12/09/2005
FUTURES CONTRACTS:
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 - 2nd Nearby Month | $2,000 |
$1,000 |
$2,200 |
$1,100 |
$2,700 |
$1,350 |
| Tier 2: Greater than 2nd Nearby | $50 |
$50 |
$55 |
$55 |
$68 |
$68 |
| Chicago City Gate Index Swap (IS) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $2,500 |
$2,000 |
$2,750 |
$2,200 |
$3,375 |
$2,700 |
| 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 | $2,300 |
$1,500 |
$2,530 |
$1,650 |
$3,105 |
$2,025 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Panhandle Index Swap (IV) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $1,700 |
$1,250 |
$1,870 |
$1,375 |
$2,295 |
$1,688 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Waha Index Swap (IY) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $2,000 |
$1,250 |
$2,200 |
$1,375 |
$2,700 |
$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 |
$1,000 |
$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 | $1,600 |
$1,250 |
$1,760 |
$1,375 |
$2,160 |
$1,688 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Rockies Index Swap (IR) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $1,975 |
$1,575 |
$2,173 |
$1,733 |
$2,666 |
$2,126 |
| Tier 2: Greater than 2nd Nearby | $225 |
$175 |
$248 |
$193 |
$304 |
$236 |
| SoCal Index Swap (IF) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $2,200 |
$1,250 |
$2,420 |
$1,375 |
$2,970 |
$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 | $1,800 |
$1,250 |
$1,980 |
$1,375 |
$2,430 |
$1,688 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Sumas Index Swap (IU) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $2,000 |
$1,250 |
$2,200 |
$1,375 |
$2,700 |
$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 | $2,300 |
$1,000 |
$2,530 |
$1,100 |
$3,105 |
$1,350 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
| Transco Zone 6 Index Swap (IT) | ||||||
| Tier 1 - 1st - 2nd Nearby Month | $2,300 |
$1,200 |
$2,530 |
$1,320 |
$3,105 |
$1,620 |
| Tier 2: Greater than 2nd Nearby | $125 |
$125 |
$138 |
$138 |
$169 |
$169 |
This notice supercedes all previous notices regarding margins rates for the Natural Gas Basis and Index swap contracts listed above.