Notice to Members
Notice No. 187
04/03/2007
Outright (SCAN) Margin Rate Changes for the Existing Natural Gas Basis and Index Swap Contracts
EFFECTIVE DATE:    Wednesday, April 4,, 2007 (close of business)

FUTURES CONTRACTS: Alberta Gas Swap (NA), MichCon Swap (NF), Houston Ship Channel Swap (NH), San Juan Swap (NJ), SUMAS Swap (NK), Northwest Pipeline, Rockies Swap (NR), Transco Zone 6 Swap (NZ), PGE&E Malin Swap (PB), PGE&E Citygate Swap (PC), Dominion Transmission Inc. 1: Appalachia Swap (PG), Panhandle Swap (PH), SoCal Index Swap (IF), Dominion Index Swap (IH), PG&E City Gate Index Swap (IK), Henry Hub Index Swap (IN), Rockies Index Swap (IR), Chicago Index Swap (IS)

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
Alberta Gas Swap (NA)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$1,200
$1,500
$1,320
$1,650
$1,620
$2,025
    Tier 2: 2nd Nearby
$1,000
$1,200
$1,100
$1,320
$1,350
$1,620
    Tier 3: 3rd 1: 6th Nearby
$500
$750
$550
$825
$675
$1,013
    Tier 4: 7th 1: 12th Nearby
$300
$500
$330
$550
$405
$675
    Tier 5: 13th And Greater
$200
$300
$220
$330
$270
$405
MichCon Swap (NF)
 
 
 
 
 
 
    Tier 1: 1st through 2nd nearby month
$200
$300
$220
$330
$270
$405
    Tier 2: 3rd through 5th nearby month
$200
$300
$220
$330
$270
$405
    Tier 3: Greater than 5th nearby month
$200
$300
$220
$330
$270
$405
Houston Ship Channel Swap (NH)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$400
$500
$440
$550
$540
$675
    Tier 2: 2nd Nearby
$300
$400
$330
$440
$405
$540
    Tier 3: 3rd 1: 6th Nearby
$200
$300
$220
$330
$270
$405
    Tier 4: 7th 1: 12th Nearby
$100
$200
$110
$220
$135
$270
    Tier 5: 13th And Greater
$100
$100
$110
$110
$135
$135
San Juan Swap (NJ)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$600
$750
$660
$825
$810
$1,013
    Tier 2: 2nd Nearby
$400
$500
$440
$550
$540
$675
    Tier 3: 3rd 1: 6th Nearby
$300
$400
$330
$440
$405
$540
    Tier 4: 7th 1: 12th Nearby
$200
$300
$220
$330
$270
$405
    Tier 5: 13th And Greater
$300
$300
$330
$330
$405
$405
SUMAS Swap (NK)
 
 
 
 
 
 
    Tier 1: 1st through 2nd nearby month
$700
$800
$770
$880
$945
$1,080
    Tier 2: 3rd through 5th nearby month
$600
$700
$660
$770
$810
$945
    Tier 3: Greater than 5th nearby month
$500
$500
$550
$550
$675
$675
Northwest Pipeline, Rockies Swap (NR)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$1,500
$1,500
$1,650
$1,650
$2,025
$2,025
    Tier 2: 2nd Nearby
$1,000
$500
$1,100
$550
$1,350
$675
    Tier 3: 3rd 1: 6th Nearby
$500
$500
$550
$550
$675
$675
    Tier 4: 7th 1: 12th Nearby
$300
$300
$330
$330
$405
$405
    Tier 5: 13th And Greater
$400
$300
$440
$330
$540
$405
Transco Zone 6 Swap (NZ)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$1,500
$2,000
$1,650
$2,200
$2,025
$2,700
    Tier 2: 2nd Nearby
$900
$1,000
$990
$1,100
$1,215
$1,350
    Tier 3: 3rd 1: 6th Nearby
$750
$1,000
$825
$1,100
$1,013
$1,350
    Tier 4: 7th 1: 12th Nearby
$300
$300
$330
$330
$405
$405
    Tier 5: 13th And Greater
$300
$400
$330
$440
$405
$540
PGE&E Malin Swap (PB)
 
 
 
 
 
 
    Tier 1: 1st through 2nd nearby month
$700
$800
$770
$880
$945
$1,080
    Tier 2: 3rd through 5th nearby month
$500
$600
$550
$660
$675
$810
    Tier 3: Greater than 5th nearby month
$300
$400
$330
$440
$405
$540
PGE&E Citygate Swap (PC)
 
 
 
 
 
 
    Tier 1: 1st through 2nd nearby month
$700
$800
$770
$880
$945
$1,080
    Tier 2: 3rd through 5th nearby month
$500
$600
$550
$660
$675
$810
    Tier 3: Greater than 5th nearby month
$300
$400
$330
$440
$405
$540
Dominion Transmission Inc. – Appalachia Swap (PG)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$250
$325
$275
$358
$338
$439
    Tier 2: 2nd Nearby and Greater
$200
$200
$220
$220
$270
$270
Panhandle Swap (PH)
 
 
 
 
 
 
    Tier 1: 1st Nearby
$800
$900
$880
$990
$1,080
$1,215
    Tier 2: 2nd Nearby
$400
$500
$440
$550
$540
$675
    Tier 3: 3rd 1: 6th Nearby
$300
$500
$330
$550
$405
$675
    Tier 4: 7th 1: 12th Nearby
$500
$500
$550
$550
$675
$675
    Tier 5: 13th And Greater
$350
$350
$385
$385
$473
$473


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
SoCal Index Swap (IF)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$1,500
$1,800
$1,650
$1,980
$2,025
$2,430
    Tier 2: 3nd Nearby
$250
$250
$275
$275
$338
$338
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135
Dominion Index Swap (IH)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$2,000
$1,500
$2,200
$1,650
$2,700
$2,025
    Tier 2: 3nd Nearby
$250
$250
$275
$275
$338
$338
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135
PG&E City Gate Index Swap (IK)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$1,500
$2,000
$1,650
$2,200
$2,025
$2,700
    Tier 2: 3nd Nearby
$250
$250
$275
$275
$338
$338
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135
Henry Hub Index Swap (IN)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$2,000
$1,500
$2,200
$1,650
$2,700
$2,025
    Tier 2: 3nd Nearby
$250
$250
$275
$275
$338
$338
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135
Rockies Index Swap (IR)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$3,000
$4,000
$3,300
$4,400
$4,050
$5,400
    Tier 2: 3nd Nearby
$250
$250
$275
$275
$338
$338
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135
Chicago Index Swap (IS)
 
 
 
 
 
 
    Tier 1: 1st – 2nd Nearby
$1,500
$2,000
$1,650
$2,200
$2,025
$2,700
    Tier 2: 3nd Nearby
$125
$125
$138
$138
$169
$169
    Tier 3: 4th And Greater
$100
$100
$110
$110
$135
$135

Should you have any questions or require any further information, please contact exchangeinfo@nymex.com