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. |