04/09/2008
FUTURES CONTRACTS:
CONTRACT MONTHS: All Months
Contract Name Symbol CIG Basis Swap CI Northwest Pipeline, Rockies Basis Swap NR Texas Eastern Zone M-3 Basis Swap NX Transco Zone 6 Basis Swap NZ Tetco South Texas Basis Swap TX Synthetic Underlying for PG&E Citygate "Pipe" Option XQ Synthetic Underlying for Alberta "Pipe" Option XI Synthetic Underlying for Northern Rockies "Pipe" Option XR Synthetic Underlying for Transco Zone 6 "Pipe" Option XZ Synthetic Underlying for Chicago Citygate "Pipe" Option XO Synthetic Underlying for Houston Ship Channel "Pipe" Option XJ Synthetic Underlying for San Juan "Pipe" Option XX Synthetic Underlying for SOCAL "Pipe" Option XN Synthetic Underlying for Panhandle "Pipe" Option XH
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 | $1,000 | $1,200 | $1,100 | $1,320 | $1,350 | $1,620 |
| Tier 2 | $1,000 | $1,200 | $1,100 | $1,320 | $1,350 | $1,620 |
| Tier 3 | $600 | $600 | $660 | $660 | $810 | $810 |
| Tier 4 | $500 | $500 | $550 | $550 | $675 | $675 |
| Tier 5 | $500 | $500 | $550 | $550 | $675 | $675 |
| Northwest Pipeline, Rockies Swap (NR) | ||||||
| Tier 1 | $1,000 | $1,000 | $1,100 | $1,100 | $1,350 | $1,350 |
| Tier 2 | $800 | $800 | $880 | $880 | $1,080 | $1,080 |
| Tier 3 | $600 | $600 | $660 | $660 | $810 | $810 |
| Tier 4 | $400 | $300 | $440 | $330 | $540 | $405 |
| Tier 5 | $400 | $300 | $440 | $330 | $540 | $405 |
| Texas Eastern Zone M-3 Swap (NX) | ||||||
| Tier 1 | $750 | $1,000 | $825 | $1,100 | $1,013 | $1,350 |
| Tier 2 | $600 | $900 | $660 | $990 | $810 | $1,215 |
| Tier 3 | $500 | $400 | $550 | $440 | $675 | $540 |
| Tier 4 | $300 | $200 | $330 | $220 | $405 | $270 |
| Tier 5 | $200 | $200 | $220 | $220 | $270 | $270 |