11/30/2006
FUTURES CONTRACTS:
Chicago Swap (NB), ANR Oklahoma Swap (NE), MichCon Swap (NF), Houston Ship Channel Swap (NH), San Juan Swap (NJ), SUMAS Swap (NK), Tennessee, Zone 0 Swap (NQ), Socal Swap (NS), Waha Swap (NW), Transco Zone 6 Swap (NZ), PGE&E Malin Swap (PB), PGE&E Citygate Swap (PC), Northern Natural Gas Demarcation Swap (PE), Northern Natural Gas Ventura, Iowa Swap (PF), Panhandle Swap (PH), Permian Swap (PM), CenterPoint Basis Swap (PW) and Tetco Eastern South/STX Swap (TX)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 |
| Chicago Swap (NB) | ||||||
| Tier 1 - 1st Nearby | $600 |
$700 |
$660 |
$770 |
$810 |
$945 |
| Tier 2: 2nd Nearby and Greater | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| ANR Oklahoma Swap (NE) | ||||||
| Tier 1 - 1st Nearby | $1,000 |
$1,250 |
$1,100 |
$1,375 |
$1,350 |
$1,688 |
| Tier 2: 2nd Nearby and Greater | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| MichCon Swap (NF) | ||||||
| Tier 1 - 1st through 2nd nearby month | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 2: 3rd through 5th nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 3: Greater than 5th nearby month | $400 |
$550 |
$440 |
$605 |
$540 |
$743 |
| Houston Ship Channel Swap (NH) | ||||||
| Tier 1: 1st Nearby | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 2: 2nd Nearby | $500 |
$600 |
$550 |
$660 |
$675 |
$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: 13th And Greater | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| San Juan Swap (NJ) | ||||||
| Tier 1: 1st Nearby | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2: 2nd Nearby | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 3: 3rd - 6th Nearby | $800 |
$950 |
$880 |
$1,045 |
$1,080 |
$1,283 |
| Tier 4: 7th - 12th Nearby | $600 |
$700 |
$660 |
$770 |
$810 |
$945 |
| Tier 5: 13th And Greater | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| SUMAS Swap (NK) | ||||||
| Tier 1 - 1st through 2nd nearby month | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 2: 3rd through 5th nearby month | $750 |
$850 |
$825 |
$935 |
$1,013 |
$1,148 |
| Tier 3: Greater than 5th nearby month | $550 |
$650 |
$605 |
$715 |
$743 |
$878 |
| Tennessee, Zone 0 Swap (NQ) | ||||||
| Tier 1 - 1st Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 2: 2nd Nearby and Greater | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Socal Swap (NS) | ||||||
| Tier 1 - 1st Nearby | $1,200 |
$1,400 |
$1,320 |
$1,540 |
$1,620 |
$1,890 |
| Tier 2: 2nd Nearby | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 3: 3rd - 6th Nearby | $700 |
$850 |
$770 |
$935 |
$945 |
$1,148 |
| Tier 4: 7th - 12th Nearby | $500 |
$650 |
$550 |
$715 |
$675 |
$878 |
| Tier 5: 13th And Greater | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Waha Swap (NW) | ||||||
| Tier 1 - 1st Nearby | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2: 2nd Nearby | $600 |
$700 |
$660 |
$770 |
$810 |
$945 |
| Tier 3: 3rd - 6th Nearby | $600 |
$850 |
$660 |
$935 |
$810 |
$1,148 |
| Tier 4: 7th - 12th Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 5: 13th And Greater | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Transco Zone 6 Swap (NZ) | ||||||
| Tier 1 - 1st Nearby | $700 |
$300 |
$770 |
$330 |
$945 |
$405 |
| Tier 2: 2nd Nearby | $500 |
$300 |
$550 |
$330 |
$675 |
$405 |
| Tier 3: 3rd - 6th Nearby | $500 |
$400 |
$550 |
$440 |
$675 |
$540 |
| Tier 4: 7th - 12th Nearby | $700 |
$700 |
$770 |
$770 |
$945 |
$945 |
| Tier 5: 13th And Greater | $700 |
$700 |
$770 |
$770 |
$945 |
$945 |
| PGE&E Malin Swap (PB) | ||||||
| Tier 1 - 1st through 2nd nearby month | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2: 3rd through 5th nearby month | $750 |
$850 |
$825 |
$935 |
$1,013 |
$1,148 |
| Tier 3: Greater than 5th nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| PGE&E Citygate Swap (PC) | ||||||
| Tier 1 - 1st through 2nd nearby month | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 2: 3rd through 5th nearby month | $750 |
$850 |
$825 |
$935 |
$1,013 |
$1,148 |
| Tier 3: Greater than 5th nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Northern Natural Gas Demarcation Swap (PE) | ||||||
| Tier 1 - 1st through 2nd nearby month | $800 |
$900 |
$880 |
$990 |
$1,080 |
$1,215 |
| Tier 2: 3rd through 5th nearby month | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: Greater than 5th nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Northern Natural Gas Ventura, Iowa Swap (PF) | ||||||
| Tier 1 - 1st through 2nd nearby month | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2: 3rd through 5th nearby month | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: Greater than 5th nearby month | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Panhandle Swap (PH) | ||||||
| Tier 1 - 1st Nearby | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 2: 2nd Nearby | $500 |
$550 |
$550 |
$605 |
$675 |
$743 |
| Tier 3: 3rd - 6th Nearby | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 4: 7th - 12th Nearby | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 5: 13th And Greater | $350 |
$350 |
$385 |
$385 |
$473 |
$473 |
| Permian Swap (PM) | ||||||
| Tier 1 - 1st Nearby | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2: 2nd Nearby | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 3: 3rd - 6th Nearby | $800 |
$900 |
$880 |
$990 |
$1,080 |
$1,215 |
| Tier 4: 7th - 12th Nearby | $400 |
$550 |
$440 |
$605 |
$540 |
$743 |
| Tier 5: 13th And Greater | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| CenterPoint Basis Swap (PW) | ||||||
| Tier 1 - 1st Nearby | $800 |
$800 |
$880 |
$880 |
$1,080 |
$1,080 |
| Tier 2: 2nd Nearby and Greater | $250 |
$300 |
$275 |
$330 |
$338 |
$405 |
| Tetco Eastern South/STX Swap (TX) | ||||||
| Tier 1 - 1st Nearby | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2: 2nd Nearby | $500 |
$550 |
$550 |
$605 |
$675 |
$743 |
| Tier 3: 3rd - 6th Nearby | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 4: 7th - 12th Nearby | $400 |
$550 |
$440 |
$605 |
$540 |
$743 |
| Tier 5: 13th And Greater | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |