Notice to Members
Notice No. 406
08/05/2008
Outright (SCAN) Tiers Structures and Margin Rate Changes for the Existing Natural Gas Basis Swap Contracts
Effective Date: Wednesday, August 6, 2008 (close of business)

Futures Contract:
CIG Basis Swap
CI
Alberta Basis Swap
NA
Chicago Basis Swap (NGI)
NB
ANR OK Basis Swap (Platts IFERC)
NE
Natural Gas Pipeline Co. of America (NGPL) Mid-Con Basis Swap (Platts IFERC)
NL
Tennessee 500 Leg Basis Futures Contract (Platts IFERC)
NM
Northwest Pipeline, Rockies Basis Swap
NR
SoCal Basis Swap (NGI)
NS
Kern River, Wyoming Basis Futures Contract (Platts IFERC)
NV
Waha Basis Swap (Platts IFERC)
NW
Texas Eastern Zone M-3 Basis Swap
NX
Malin Basis Swap (NGI)
PB
Northern Natural Gas Demarcation Basis Swap (Platts IFERC)
PE
Centerpoint Basis (Platts IFERC) Futures Contract
PW
Contract Months: All Months


NYMEX Division Outright (Scan) Margin Tiers For ANR OK Basis Swap (Platts IFERC)  (NE)
 
Tiers
New
Old
1
1st - 2nd Nearby
1st Nearby
2
3rd – 5th Nearby
2nd Nearby and Greater
3
Greater than 5th Nearby
n/a



NYMEX Division 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  Swap (CI)
 
 
 
 
 
 
Tier 1
$4,500
$3,500
$4,950
$3,850
$6,075
$4,725
Tier 2
$3,500
$2,500
$3,850
$2,750
$4,725
$3,375
Tier 3
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
Tier 4
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
Tier 5
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
Alberta Basis Swap (NA)
 
 
 
 
 
 
Tier 1
$1,200
$1,000
$1,320
$1,100
$1,620
$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
$300
$330
$330
$405
$405
Chicago Basis Swap(NB)
 
 
 
 
 
 
Tier 1
$600
$800
$660
$880
$810
$1,080
Tier 2
$300
$400
$330
$440
$405
$540
ANR OK Basis Swap(NE)
 
 
 
 
 
 
Tier 1
$1,600
$1,000
$1,760
$1,100
$2,160
$1,350
Tier 2
$1,200
$600
$1,320
$660
$1,620
$810
Tier 3
$750
N/A
$825
N/A
$1,013
N/A
Natural Gas Pipeline Co. of America (NGPL) Mid-Con Basis Swap (NL)
 
 
 
 
 
 
Tier 1
$1,500
$1,000
$1,650
$1,100
$2,025
$1,350
Tier 2
$1,200
$800
$1,320
$880
$1,620
$1,080
Tier 3
$500
$500
$550
$550
$675
$675
Tier 4
$300
$300
$330
$330
$405
$405
Tier 5
$200
$200
$220
$220
$270
$270
Tennessee 500 Leg Basis Futures Contract (NM)
 
 
 
 
 
 
Tier 1
$100
$150
$110
$165
$135
$203
Tier 2
$100
$150
$110
$165
$135
$203
Northwest Pipeline, Rockies Basis Swap (NR)
 
 
 
 
 
 
Tier 1
$4,000
$3,500
$4,400
$3,850
$5,400
$4,725
Tier 2
$3,500
$2,500
$3,850
$2,750
$4,725
$3,375
Tier 3
$3,000
$2,500
$3,300
$2,750
$4,050
$3,375
Tier 4
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
Tier 5
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
SoCal Basis Swap (NS)
 
 
 
 
 
 
Tier 1
$1,000
$600
$1,100
$660
$1,350
$810
Tier 2
$600
$400
$660
$440
$810
$540
Tier 3
$400
$400
$440
$440
$540
$540
Tier 4
$200
$200
$220
$220
$270
$270
Tier 5
$200
$200
$220
$220
$270
$270
Kern River, Wyoming Basis Futures Contract (NV)
 
 
 
 
 
 
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
$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
Waha Basis Swap (NW)
 
 
 
 
 
 
Tier 1
$1,000
$500
$1,100
$550
$1,350
$675
Tier 2
$800
$400
$880
$440
$1,080
$540
Tier 3
$600
$300
$660
$330
$810
$405
Tier 4
$400
$200
$440
$220
$540
$270
Tier 5
$200
$200
$220
$220
$270
$270
Texas Eastern Zone M-3 Basis Swap (NX)
 
 
 
 
 
 
Tier 1
$750
$900
$825
$990
$1,013
$1,215
Tier 2
$600
$900
$660
$990
$810
$1,215
Tier 3
$500
$900
$550
$990
$675
$1,215
Tier 4
$300
$300
$330
$330
$405
$405
Tier 5
$200
$200
$220
$220
$270
$270
Malin Basis Swap (PB)
 
 
 
 
 
 
Tier 1
$750
$900
$825
$990
$1,013
$1,215
Tier 2
$600
$800
$660
$880
$810
$1,080
Tier 3
$500
$500
$550
$550
$675
$675
Northern Natural Gas Demarcation Basis Swap (PE)
 
 
 
 
 
 
Tier 1
$1,000
$900
$1,100
$990
$1,350
$1,215
Tier 2
$900
$750
$990
$825
$1,215
$1,013
Tier 3
$500
$300
$550
$330
$675
$405
Centerpoint Basis Futures Contract (PW)
 
 
 
 
 
 
Tier 1
$1,200
$1,100
$1,320
$1,210
$1,620
$1,485
Tier 2
$900
$750
$990
$825
$1,215
$1,013
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com