08/27/2008
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 Thursday, August 28th, 2008.
MARGIN RATE AND TIER CHANGES FOR NATURAL GAS FUTURES (NG), HENRY HUB SWAP FUTURES (NN), NATURAL GAS PENULTIMATE (HP), NATURAL GAS LAST DAY (HH), GLOBEX NATURAL GAS miNY™ FUTURES (QG), HENRY HUB SWING SWAP FUTURES (SN), AND HENRY HUB PENULTIMATE SWAP (NP) CONTRACTS
Note: The revised margins are in bold
NG/NN/NP/HH/HP/QG Intra-Commodity Spread and Scan Tiers
Tiers |
New |
Old |
1 |
1st Nearby |
1st Nearby |
2 |
2nd - 3rd Nearby |
2nd Nearby |
3 |
4th - 6th Nearby |
3rd - 7th Nearby |
4 |
7th - 13th Nearby |
8th - 14th Nearby |
5 |
14th - 18th Nearby |
15th - 19th Nearby |
6 |
19th - 30th Nearby |
20th - 31st Nearby |
7 |
31st - 42nd Nearby |
32nd - 43rd Nearby |
8 |
43rd - 54th Nearby |
44th - 55th Nearby |
9 |
Greater than 54th Nearby |
Greater than 55th Nearby |
NYMEX Division Outright (Scan) Margins on Natural Gas Futures (NG),
Natural Gas Penultimate (HP) and Natural Gas Last Day (HH)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $9,500 | $8,250 | $10,450 | $9,075 | $12,825 | $11,138 |
| 2 | $9,000 | $8,250 | $9,900 | $9,075 | $12,150 | $11,138 |
| 3 | $8,750 | $8,750 | $9,625 | $9,625 | $11,813 | $11,813 |
| 4 | $5,500 | $5,500 | $6,050 | $6,050 | $7,425 | $7,425 |
| 5 | $5,750 | $5,750 | $6,325 | $6,325 | $7,763 | $7,763 |
| 6 | $4,250 | $4,250 | $4,675 | $4,675 | $5,738 | $5,738 |
| 7 | $4,000 | $4,000 | $4,400 | $4,400 | $5,400 | $5,400 |
| 8 | $3,750 | $3,750 | $4,125 | $4,125 | $5,063 | $5,063 |
| 9 | $3,500 | $3,500 | $3,850 | $3,850 | $4,725 | $4,725 |
NYMEX Division Outright (Scan) Margins on Henry Hub Swap Futures (NN)
Henry Hub Penultimate Swap (NP) and GLOBEX miNY Natural Gas (QG)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $2,375 | $2,063 | $2,613 | $2,269 | $3,206 | $2,784 |
| 2 | $2,250 | $2,063 | $2,475 | $2,269 | $3,038 | $2,784 |
| 3 | $2,188 | $2,188 | $2,406 | $2,406 | $2,953 | $2,953 |
| 4 | $1,375 | $1,375 | $1,513 | $1,513 | $1,856 | $1,856 |
| 5 | $1,438 | $1,438 | $1,581 | $1,581 | $1,941 | $1,941 |
| 6 | $1,063 | $1,063 | $1,169 | $1,169 | $1,434 | $1,434 |
| 7 | $1,000 | $1,000 | $1,100 | $1,100 | $1,350 | $1,350 |
| 8 | $938 | $938 | $1,031 | $1,031 | $1,266 | $1,266 |
| 9 | $875 | $875 | $963 | $963 | $1,181 | $1,181 |
NYMEX Division Outright (Scan) Margin on Henry Hub SwingSwap Futures
(SN)
| Tiers |
Clearing Member / Maintenance
Margin |
Member Customer Initial Margin |
Non-Member Customer Initial
Margin |
|||
New |
Old |
New |
Old |
New |
Old |
|
| 1 | $2,375 | $2,063 | $2,613 | $2,269 | $3,206 | $2,784 |