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 |
|