Notice to Members
Notice No. 305
06/09/2006
Outright (SCAN) Margin Rates and Intra-Commodity Spread Margin Rates and Tiers Structures Changes for the Existing Natural Gas Basis Swaps Contracts
Effective Date: Monday, June 12, 2006 (close of business)

Contracts:
CIG Rockies Basis Swap (CI), Transco Zone 3 Basis Swap (CZ), Florida Gas Transmission Zone 3 (FP), Columbia Gulf Onshore Basis Swap (GL), Alberta Basis Swap (NA), Chicago Basis Swap (NB), ANR, LA Basis Swap (ND), ANR Oklahoma Basis Swap (NE), MichCon Basis Swap (NF), Houston Ship Channel Basis Swap (NH), San Juan Basis Swap (NJ), SUMAS Basis Swap (NK), NGPL Mid-Continent Basis Swap (NL), Tennessee, LA 500 Basis Swap (NM), Northwest Pipeline, Rockies Basis Swap (NR), Socal Basis Swap (NS), Trunkline, LA Basis Swap (NU), Waha Basis Swap (NW), Texas Eastern Zone M-3 Basis Swap (NX), Transco Zone 6 Basis Swap (NZ), PGE&E Malin Basis Swap (PB), PGE&E Citygate Basis Swap (PC), NGPL Tex/OK Basis Swap (PD), Northern Natural Gas Demarcation Basis Swap (PE), Northern Natural Gas Ventura, Iowa Basis Swap (PF), Panhandle Basis Swap (PH), Permian Basis Swap (PM), Transco Zone 4 Basis Swap (TR), and Tetco Eastern South/STX Basis Swap (TX)
Contract Months: All Months

Note: The revised margin rates are in bold


Outright (Scan) Margin and Intra-Commodity Spread Tiers for NH, NS, NW, PD, PH and PM
 
Tiers
New
Old
1
1st Nearby
1st Nearby
2
2nd Nearby
2nd Nearby and Greater
3
3rd - 6th Nearby
N/A
4
7th - 12th Nearby
N/A
5
Greater than 12th Nearby
N/A


Outright (Scan) Margin and Intra-Commodity Spread Tiers for NF, NK, PB, PC, PE and PF
 
Tiers
New
Old
1
1st - 2nd Nearby
1st Nearby
2
3rd - 5th Nearby
2nd Nearby and Greater
3
Greater than 5th Nearby
N/A


NYMEX Division Intra-Commodity Spread Margin Rates for NH,NS,NW,PD,PH and PM
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
NATURAL GAS BASIS FINANCIAL
New
Old
New
Old
New
Old
Tier 1: 1st Nearby
$25
$25
$28
$28
$34
$34
Tier 2: 2nd Nearby
$25
$25
$28
$28
$34
$34
Tier 3: 3rd - 6th Nearby
$25
N/A
$28
N/A
$34
N/A
Tier 4: 7th - 12th Nearby
$25
N/A
$28
N/A
$34
N/A
Tier 5: Greater than 12th Nearby
$25
N/A
$28
N/A
$34
N/A

NYMEX Division Intra-Commodity Spread Margin Rates for NF,NK,PB,PC,PE and PF
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
NATURAL GAS BASIS FINANCIAL
New
Old
New
Old
New
Old
Tier 1: 1st - 2nd Nearby
$25
$25
$28
$28
$34
$34
Tier 2: 3rd - 5th Nearby
$25
$25
$28
$28
$34
$34
Tier 3: Greater than 5th Nearby
$25
N/A
$28
N/A
$34
N/A

Spot Assessment Margins For Natural Gas Basis Swaps
 
Contracts
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
NATURAL GAS BASIS FINANCIAL
New
Old
New
Old
New
Old
CIG Rockies Swap (CI)
 
 
 
 
 
 
Tier 1: 1st Nearby
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
Tier 2: 2nd Nearby
$750
$600
$825
$660
$1,013
$810
Tier 3: 3rd - 6th Nearby
$900
$450
$990
$495
$1,215
$608
Tier 4: 7th - 12th Nearby
$650
$200
$715
$220
$878
$270
Tier 5: Greater than 12th Nearby
$500
$450
$550
$495
$675
$608
Transco Zone 3 Basis (CZ)
 
 
 
 
 
 
Tier 1: 1st Nearby
$250
$250
$275
$275
$338
$338
Tier 2: 2nd Nearby
$100
$200
$110
$220
$135
$270
Tier 3: 3rd - 6th Nearby
$100
$200
$110
$220
$135
$270
Tier 4: 7th - 12th Nearby
$100
$200
$110
$220
$135
$270
Tier 5: Greater than 12th Nearby
$75
$75
$83
$83
$101
$101
Florida Gas Transmission Zone 3 (FP)
 
 
 
 
 
 
Tier 1: All Months
$200
$75
$220
$83
$270
$101
Columbia Gulf Onshore Basis (GL)
 
