08/19/2008
Futures Contract:
Contract Months: All Months
CIG Basis Swap Florida Gas Transmission Zone 3 Basis Swap Alberta Basis Swap Chicago Basis Swap (NGI) ANR Louisiana Basis Swap (Platts IFERC) ANR OK Basis Swap (Platts IFERC) Michigan Consolidated Gas Co. (MichCon) Basis Swap (Platts IFERC) Houston Ship Channel Basis Swap (Platts IFERC) San Juan Basis Swap (Platts IFERC) Sumas Basis Swap (Platts IFERC) Natural Gas Pipeline Co. of America (NGPL) Mid-Con Basis Swap (Platts IFERC) Northwest Pipeline, Rockies Basis Swap Kern River, Wyoming Basis Swap (Platts IFERC) El Paso Natural Gas Co. Permian Basin Basis Swap (Platts IFERC) Centerpoint Basis Swap (Platts IFERC)
NYMEX Division Outright (Scan) Margin Rates 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 Basis Swap (CI) | ||||||
| Tier 1 | $4,000 |
$4,500 |
$4,400 |
$4,950 |
$5,400 |
$6,075 |
| Tier 2 | $3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
| Tier 3 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Tier 4 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Tier 5 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Florida Gas Transmission Zone 3 Basis Swap (FP) | ||||||
| Tier 1 | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 2 | $400 |
$700 |
$440 |
$770 |
$540 |
$945 |
| Tier 3 | $150 |
$200 |
$165 |
$220 |
$203 |
$270 |
| Tier 4 | $100 |
$150 |
$110 |
$165 |
$135 |
$203 |
| Tier 5 | $100 |
$150 |
$110 |
$165 |
$135 |
$203 |
| Alberta Basis Swap (NA) | ||||||
| Tier 1 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2 | $750 |
$800 |
$825 |
$880 |
$1,013 |
$1,080 |
| Tier 3 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 4 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 5 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Chicago Basis Swap(NB) | ||||||
| Tier 1 | $500 |
$600 |
$550 |
$660 |
$675 |
$810 |
| Tier 2 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| ANR Louisiana Basis Swap(ND) | ||||||
| Tier 1 | $150 |
$150 |
$165 |
$165 |
$203 |
$203 |
| Tier 2 | $150 |
$200 |
$165 |
$220 |
$203 |
$270 |
| ANR OK Basis Swap(NE) | ||||||
| Tier 1 | $1,400 |
$1,600 |
$1,540 |
$1,760 |
$1,890 |
$2,160 |
| Tier 2 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 3 | $1,000 |
$750 |
$1,100 |
$825 |
$1,350 |
$1,013 |
| Michigan Consolidated Gas Co. Basis Swap (NF) | ||||||
| Tier 1 | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 2 | $200 |
$250 |
$220 |
$275 |
$270 |
$338 |
| Tier 3 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Houston Ship Channel Basis Swap (NH) | ||||||
| Tier 1 | $300 |
$400 |
$330 |
$440 |
$405 |
$540 |
| Tier 2 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 3 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Tier 4 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| Tier 5 | $100 |
$100 |
$110 |
$110 |
$135 |
$135 |
| San Juan Basis Swap (NJ) | ||||||
| Tier 1 | $1,000 |
$1,300 |
$1,100 |
$1,430 |
$1,350 |
$1,755 |
| Tier 2 | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 3 | $400 |
$500 |
$440 |
$550 |
$540 |
$675 |
| Tier 4 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Tier 5 | $250 |
$250 |
$275 |
$275 |
$338 |
$338 |
| Sumas Basis Swap (NK) | ||||||
| Tier 1 | $1,000 |
$1,000 |
$1,100 |
$1,100 |
$1,350 |
$1,350 |
| Tier 2 | $700 |
$700 |
$770 |
$770 |
$945 |
$945 |
| Tier 3 | $500 |
$400 |
$550 |
$440 |
$675 |
$540 |
| Natural Gas Pipeline Co. of America (NGPL) Mid-Con Basis Swap (NL) | ||||||
| Tier 1 | $1,200 |
$1,500 |
$1,320 |
$1,650 |
$1,620 |
$2,025 |
| Tier 2 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 3 | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 4 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Tier 5 | $200 |
$200 |
$220 |
$220 |
$270 |
$270 |
| Northwest Pipeline, Rockies Basis Swap (NR) | ||||||
| Tier 1 | $3,500 |
$4,000 |
$3,850 |
$4,400 |
$4,725 |
$5,400 |
| Tier 2 | $3,000 |
$3,500 |
$3,300 |
$3,850 |
$4,050 |
$4,725 |
| Tier 3 | $2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 4 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Tier 5 | $2,000 |
$2,500 |
$2,200 |
$2,750 |
$2,700 |
$3,375 |
| Kern River, Wyoming Basis Futures Contract (NV) | ||||||
| Tier 1 | $2,500 |
$3,000 |
$2,750 |
$3,300 |
$3,375 |
$4,050 |
| Tier 2 | $2,000 |
$2,000 |
$2,200 |
$2,200 |
$2,700 |
$2,700 |
| Tier 3 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 4 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| Tier 5 | $1,500 |
$2,000 |
$1,650 |
$2,200 |
$2,025 |
$2,700 |
| El Paso Natural Gas Co. Permian Basin Basis Swap (PM) | ||||||
| Tier 1 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2 | $900 |
$1,000 |
$990 |
$1,100 |
$1,215 |
$1,350 |
| Tier 3 | $750 |
$750 |
$825 |
$825 |
$1,013 |
$1,013 |
| Tier 4 | $500 |
$500 |
$550 |
$550 |
$675 |
$675 |
| Tier 5 | $300 |
$300 |
$330 |
$330 |
$405 |
$405 |
| Centerpoint Basis Futures Contract (PW) | ||||||
| Tier 1 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |
| Tier 2 | $750 |
$900 |
$825 |
$990 |
$1,013 |
$1,215 |
| Tier 3 | $1,000 |
$1,200 |
$1,100 |
$1,320 |
$1,350 |
$1,620 |