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, October 28, 2008 (close of business) to Friday, November 7, 2008.

Futures Contract:
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)
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 Nearby
1st - 2nd Nearby
2
2nd Nearby
3rd Nearby
3
3rd And Greater
4th And Greater

Should you have any questions or require any further information, please contact ExchangeInformation@cmegroup.com.