 
 
 
 
 
Tier 1: 1st Nearby
$75
$75
$83
$83
$101
$101
Tier 2: 2nd Nearby
$80
$75
$88
$83
$108
$101
Tier 3: 3rd - 6th Nearby
$85
$75
$94
$83
$115
$101
Tier 4: 7th - 12th Nearby
$150
$75
$165
$83
$203
$101
Tier 5: Greater than 12th Nearby
$150
$75
$165
$83
$203
$101
Alberta Gas Swap (NA)
 
 
 
 
 
 
Tier 1: 1st Nearby
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
Tier 2: 2nd Nearby
$700
$600
$770
$660
$945
$810
Tier 3: 3rd - 6th Nearby
$950
$450
$1,045
$495
$1,283
$608
Tier 4: 7th - 12th Nearby
$650
$200
$715
$220
$878
$270
Tier 5: Greater than 12th Nearby
$350
$100
$385
$110
$473
$135
Chicago Swap (NB)
 
 
 
 
 
 
Tier 1: 1st Nearby
$700
$700
$770
$770
$945
$945
Tier 2: 2nd Nearby and Greater
$600
$450
$660
$495
$810
$608
ANR, LA (ND)
 
 
 
 
 
 
Tier 1: 1st Nearby
$150
$150
$165
$165
$203
$203
Tier 2: 2nd Nearby and Greater
$75
$50
$83
$55
$101
$68
ANR Oklahoma Swap (NE)
 
 
 
 
 
 
Tier 1: 1st Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 2nd Nearby and Greater
$600
$500
$660
$550
$810
$675
MichCon Swap (NF)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$500
$625
$550
$688
$675
$844
Tier 2: 3rd - 5th Nearby
$600
$200
$660
$220
$810
$270
Tier 3: Greater than 5th Nearby
$550
N/A
$605
N/A
$743
N/A
Houston Ship Channel Swap (NH)
 
 
 
 
 
 
Tier 1: 1st Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 2nd Nearby
$600
$600
$660
$660
$810
$810
Tier 3: 3rd - 6th Nearby
$500
N/A
$550
N/A
$675
N/A
Tier 4: 7th - 12th Nearby
$600
N/A
$660
N/A
$810
N/A
Tier 5: Greater than 12th Nearby
$300
N/A
$330
N/A
$405
N/A
San Juan Swap (NJ)
 
 
 
 
 
 
Tier 1: 1st Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 2nd Nearby
$750
$600
$825
$660
$1,013
$810
Tier 3: 3rd - 6th Nearby
$950
$500
$1,045
$550
$1,283
$675
Tier 4: 7th - 12th Nearby
$700
$300
$770
$330
$945
$405
Tier 5: Greater than 12th Nearby
$500
$250
$550
$275
$675
$338
SUMAS Swap (NK)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 3rd - 5th Nearby
$850
$300
$935
$330
$1,148
$405
Tier 3: Greater than 5th Nearby
$650
N/A
$715
N/A
$878
N/A
NGPL Mid-Continent Swap (NL)
 
 
 
 
 
 
Tier 1: 1st Nearby
$600
$600
$660
$660
$810
$810
Tier 2: 2nd Nearby
$550
$400
$605
$440
$743
$540
Tier 3: 3rd - 6th Nearby
$600
$300
$660
$330
$810
$405
Tier 4: 7th - 12th Nearby
$550
$300
$605
$330
$743
$405
Tier 5: Greater than 12th Nearby
$300
$300
$330
$330
$405
$405
Tennessee, LA 500 (NM)
 
 
 
 
 
 
Tier 1: 1st Nearby
$150
$150
$165
$165
$203
$203
Tier 2: 2nd Nearby and Greater
$150
$175
$165
$193
$203
$236
Northwest Pipeline, Rockies Swap (NR)
 
 
 
 
 
 
Tier 1: 1st Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 2nd Nearby
$800
$500
$880
$550
$1,080
$675
Tier 3: 3rd - 6th Nearby
$900
$400
$990
$440
$1,215
$540
Tier 4: 7th - 12th Nearby
$600
$300
$660
$330
$810
$405
Tier 5: Greater than 12th Nearby
$500
$200
$550
$220
$675
$270
Socal Swap (NS)
 
 
 
 
 
 
Tier 1: 1st Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 2nd Nearby
$800
$400
$880
$440
$1,080
$540
Tier 3: 3rd - 6th Nearby
$850
N/A
$935
N/A
$1,148
N/A
Tier 4: 7th - 12th Nearby
$650
N/A
$715
N/A
$878
N/A
Tier 5: Greater than 12th Nearby
$500
N/A
$550
N/A
$675
N/A
Trunkline, LA (NU)
 
 
 
 
 
 
Tier 1: 1st Nearby
$75
$75
$83
$83
$101
$101
Tier 2: 2nd Nearby and Greater
$100
$50
$110
$55
$135
$68
Waha Swap (NW)
 
