Notice to Members
Notice No. 440
08/25/2008
Performance Bond Requirement Changes: Outright (SCAN) Tiers Structures Change for the Existing Natural Gas Index Swap Contracts
As per the normal review of market volatility to ensure adequate collateral coverage, the Chicago Mercantile Exchange Inc., Clearing House Risk Management staff approved the performance bond requirements for the following products listed below. The rates are effective at the close of business from Tuesday, August 26, 2008 (close of business) to Monday, September 8, 2008 (close of business).

Futures Contracts:
Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Houston Ship Channel Index Swap (IP), ANR OK Index Swap (IQ), Rockies Index Swap (IR), Chicago Index Swap (IS), Transco Zone 6 Index Swap (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW), TETCO M-3 Index Swap (IX), Waha Index Swap (IY), NGPL Tex/OK Index Swap (OI) and Ventura Index Swap (VI)
Contract Months: All Months

Note: The revised margin Tiers are in bold.


NYMEX Outright (Scan) Margin and Intra-Commodity Spread Tiers For Existing Natural Gas Index Swaps
 
Tiers
New
Old†*
1
1st - 2nd Nearby
1st Nearby
2
3rd Nearby
2nd Nearby
3
4th and Greater
3rd Nearby


* After September 8, 2008, Original Tiers apply
Should you have any questions or require any further information, please contact exchangeinfo@nymex.com