03/05/2008
FUTURES CONTRACTS:
CONTRACT MONTHS: All Months
Contract Name Symbol CIG Basis Swap CI Alberta Basis Swap NA Sumas Basis Swap NK Northwest Pipeline, Rockies Basis Swap NR Waha Basis Swap NW Texas Eastern Zone M-3 Basis Swap NX Transco Zone 6 Basis Swap NZ Tetco South Texas Basis Swap TX
NOTE: The revised margin rates are in bold
NYMEX Division Outright (Scan) Margins for Existing Natural
Gas Basis Swaps
| |
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 | $1,200 | $1,500 | $1,320 | $1,650 | $1,620 | $2,025 |
| Tier 2 | $1,200 | $1,500 | $1,320 | $1,650 | $1,620 | $2,025 |
| Tier 3 | $600 | $600 | $660 | $660 | $810 | $810 |
| Tier 4 | $500 | $400 | $550 | $440 | $675 | $540 |
| Tier 5 | $500 | $400 | $550 | $440 | $675 | $540 |
| Alberta Basis Swap (NA) | ||||||
| Tier 1 | $800 | $1,000 | $880 | $1,100 | $1,080 | $1,350 |
| Tier 2 | $800 | $800 | $880 | $880 | $1,080 | $1,080 |
| Tier 3 | $300 | $300 | $330 | $330 | $405 | $405 |
| Tier 4 | $300 | $300 | $330 | $330 | $405 | $405 |
| Tier 5 | $300 | $200 | $330 | $220 | $405 | $270 |
| Sumas Basis Swap (NK) | ||||||
| Tier 1 | $500 | $750 | $550 | $825 | $675 | $1,013 |
| Tier 2 | $500 | $400 | $550 | $440 | $675 | $540 |
| Tier 3 | $400 | $300 | $440 | $330 | $540 | $405 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1 | $1,000 | $1,200 | $1,100 | $1,320 | $1,350 | $1,620 |
| Tier 2 | $800 | $1,000 | $880 | $1,100 | $1,080 | $1,350 |
| Tier 3 | $600 | $500 | $660 | $550 | $810 | $675 |
| Tier 4 | $300 | $200 | $330 | $220 | $405 | $270 |
| Tier 5 | $300 | $200 | $330 | $220 | $405 | $270 |
| Waha Swap (NW) | ||||||
| Tier 1 | $500 | $500 | $550 | $550 | $675 | $675 |
| Tier 2 | $400 | $300 | $440 | $330 | $540 | $405 |
| Tier 3 | $300 | $200 | $330 | $220 | $405 | $270 |
| 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 | $1,500 | $1,100 | $1,650 | $1,350 | $2,025 |
| Tier 2 | $900 | $600 | $990 | $660 | $1,215 | $810 |
| Tier 3 | $400 | $300 | $440 | $330 | $540 | $405 |
| Tier 4 | $200 | $200 | $220 | $220 | $270 | $270 |
| Tier 5 | $200 | $200 | $220 | $220 | $270 | $270 |
| Transco Zone 6 Swap (NZ) | ||||||
| Tier 1 | $3,000 | $3,500 | $3,300 | $3,850 | $4,050 | $4,725 |
| Tier 2 | $2,000 | $2,500 | $2,200 | $2,750 | $2,700 | $3,375 |
| Tier 3 | $700 | $750 | $770 | $825 | $945 | $1,013 |
| Tier 4 | $400 | $500 | $440 | $550 | $540 | $675 |
| Tier 5 | $400 | $500 | $440 | $550 | $540 | $675 |
| Tetco South Texas Basis Swap (TX) | ||||||
| Tier 1 | $300 | $400 | $330 | $440 | $405 | $540 |
| Tier 2 | $250 | $300 | $275 | $330 | $338 | $405 |
| Tier 3 | $200 | $200 | $220 | $220 | $270 | $270 |
| Tier 4 | $200 | $200 | $220 | $220 | $270 | $270 |
| Tier 5 | $200 | $100 | $220 | $110 | $270 | $135 |