 
 
 
 
 
Tier 1: 1st Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 2nd Nearby
$700
$500
$770
$550
$945
$675
Tier 3: 3rd - 6th Nearby
$850
N/A
$935
N/A
$1,148
N/A
Tier 4: 7th - 12th Nearby
$500
N/A
$550
N/A
$675
N/A
Tier 5: Greater than 12th Nearby
$300
N/A
$330
N/A
$405
N/A
Texas Eastern Zone M-3 Swap (NX)
 
 
 
 
 
 
Tier 1: 1st Nearby
$500
$600
$550
$660
$675
$810
Tier 2: 2nd Nearby and Greater
$350
$500
$385
$550
$473
$675
Transco Zone 6 Swap (NZ)
 
 
 
 
 
 
Tier 1: 1st Nearby
$300
$300
$330
$330
$405
$405
Tier 2: 2nd Nearby
$300
$300
$330
$330
$405
$405
Tier 3: 3rd - 6th Nearby
$200
$200
$220
$220
$270
$270
Tier 4: 7th - 12th Nearby
$300
$1,000
$330
$1,100
$405
$1,350
Tier 5: Greater than 12th Nearby
$400
$1,000
$440
$1,100
$540
$1,350
PGE&E Malin Swap (PB)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 3rd - 5th Nearby
$850
$400
$935
$440
$1,148
$540
Tier 3: Greater than 5th Nearby
$600
N/A
$660
N/A
$810
N/A
PGE&E Citygate Swap (PC)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$1,000
$1,000
$1,100
$1,100
$1,350
$1,350
Tier 2: 3rd - 5th Nearby
$850
$300
$935
$330
$1,148
$405
Tier 3: Greater than 5th Nearby
$600
N/A
$660
N/A
$810
N/A
NGPL Tex / OK Swap (PD)
 
 
 
 
 
 
Tier 1: 1st Nearby
$500
$500
$550
$550
$675
$675
Tier 2: 2nd Nearby
$350
$300
$385
$330
$473
$405
Tier 3: 3rd - 6th Nearby
$450
N/A
$495
N/A
$608
N/A
Tier 4: 7th - 12th Nearby
$500
N/A
$550
N/A
$675
N/A
Tier 5: Greater than 12th Nearby
$200
N/A
$220
N/A
$270
N/A
Northern Natural Gas Demarcation Swap (PE)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 3rd - 5th Nearby
$500
$400
$550
$440
$675
$540
Tier 3: Greater than 5th Nearby
$600
N/A
$660
N/A
$810
N/A
Northern Natural Gas Ventura, Iowa Swap (PF)
 
 
 
 
 
 
Tier 1: 1st - 2nd Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 3rd - 5th Nearby
$500
$300
$550
$330
$675
$405
Tier 3: Greater than 5th Nearby
$600
N/A
$660
N/A
$810
N/A
Panhandle Swap (PH)
 
 
 
 
 
 
Tier 1: 1st Nearby
$600
$500
$660
$550
$810
$675
Tier 2: 2nd Nearby
$550
$200
$605
$220
$743
$270
Tier 3: 3rd - 6th Nearby
$600
N/A
$660
N/A
$810
N/A
Tier 4: 7th - 12th Nearby
$600
N/A
$660
N/A
$810
N/A
Tier 5: Greater than 12th Nearby
$350
N/A
$385
N/A
$473
N/A
Permian Swap (PM)
 
 
 
 
 
 
Tier 1: 1st Nearby
$800
$800
$880
$880
$1,080
$1,080
Tier 2: 2nd Nearby
$800
$500
$880
$550
$1,080
$675
Tier 3: 3rd - 6th Nearby
$900
N/A
$990
N/A
$1,215
N/A
Tier 4: 7th - 12th Nearby
$550
N/A
$605
N/A
$743
N/A
Tier 5: Greater than 12th Nearby
$300
N/A
$330
N/A
$405
N/A
Transco Zone 4 (TR)
 
 
 
 
 
 
Tier 1: 1st Nearby
$125
$125
$138
$138
$169
$169
Tier 2: 2nd Nearby
$150
$75
$165
$83
$203
$101
Tier 3: 3rd - 6th Nearby
$150
$75
$165
$83
$203
$101
Tier 4: 7th - 12th Nearby
$75
$75
$83
$83
$101
$101
Tier 5: Greater than 12th Nearby
$75
$75
$83
$83
$101
$101
Tetco Eastern South/STX (TX)
 
 
 
 
 
 
Tier 1: 1st Nearby
$800
$900
$880
$990
$1,080
$1,215
Tier 2: 2nd Nearby
$550
$650
$605
$715
$743
$878
Tier 3: 3rd - 6th Nearby
$500
$500
$550
$550
$675
$675
Tier 4: 7th - 12th Nearby
$550
$550
$605
$605
$743
$743
Tier 5: Greater than 12th Nearby
$200
$200
$220
$220
$270
$270


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