco ELA Basis (TE)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$150
$75
$165
$83
$203
$101
$0
$0
      Tier 2: 2nd Nearby
$75
$50
$83
$55
$101
$68
 
 
      Tier 3: 3rd - 6th Nearby
$50
$50
$55
$55
$68
$68
 
 
      Tier 4: 7th - 12th Nearby
$50
$50
$55
$55
$68
$68
 
 
      Tier 5: 13th And Greater
$50
$50
$55
$55
$68
$68
 
 
Transco Zone 3 Basis (CZ)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$180
$75
$198
$83
$243
$101
$100
$100
      Tier 2: 2nd Nearby
$75
$50
$83
$55
$101
$68
 
 
      Tier 3: 3rd - 6th Nearby
$75
$50
$83
$55
$101
$68
 
 
      Tier 4: 7th - 12th Nearby
$75
$50
$83
$55
$101
$68
 
 
      Tier 5: 13th And Greater
$75
$50
$83
$55
$101
$68
 
 
ANR, LA (ND)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$50
$75
$55
$83
$68
$101
$50
$100
      Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 
Tennessee, Zone 0 (NQ)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$400
$200
$440
$220
$540
$270
$100
$100
      Tier 2: 2nd Nearby and Greater
$300
$100
$330
$110
$405
$135
 
 
Tennessee, LA 500 (NM)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$100
$75
$110
$83
$135
$101
$50
$100
      Tier 2: 2nd Nearby and Greater
$75
$50
$83
$55
$101
$68
 
 
Trunkline, LA (NU)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$75
$75
$83
$83
$101
$101
$50
$100
      Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 
Kern River Basis (NV)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$625
$625
$688
$688
$844
$844
$500
$500
      Tier 2: 2nd Nearby
$325
$325
$358
$358
$439
$439
 
 
      Tier 3: 3rd - 4th Nearby
$300
$300
$330
$330
$405
$405
 
 
      Tier 4: 5th - 11th Nearby
$175
$175
$193
$193
$236
$236
 
 
      Tier 5: 12th And Greater
$100
$100
$110
$110
$135
$135
 
 
Questar Basis (TA)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$900
$625
$990
$688
$1,215
$844
$500
$500
      Tier 2: 2nd Nearby
$325
$325
$358
$358
$439
$439
 
 
      Tier 3: 3rd - 4th Nearby
$300
$300
$330
$330
$405
$405
 
 
      Tier 4: 5th - 11th Nearby
$175
$175
$193
$193
$236
$236
 
 
      Tier 5: 12th And Greater
$100
$100
$110
$110
$135
$135
 
 
Texas Gas, SL (TB)
 
 
 
 
 
 
 
 
      Tier 1: 1st Nearby
$75
$75
$83
$83
$101
$101
$100
$100
      Tier 2: 2nd Nearby and Greater
$50
$50
$55
$55
$68
$68
 
 


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
$1,000
$1,475
$1,100
$1,623
$1,350
$1,991
      Tier 2: Greater than 2nd Nearby
$50
$125
$55
$138
$68
$169
Chicago City Gate Index Swap (IS)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$2,000
$3,450
$2,200
$3,795
$2,700
$4,658
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
El Paso/Permian Index Swap (IL)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,575
$1,575
$1,733
$1,733
$2,126
$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
$1,500
$950
$1,650
$1,045
$2,025
$1,283
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Panhandle Index Swap (IV)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Waha Index Swap (IY)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Dominion Index Swap (IH)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,000
$1,475
$1,100
$1,623
$1,350
$1,991
      Tier 2: Greater than 2nd Nearby
$100
$125
$110
$138
$135
$169
PG&E City Gate Index Swap (IK)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Rockies Index Swap (IR)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,575
$1,250
$1,733
$1,375
$2,126
$1,688
      Tier 2: Greater than 2nd Nearby
$175
$125
$193
$138
$236
$169
SoCal Index Swap (IF)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
San Juan Index Swap (IJ)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Sumas Index Swap (IU)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,250
$1,250
$1,375
$1,375
$1,688
$1,688
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
TETCO M-3 Index Swap (IX)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,000
$1,475
$1,100
$1,623
$1,350
$1,991
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169
Transco Zone 6 Index Swap (IT)
 
 
 
 
 
 
      Tier 1: 1st - 2nd Nearby Month
$1,200
$1,475
$1,320
$1,623
$1,620
$1,991
      Tier 2: Greater than 2nd Nearby
$125
$125
$138
$138
$169
$169

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