Notice to Members
Notice No. 81
02/08/2007
Outright (SCAN) Margin Rates and Intra-Commodity Spread Margin Rates and Tiers Structures Change for the Existing Natural Gas Index Swap Contracts

Effective Date:           Friday, February 9, 2007 (close of business)

 

Futures Contracts:     Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Houston Ship Channel Index Swap (IP), ANR OK Index Swap (IQ), Rockies Index Swap (IR), Chicago Index Swap (IS), Transco Zone 6 Index Swap (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW), TETCO M-3 Index Swap (IX), Waha Index Swap (IY), NGPL Tex/OK Index Swap (OI) and Ventura Index Swap (VI).

Contract Months:      All Months

Note:   The revised margin rates are in bold.

NYMEX Division Outright (Scan) Margin and Intra-Commodity Spread Tiers For Index Swap Contracts

Tiers

New

Old

1

1st Nearby

1st - 2nd Nearby

2

2nd Nearby

3rd And Greater

3

3rd And Greater

N/A

 

NYMEX Division Intra-Commodity Spread Margin Rates For Index Swap Contracts

 

Tiers

Clearing Member / Maintenance Margin

Member Customer Initial Margin

Non-Member Customer Initial Margin

 

New

Old

New

Old

New

Old

Tiers 1: 1st Nearby

$25

$25

$28

$28

$34

$34

Tiers 2: 2nd Nearby

$25

$25

$28

$28

$34

$34

Tiers 3: 3rd and Nearby

$25

N/A

$28

N/A

$34

N/A

 

 

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

Demarcation Index Swap (DI)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

SoCal Index Swap (IF)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,800

$1,800

$1,980

$1,980

$2,430

$2,430

Tier 2: 2nd Nearby

$250

$600

$275

$660

$338

$810

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Dominion Index Swap (IH)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

CenterPoint Index Swap (II)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$100

$100

$110

$110

$135

$135

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

San Juan Index Swap (IJ)

 

 

 

 

 

 

Tier 1: 1st Nearby

$2,000

$1,800

$2,200

$1,980

$2,700

$2,430

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

PG&E City Gate Index Swap (IK)

 

 

 

 

 

 

Tier 1: 1st Nearby

$2,000

$1,500

$2,200

$1,650

$2,700

$2,025

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

El Paso/Permian Index Swap (IL)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$700

$275

$770

$338

$945

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Henry Hub Index Swap (IN)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Dawn Index Swap (IO)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$100

$100

$110

$110

$135

$135

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Houston Ship Channel Index Swap (IP)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,200

$1,200

$1,320

$1,320

$1,620

$1,620

Tier 2: 2nd Nearby

$250

$1,000

$275

$1,100

$338

$1,350

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

ANR OK Index Swap (IQ)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$100

$275

$110

$338

$135

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Rockies Index Swap (IR)

 

 

 

 

 

 

Tier 1: 1st Nearby

$4,000

$4,000

$4,400

$4,400

$5,400

$5,400

Tier 2: 2nd Nearby

$250

$1,250

$275

$1,375

$338

$1,688

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Chicago Index Swap (IS)

 

 

 

 

 

 

Tier 1: 1st Nearby

$2,000

$2,000

$2,200

$2,200

$2,700

$2,700

Tier 2: 2nd Nearby

$125

$125

$138

$138

$169

$169

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Transco Zone 6 Index Swap (IT)

 

 

 

 

 

 

Tier 1: 1st Nearby

$4,000

$3,000

$4,400

$3,300

$5,400

$4,050

Tier 2: 2nd Nearby

$250

$2,500

$275

$2,750

$338

$3,375

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Sumas Index Swap (IU)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,000

$275

$1,100

$338

$1,350

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Panhandle Index Swap (IV)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,000

$275

$1,100

$338

$1,350

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

NGPL Mid-Continent Index Swap (IW)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$100

$275

$110

$338

$135

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

TETCO M-3 Index Swap (IX)

 

 

 

 

 

 

Tier 1: 1st Nearby

$2,000

$2,000

$2,200

$2,200

$2,700

$2,700

Tier 2: 2nd Nearby

$750

$750

$825

$825

$1,013

$1,013

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Waha Index Swap (IY)

 

 

 

 

 

 

Tier 1: 1st Nearby

$2,000

$2,000

$2,200

$2,200

$2,700

$2,700

Tier 2: 2nd Nearby

$125

$125

$138

$138

$169

$169

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

NGPL Tex/OK Index Swap (OI)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$250

$1,500

$275

$1,650

$338

$2,025

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

Ventura Index Swap (VI)

 

 

 

 

 

 

Tier 1: 1st Nearby

$1,500

$1,500

$1,650

$1,650

$2,025

$2,025

Tier 2: 2nd Nearby

$100

$100

$110

$110

$135

$135

Tier 3: 3rd And Greater

$100

N/A

$110

N/A

$135

N/A

 

 

 

 

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