08/31/2006
FUTURES CONTRACTS:
ANR Oklahoma Basis Swap (NE), Houston Ship Channel Basis Swap (NH), San Juan Basis Swap (NJ), Socal Basis Swap (NS), Waha Basis Swap (NW), Texas Eastern Zone M-3 Basis Swap (NX), PGE&E Malin Basis Swap (PB), Northern Natural Gas Demarcation Basis Swap (PE), Panhandle Basis Swap (PH)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 |
||||
Natural Gas Basis Financial |
New |
Old |
New |
Old |
New |
Old |
| ANR Oklahoma Swap (NE) | ||||||
| Tier 1: 1st Nearby | $1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
| Tier 2: 2nd Nearby and Greater | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Houston Ship Channel Swap (NH) | ||||||
| Tier 1: 1st Nearby | $1,000 |
$800 |
$1,100 |
$880 |
$1,350 |
$1,080 |
| Tier 2: 2nd Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Tier 3: 3rd - 6th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 4: 7th - 12th Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Tier 5: Greater than 12th Nearby | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| San Juan Swap (NJ) | ||||||
| Tier 1: 1st Nearby | $1,200 |
$800 |
$1,320 |
$880 |
$1,620 |
$1,080 |
| Tier 2: 2nd Nearby | $800 |
$750 |
$880 |
$825 |
$1,080 |
$1,013 |
| Tier 3: 3rd - 6th Nearby | $950 |
$950 |
$1,045 |
$1,045 |
$1,283 |
$1,283 |
| Tier 4: 7th - 12th Nearby | $700 |
$700 |
$770 |
$770 |
$945 |
$945 |
| Tier 5: Greater than 12th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Socal Swap (NS) | ||||||
| Tier 1: 1st Nearby | $1,400 |
$1,000 |
$1,540 |
$1,100 |
$1,890 |
$1,350 |
| Tier 2: 2nd Nearby | $800 |
$800 |
$880 |
$880 |
$1,080 |
$1,080 |
| Tier 3: 3rd - 6th Nearby | $850 |
$850 |
$935 |
$935 |
$1,148 |
$1,148 |
| Tier 4: 7th - 12th Nearby | $650 |
$650 |
$715 |
$715 |
$878 |
$878 |
| Tier 5: Greater than 12th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Waha Swap (NW) | ||||||
| Tier 1: 1st Nearby | $1,200 |
$1,000 |
$1,320 |
$1,100 |
$1,620 |
$1,350 |
| Tier 2: 2nd Nearby | $700 |
$700 |
$770 |
$770 |
$945 |
$945 |
| Tier 3: 3rd - 6th Nearby | $850 |
$850 |
$935 |
$935 |
$1,148 |
$1,148 |
| Tier 4: 7th - 12th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 5: Greater than 12th Nearby | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Texas Eastern Zone M-3 Swap (NX) | ||||||
| Tier 1: 1st Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 2: 2nd Nearby and Greater | $350 |
$350 |
$385 |
$385 |
$473 |
$473 |
| PGE&E Malin Swap (PB) | ||||||
| Tier 1: 1st - 2nd Nearby | $1,200 |
$1,000 |
$1,320 |
$1,100 |
$1,620 |
$1,350 |
| Tier 2: 3rd - 5th Nearby | $850 |
$850 |
$935 |
$935 |
$1,148 |
$1,148 |
| Tier 3: Greater than 5th Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Northern Natural Gas Demarcation Swap (PE) | ||||||
| Tier 1: 1st - 2nd Nearby | $900 |
$800 |
$990 |
$880 |
$1,215 |
$1,080 |
| Tier 2: 3rd - 5th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 3: Greater than 5th Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Panhandle Swap (PH) | ||||||
| Tier 1: 1st Nearby | $1,000 |
$600 |
$1,100 |
$660 |
$1,350 |
$810 |
| Tier 2: 2nd Nearby | $550 |
$550 |
$605 |
$605 |
$743 |
$743 |
| Tier 3: 3rd - 6th Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Tier 4: 7th - 12th Nearby | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Tier 5: Greater than 12th Nearby | $350 |
$350 |
$385 |
$385 |
$473 |
$473 |