10/17/2008
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 on Monday, October 20th, 2008.
NEW MARGIN RATES AND TIERS FOR
Natural Gas Basis, Index and Swing Swaps |
Commodity Code |
| NGPL STX Natural Gas Basis Swap | T5 |
| Algonquin City-gates Natural Gas Basis Swap | B4 |
| TCO Natural Gas Index Swap | Q1 |
| TETCO STX Natural Gas Index Swap | Q2 |
| Tennessee Zone 0 Natural Gas Index Swap | Q4 |
| Transco Zone 3 Natural Gas Index Swap | Y6 |
| Tennessee 500 Leg Natural Gas Index Swap | Y7 |
| Michcon Natural Gas Index Swap | Y8 |
| CIG Rockies Natural Gas Index Swap | Z8 |
| TCO Natural Gas Swing Swap | A1 |
| TETCO STX Natural Gas Swing Swap | T2 |
| Tennessee Zone 0 Natural Gas Swing Swap | T4 |
| Malin Natural Gas Swing Swap | W9 |
| Stanfield Natural Gas Swing Swap | Q3 |
| Transco Zone 3 Natural Gas Swing Swap | T6 |
| Tennessee 500 Leg Natural Gas Swing Swap | T7 |
| Michcon Natural Gas Swing Swap | T8 |
| CIG Rockies Natural Gas Swing Swap | U8 |
Outright (Scan) Spread Tiers for T5, B4, Q1, Q2, Q4, Y6,
Y7, Y8,
Z8, A1, T2, T4, W9, Q3, T6, T7, T8 and U8
Z8, A1, T2, T4, W9, Q3, T6, T7, T8 and U8
|
Tiers |
New |
1 |
All Months |
Outright (Scan) Margin on T5, B4, Q1, Q2, Q4, Y6, Y7, Y8,
Z8, A1, T2, T4, W9, Q3, T6, T7, T8 and U8
| |
| Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
Commodity |
New |
New |
New |
T5 |
500 |
550 |
675 |
B4 |
1500 |
1650 |
2025 |
Q1 |
1200 |
1320 |
1620 |
Q2 |
1200 |
1320 |
1620 |
Q4 |
1400 |
1540 |
1890 |
Y6 |
1300 |
1430 |
1755 |
Y7 |
1300 |
1430 |
1755 |
Y8 |
1500 |
1650 |
2025 |
Z8 |
6700 |
7370 |
9045 |
A1 |
1700 |
1870 |
2295 |
T2 |
1900 |
2090 |
2565 |
T4 |
1900 |
2090 |
2565 |
W9 |
1600 |
1760 |
2160 |
Q3 |
3200 |
3520 |
4320 |
T6 |
1700 |
1870 |
2295 |
T7 |
1800 |
1980 |
2430 |
T8 |
1800 |
1980 |
2430 |
U8 |
10300 |
11330 |
13905 |
Intra-Commodity Spread Tiers for T5, B4, Q1, Q2, Q4, Y6,
Y7, Y8,
Z8, A1, T2, T4, W9, Q3, T6, T7, T8 an and U8
Z8, A1, T2, T4, W9, Q3, T6, T7, T8 an and U8
| Tiers |
New |
1 |
All Months |
Intra-Commodity Spread Margins on T5, B4, Q1, Q2, Q4,
Y6, Y7, Y8, Z8, A1, T2, T4, W9, Q3, T6, T7, T8 and U8
| Clearing Member / Maintenance Margin |
Member Customer Initial Margin |
Non-Member Customer Initial Margin |
|
Commodity |
New |
New |
New |
T5 |
25 |
28 |
34 |
B4 |
25 |
28 |
34 |
Q1 |
25 |
28 |
34 |
Q2 |
25 |
28 |
34 |
Q4 |
25 |
28 |
34 |
Y6 |
25 |
28 |
34 |
Y7 |
25 |
28 |
34 |
Y8 |
25 |
28 |
34 |
Z8 |
125 |
138 |
169 |
A1 |
100 |
110 |
135 |
T2 |
100 |
110 |
135 |
T4 |
100 |
110 |
135 |
W9 |
100 |
110 |
135 |
Q3 |
150 |
165 |
203 |
T6 |
100 |
110 |
135 |
T7 |
100 |
110 |
135 |
T8 |
100 |
110 |
135 |
U8 |
500 |
550 |
675 |