01/04/2008
FUTURES CONTRACTS:
CONTRACT MONTHS: All Months
Contract Name Symbol CIG Basis Swap CI Florida Gas Transmission Zone 3 Basis Swap FP Alberta Basis Swap NA San Juan Basis Swap NJ Northwest Pipeline, Rockies Basis Swap NR Waha Basis Swap NW Texas Eastern Zone M-3 Basis Swap NX Transco Zone 6 Basis Swap NZ Pacific Gas & Electric (PG&E) Citygate Basis Swap PC Natural Gas Pipeline Co. of America (NGPL) TexOk Basis Swap PD Northern Natural Gas Demarcation Basis Swap PE Northern Natural Gas Ventura Basis Swap PF Transco Zone 6 Natural Gas Index Swap IT Sumas Natural Gas Index Swap IU
NOTE: The revised margin rates are in bold
NYMEX Division Outright (Scan) Margins for Existing
Natural Gas Basis Swaps
|
|
| Natural Gas Basis Financial |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| CIG Rockies Swap (CI) | ||||||
| Tier 1 | $1,800 |
$2,000 |
$1,980 |
$2,200 |
$2,430 |
$2,700 |
| Tier 2 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Tier 3 | $600 |
$750 |
$660 |
$825 |
$810 |
$1,013 |
| Tier 4 | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 5 | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Florida Gas Transmission Zone 3 (FP) | ||||||
| Tier 1 | $200 |
$300 |
$220 |
$330 |
$270 |
$405 |
| Tier 2 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 3 | $150 |
$200 |
$165 |
$220 |
$203 |
$270 |
| Tier 4 | $150 |
$200 |
$165 |
$220 |
$203 |
$270 |
| Tier 5 | $150 |
$200 |
$165 |
$220 |
$203 |
$270 |
| Alberta Gas Swap (NA) | ||||||
| Tier 1 | $1,000 |
$1,100 |
$1,100 |
$1,210 |
$1,350 |
$1,485 |
| Tier 2 | $800 |
$900 |
$880 |
$990 |
$1,080 |
$1,215 |
| Tier 3 | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 4 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| San Juan Swap (NJ) | ||||||
| Tier 1 | $600 |
$750 |
$660 |
$825 |
$810 |
$1,013 |
| Tier 2 | $250 |
$300 |
$275 |
$330 |
$338 |
$405 |
| Tier 3 | $250 |
$300 |
$275 |
$330 |
$338 |
$405 |
| Tier 4 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 2 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 3 | $500 |
$800 |
$550 |
$880 |
$675 |
$1,080 |
| Tier 4 | $200 |
$300 |
$220 |
$330 |
$270 |
$405 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Waha Swap (NW) | ||||||
| Tier 1 | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2 | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3 | $200 |
$300 |
$220 |
$330 |
$270 |
$405 |
| Tier 4 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Texas Eastern Zone M-3 Swap (NX) | ||||||
| Tier 1 | $1,000 |
$500 |
$1,100 |
$550 |
$1,350 |
$675 |
| Tier 2 | $500 |
$250 |
$550 |
$275 |
$675 |
$338 |
| Tier 3 | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 4 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 5 | $200 |
$250 |
$220 |
$275 |
$270 |
$338 |
| Transco Zone 6 Swap (NZ) | ||||||
| Tier 1 | $4,000 |
$750 |
$4,400 |
$825 |
$5,400 |
$1,013 |
| Tier 2 | $3,000 |
$500 |
$3,300 |
$550 |
$4,050 |
$675 |
| Tier 3 | $1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
| Tier 4 | $500 |
$300 |
$550 |
$330 |
$675 |
$405 |
| Tier 5 | $500 |
$300 |
$550 |
$330 |
$675 |
$405 |
| PG&E Citygate Swap (PC) | ||||||
| Tier 1 | $700 |
$800 |
$770 |
$880 |
$945 |
$1,080 |
| Tier 2 | $400 |
$400 |
$440 |
$440 |
$540 |
$540 |
| Tier 3 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| NGPL Tex / OK Swap (PD) | ||||||
| Tier 1 | $600 |
$600 |
$660 |
$660 |
$810 |
$810 |
| Tier 2 | $350 |
$300 |
$385 |
$330 |
$473 |
$405 |
| Tier 3 | $250 |
$300 |
$275 |
$330 |
$338 |
$405 |
| Tier 4 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Northern Natural Gas Demarcation Swap (PE) | ||||||
| Tier 1 | $600 |
$700 |
$660 |
$770 |
$810 |
$945 |
| Tier 2 | $350 |
$400 |
$385 |
$440 |
$473 |
$540 |
| Tier 3 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Northern Natural Gas Ventura, Iowa Swap (PF) | ||||||
| Tier 1 | $600 |
$800 |
$660 |
$880 |
$810 |
$1,080 |
| Tier 2 | $350 |
$300 |
$385 |
$330 |
$473 |
$405 |
| Tier 3 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
NYMEX Division Outright (Scan) Margins for Existing
Natural Gas Index Swaps
|
|
| Natural Gas Basis Financial |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| Transco Zone 6 Natural Gas Index Swap (IT) | ||||||
| Tier 1 | $5,000 |
$3,000 |
$5,500 |
$3,300 |
$6,750 |
$4,050 |
| Tier 2 | $1,000 |
$200 |
$1,100 |
$220 |
$1,350 |
$270 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Sumas Natural Gas Index Swap (IU) | ||||||
| Tier 1 | $2,500 |
$1,500 |
$2,750 |
$1,650 |
$3,375 |
$2,025 |
| Tier 2 | $1,000 |
$200 |
$1,100 |
$220 |
$1,350 |
$270 |
| Tier 3 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
This notice supersedes all previous notices regarding these margin rates.