Effective Date: Thursday, March 1, 2007 (close of business)
Futures Contracts:
CIG Rockies Swap (CI), Alberta Gas Swap (NA), ANR, LA (ND), ANR Oklahoma Swap
(NE), MichCon Swap (NF), Houston Ship Channel Swap (NH), San Juan Swap (NJ), SUMAS
Swap (NK), NGPL Mid-Continent Swap (NL), Northwest Pipeline, Rockies Swap (NR),
Socal Swap (NS), Waha Swap (NW), PGE&E Malin Swap (PB), PGE&E Citygate
Swap (PC), Northern Natural Gas Demarcation Swap (PE), Northern Natural Gas Ventura,
Iowa Swap (PF), Permian Swap (PM)
Contract Months: All Months
NYMEX Division Outright (Scan) 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 |
| CIG Rockies Swap (CI) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$2,363 |
| Tier 2: 2nd Nearby |
$1,200 |
$1,250 |
$1,320 |
$1,375 |
$1,620 |
$1,688 |
| Tier 3: 3rd - 6th Nearby |
$750 |
$900 |
$825 |
$990 |
$1,013 |
$1,215 |
| Tier 4: 7th - 12th Nearby |
$650 |
$650 |
$715 |
$715 |
$878 |
$878 |
| Tier 5: 13th And Greater |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Alberta Gas Swap (NA) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$2,363 |
| Tier 2: 2nd Nearby |
$1,200 |
$1,250 |
$1,320 |
$1,375 |
$1,620 |
$1,688 |
| Tier 3: 3rd - 6th Nearby |
$750 |
$500 |
$825 |
$550 |
$1,013 |
$675 |
| Tier 4: 7th - 12th Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| ANR, LA (ND) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$150 |
$150 |
$165 |
$165 |
$203 |
$203 |
| Tier 2: 2nd Nearby and Greater |
$200 |
$75 |
$220 |
$83 |
$270 |
$101 |
| ANR Oklahoma Swap (NE) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
| Tier 2: 2nd Nearby and Greater |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| MichCon Swap (NF) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 2: 3rd through 5th nearby month |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 3: Greater than 5th nearby month |
$300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Houston Ship Channel Swap (NH) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$500 |
$750 |
$550 |
$825 |
$675 |
$1,013 |
| Tier 2: 2nd Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: 3rd - 6th Nearby |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 4: 7th - 12th Nearby |
$200 |
$600 |
$220 |
$660 |
$270 |
$810 |
| Tier 5: 13th And Greater |
$100 |
$300 |
$110 |
$330 |
$135 |
$405 |
| San Juan Swap (NJ) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
| Tier 2: 2nd Nearby |
$500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 3: 3rd - 6th Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 4: 7th - 12th Nearby |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| SUMAS Swap (NK) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$800 |
$900 |
$880 |
$990 |
$1,080 |
$1,215 |
| Tier 2: 3rd through 5th nearby month |
$700 |
$750 |
$770 |
$825 |
$945 |
$1,013 |
| Tier 3: Greater than 5th nearby month |
$500 |
$550 |
$550 |
$605 |
$675 |
$743 |
| NGPL Mid-Continent Swap (NL) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$600 |
$750 |
$660 |
$825 |
$810 |
$1,013 |
| Tier 2: 2nd Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 3: 3rd - 6th Nearby |
$400 |
$600 |
$440 |
$660 |
$540 |
$810 |
| Tier 4: 7th - 12th Nearby |
$300 |
$550 |
$330 |
$605 |
$405 |
$743 |
| Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Northwest Pipeline, Rockies Swap (NR) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$1,500 |
$1,750 |
$1,650 |
$1,925 |
$2,025 |
$2,363 |
| Tier 2: 2nd Nearby |
$500 |
$1,250 |
$550 |
$1,375 |
$675 |
$1,688 |
| Tier 3: 3rd - 6th Nearby |
$500 |
$900 |
$550 |
$990 |
$675 |
$1,215 |
| Tier 4: 7th - 12th Nearby |
$300 |
$600 |
$330 |
$660 |
$405 |
$810 |
| Tier 5: 13th And Greater |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Socal Swap (NS) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
| Tier 2: 2nd Nearby |
$500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 3: 3rd - 6th Nearby |
$500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 4: 7th - 12th Nearby |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Tier 5: 13th And Greater |
$300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Waha Swap (NW) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$750 |
$1,000 |
$825 |
$1,100 |
$1,013 |
$1,350 |
| Tier 2: 2nd Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 3: 3rd - 6th Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 4: 7th - 12th Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 5: 13th And Greater |
$200 |
$300 |
$220 |
$330 |
$270 |
$405 |
| PGE&E Malin Swap (PB) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$800 |
$1,000 |
$880 |
$1,100 |
$1,080 |
$1,350 |
| Tier 2: 3rd through 5th nearby month |
$600 |
$750 |
$660 |
$825 |
$810 |
$1,013 |
| Tier 3: Greater than 5th nearby month |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| PGE&E Citygate Swap (PC) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$800 |
$900 |
$880 |
$990 |
$1,080 |
$1,215 |
| Tier 2: 3rd through 5th nearby month |
$600 |
$750 |
$660 |
$825 |
$810 |
$1,013 |
| Tier 3: Greater than 5th nearby month |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Northern Natural Gas Demarcation Swap (PE) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2: 3rd through 5th nearby month |
$400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: Greater than 5th nearby month |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Northern Natural Gas Ventura, Iowa Swap (PF) |
|
|
|
|
|
|
| Tier 1: 1st through 2nd nearby month |
$600 |
$700 |
$660 |
$770 |
$810 |
$945 |
| Tier 2: 3rd through 5th nearby month |
$300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 3: Greater than 5th nearby month |
$300 |
$500 |
$330 |
$550 |
$405 |
$675 |
| Permian Swap (PM) |
|
|
|
|
|
|
| Tier 1: 1st Nearby |
$500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 2: 2nd Nearby |
$500 |
$700 |
$550 |
$770 |
$675 |
$945 |
| Tier 3: 3rd - 6th Nearby |
$500 |
$800 |
$550 |
$880 |
$675 |
$1,080 |
| Tier 4: 7th - 12th Nearby |
$400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
|