06/22/2007
Futures Contracts: CIG Rockies Swap (CI), NGPL Mid-Continent Basis Swap (NL) and Northwest Pipeline, Rockies Swap (NR)
Contract Months: All Months
NYMEX Division Scan and Intra-Commodity Spread Tiers For CIG Rockies
(CI) Natural Gas Basis Swap and Northwest Pipeline, Rockies (NR) Natural
Gas Basis Swap
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd – 6th Nearby |
2nd – 4th Nearby |
3 |
7th – 9th Nearby |
5th – 9th Nearby |
4 |
10th – 16th Nearby |
10th – 16th Nearby |
5 |
17th And Greater |
17th And Greater |
NYMEX Division Intra-Commodity Spread Margin Rates For CIG Rockies (CI)
Natural Gas Basis Swap, NGPL Mid-Continent (NL) Natural Gas Basis Swap and
Northwest Pipeline, Rockies (NR) Natural Gas Basis Swap
| 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 | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 2: 2nd – th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 3: 6th – 10th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 4: 11th – 17th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 5: 18th And Greater | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| NGPL Mid-Continent Swap (NL) | ||||||
| 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 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 4: 7th – 12th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 5: 13th And Greater | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1: 1st Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 2: 2nd – 5th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 3: 6th – 10th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 4: 11th – 17th Nearby | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
| Tier 5: 18th And Greater | $25 |
$25 |
$28 |
$28 |
$34 |
$34 |
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 |
| CIG Rockies Swap (CI) | ||||||
| Tier 1: 1st Nearby | $1,200 |
$1,200 |
$1,320 |
$1,320 |
$1,620 |
$1,620 |
| Tier 2: 2nd – 6th Nearby | $1,200 |
$1,000 |
$1,320 |
$1,100 |
$1,620 |
$1,350 |
| Tier 3: 7th – th Nearby | $750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
| Tier 4: 10th – 16th Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 5: 17th And Greater | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| LGPL Mid-Continent Swap (NL) | ||||||
| Tier 1: 1st Nearby | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 2: 2nd Nearby | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3: 3rd – 6th Nearby | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 4: 7th – 12th Nearby | $300 |
$200 |
$330 |
$220 |
$405 |
$270 |
| Tier 5: 13th And Greater | $200 |
$100 |
$220 |
$110 |
$270 |
$135 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1: 1st Nearby | $1,200 |
$1,200 |
$1,320 |
$1,320 |
$1,620 |
$1,620 |
| Tier 2: 2nd – 6th Nearby | $1,250 |
$800 |
$1,375 |
$880 |
$1,688 |
$1,080 |
| Tier 3: 7th – 9th Nearby | $800 |
$800 |
$880 |
$880 |
$1,080 |
$1,080 |
| Tier 4: 10th – 16th Nearby | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 5: 17th And Greater | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |