02/01/2007
Effective Date: Friday, February 2, 2007 (close of business)
Futures Contracts: CIG Rockies Swap (CI), Alberta Gas Swap (NA), Houston Ship Channel Swap (NH), NGPL Mid-Continent Swap (NL), Northwest Pipeline, Rockies Swap (NR), Tetco Eastern South/STX Swap (TX), Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Houston Ship Channel Index Swap (IP), Rockies Index Swap (IR), Transco Zone 6 Index Swap (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), TETCO M-3 Index Swap (IX) and NGPL Tex/OK Index Swap (OI).
Contract Months: All Months
Note: The revised margin rates are in bold.
 |
NYMEX Division Margin Rates For Existing Natural Gas Basis Swaps |
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Clearing Member / |
Member Customer |
Non-Member Customer |
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NATURAL GAS BASIS FINANCIAL |
New |
Old |
New |
Old |
New |
Old |
CIG Rockies Swap (CI) |
|
|
|
|
|
|
Tier 1 - 1st Nearby |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
Tier 2: 2nd Nearby |
$1,250 |
$900 |
$1,375 |
$990 |
$1,688 |
$1,215 |
Tier 3: 3rd - 6th Nearby |
$900 |
$900 |
$990 |
$990 |
$1,215 |
$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 |
$1,750 |
$1,200 |
$1,925 |
$1,320 |
$2,363 |
$1,620 |
Tier 2: 2nd Nearby |
$1,250 |
$500 |
$1,375 |
$550 |
$1,688 |
$675 |
Tier 3: 3rd - 6th Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
Tier 4: 7th - 12th Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
Houston Ship Channel Swap (NH) |
|
|
|
|
|
|
Tier 1: 1st Nearby |
$750 |
$900 |
$825 |
$990 |
$1,013 |
$1,215 |
Tier 2: 2nd Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
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 |
NGPL Mid-Continent Swap (NL) |
|
|
|
|
|
|
Tier 1: 1st Nearby |
$750 |
$700 |
$825 |
$770 |
$1,013 |
$945 |
Tier 2: 2nd Nearby |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
Tier 3: 3rd - 6th Nearby |
$600 |
$600 |
$660 |
$660 |
$810 |
$810 |
Tier 4: 7th - 12th Nearby |
$550 |
$550 |
$605 |
$605 |
$743 |
$743 |
Tier 5: 13th And Greater |
$300 |
$300 |
$330 |
$330 |
$405 |
$405 |
Northwest Pipeline, Rockies Swap (NR) |
|
|
|
|
|
|
Tier 1 - 1st Nearby |
$1,750 |
$1,500 |
$1,925 |
$1,650 |
$2,363 |
$2,025 |
Tier 2: 2nd Nearby |
$1,250 |
$1,000 |
$1,375 |
$1,100 |
$1,688 |
$1,350 |
Tier 3: 3rd - 6th Nearby |
$900 |
$900 |
$990 |
$990 |
$1,215 |
$1,215 |
Tier 4: 7th - 12th Nearby |
$600 |
$600 |
$660 |
$660 |
$810 |
$810 |
Tier 5: 13th And Greater |
$500 |
$500 |
$550 |
$550 |
$675 |
$675 |
Tetco Eastern South/STX Swap (TX) |
|
|
|
|
|
|
Tier 1 - 1st Nearby |
$600 |
$700 |
$660 |
$770 |
$810 |
$945 |
Tier 2: 2nd Nearby |
$400 |
$500 |
$440 |
$550 |
$540 |
$675 |
Tier 3: 3rd - 6th Nearby |
$400 |
$400 |
$440 |
$440 |
$540 |
$540 |
Tier 4: 7th - 12th Nearby |
$400 |
$400 |
$440 |
$440 |
$540 |
$540 |
Tier 5: 13th And Greater |
$200 |
$200 |
$220 |
$220 |
$270 |
$270 |
|
NYMEX Division Outright (Scan) Margin Rates For Existing Natural Gas Index Swaps |
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|
Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
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NATURAL GAS INDEX FINANCIAL |
New |
Old |
New |
Old |
New |
Old |
Demarcation Index Swap (DI) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$700 |
$1,650 |
$770 |
$2,025 |
$945 |
SoCal Index Swap (IF) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,800 |
$2,000 |
$1,980 |
$2,200 |
$2,430 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$600 |
$125 |
$660 |
$138 |
$810 |
$169 |
Dominion Index Swap (IH) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$100 |
$1,650 |
$110 |
$2,025 |
$135 |
San Juan Index Swap (IJ) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,800 |
$1,800 |
$1,980 |
$1,980 |
$2,430 |
$2,430 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$125 |
$1,650 |
$138 |
$2,025 |
$169 |
PG&E City Gate Index Swap (IK) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$700 |
$1,650 |
$770 |
$2,025 |
$945 |
El Paso/Permian Index Swap (IL) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$700 |
$700 |
$770 |
$770 |
$945 |
$945 |
Henry Hub Index Swap (IN) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$200 |
$1,650 |
$220 |
$2,025 |
$270 |
Houston Ship Channel Index Swap (IP) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,200 |
$2,000 |
$1,320 |
$2,200 |
$1,620 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,000 |
$500 |
$1,100 |
$550 |
$1,350 |
$675 |
Rockies Index Swap (IR) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$4,000 |
$4,000 |
$4,400 |
$4,400 |
$5,400 |
$5,400 |
Tier 2: Greater than 2nd Nearby |
$1,250 |
$375 |
$1,375 |
$413 |
$1,688 |
$506 |
Transco Zone 6 Index Swap (IT) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$3,000 |
$3,000 |
$3,300 |
$3,300 |
$4,050 |
$4,050 |
Tier 2: Greater than 2nd Nearby |
$2,500 |
$500 |
$2,750 |
$550 |
$3,375 |
$675 |
Sumas Index Swap (IU) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,000 |
$125 |
$1,100 |
$138 |
$1,350 |
$169 |
Panhandle Index Swap (IV) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$1,000 |
$125 |
$1,100 |
$138 |
$1,350 |
$169 |
TETCO M-3 Index Swap (IX) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
Tier 2: Greater than 2nd Nearby |
$750 |
$125 |
$825 |
$138 |
$1,013 |
$169 |
NGPL Tex/OK Index Swap (OI) |
|
|
|
|
|
|
Tier 1 - 1st - 2nd Nearby Month |
$1,500 |
$1,500 |
$1,650 |
$1,650 |
$2,025 |
$2,025 |
Tier 2: Greater than 2nd Nearby |
$1,500 |
$100 |
$1,650 |
$110 |
$2,025 |
$135 |