Notice 541
October 27, 2008


Performance Bond Requirement Changes: Outright (SCAN) Tiers Structures and Margin Rate 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, October 28, 2008 (close of business).


Futures Contracts:
Transco Zone 6 Index Swap
IT
Sumas Index Swap
IU
TETCO M-3 Index Swap
IX
TCO Natural Gas Index Swap
Q1
TETCO STX Natural Gas Index Swap
Q2
Tennessee Zone 0 Natural Gas Index Swap
Q4
Tennessee Zone 0 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 margins are in bold

NYMEX Outright (Scan) Margin and Intra-Commodity Spread Tiers For 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)


 
Tiers
New
Old
1
1st - 2nd Nearby
1st Nearby and Greater
2
3rd Nearby
N/A
3
4th And Greater
N/A

NYMEX Division Margin Rates For Existing Natural Gas Index Swaps
 
 
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
 
New
Old
New
Old
New
Old
Transco Zone 6 Index Swap(IT)
Tier 1
$3,000
$3,000
$3,300
$3,300
$4,050
$4,050
Tier 2
$500
$2,000
$550
$2,200
$675
$2,700
Tier 3
$100
$100
$110
$110
$135
$135
Sumas Index Swap(IU)
Tier 1
$2,500
$2,500
$2,750
$2,750
$3,375
$3,375
Tier 2
$500
$1,000
$550
$1,100
$675
$1,350
Tier 3
$100
$100
$110
$110
$135
$135
Transco Zone 6 Index Swap(IX)
Tier 1
$3,000
$3,000
$3,300
$3,300
$4,050
$4,050
Tier 2
$500
$1,000
$550
$1,100
$675
$1,350
Tier 3
$100
$100
$110
$110
$135
$135
TCO Natural Gas Index Swap(Q1)
Tier 1
$2,000
$1,200
$2,200
$1,320
$2,700
$1,620
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
TETCO STX Natural Gas Index Swap(Q2)
Tier 1
$2,000
$1,200
$2,200
$1,320
$2,700
$1,620
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
Tennessee Zone 0 Natural Gas Index Swap(Q4)
Tier 1
$2,000
$1,400
$2,200
$1,540
$2,700
$1,890
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
Tennessee Zone 0 Natural Gas Index Swap(Y6)
Tier 1
$2,000
$1,300
$2,200
$1,430
$2,700
$1,755
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
Tennessee 500 Leg Natural Gas Index Swap(Y7)
Tier 1
$2,000
$1,300
$2,200
$1,430
$2,700
$1,755
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
Michcon Natural Gas Index Swap(Y8)
Tier 1
$2,000
$1,500
$2,200
$1,650
$2,700
$2,025
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A
CIG Rockies Natural Gas Index Swap(Z8)
Tier 1
$6,700
$6,700
$7,370
$7,370
$9,045
$9,045
Tier 2
$500
N/A
$550
N/A
$675
N/A
Tier 3
$100
N/A
$110
N/A
$135
N/A


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