Notice 550
October 29, 2008


Performance Bond Requirement Changes: Outright (SCAN) Margin Rate Change for the Existing Natural Gas Basis, Index and Swing Swap Contracts

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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, October 30th, 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 Nearby
2nd Nearby
3
3rd - 4th Nearby
3rd - 5th Nearby
4
5th- 11th Nearby
6th- 12th Nearby
5
12th– 16th Nearby
13th– 17th Nearby
6
17th– 28th Nearby
18th– 29th Nearby
7
29th- 40th Nearby
30th- 41st Nearby
8
41st- 52nd Nearby
42nd- 53rd Nearby
9
Greater than 52nd Nearby
Greater than 53rd 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 $7,250 $8,250 $7,975 $9,075 $9,788 $11,138
2 $7,000 $8,000 $7,700 $8,800 $9,450 $10,800
3 $6,750 $7,750 $7,425 $8,525 $9,113 $10,463
4 $5,250 $5,250 $5,775 $5,775 $7,088 $7,088
5 $5,250 $5,500 $5,775 $6,050 $7,088 $7,425
6 $4,000 $4,250 $4,400 $4,675 $5,400 $5,738
7 $3,500 $4,000 $3,850 $4,400 $4,725 $5,400
8 $3,250 $3,750 $3,575 $4,125 $4,388 $5,063
9 $3,000 $3,500 $3,300 $3,850 $4,050 $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 $1,813 $2,063 $1,994 $2,269 $2,447 $2,784
2 $1,750 $2,000 $1,925 $2,200 $2,363 $2,700
3 $1,688 $1,938 $1,856 $2,131 $2,278 $2,616
4 $1,313 $1,313 $1,444 $1,444 $1,772 $1,772
5 $1,313 $1,375 $1,444 $1,513 $1,772 $1,856
6 $1,000 $1,063 $1,100 $1,169 $1,350 $1,434
7 $875 $1,000 $963 $1,100 $1,181 $1,350
8 $813 $938 $894 $1,031 $1,097 $1,266
9 $750 $875 $825 $963 $1,013 $1,181


NYMEX Division Outright (Scan) Margin on Henry Hub Swing Swap Futures (SN)
 
Tiers
Clearing Member / Maintenance Margin
Member Customer Initial Margin
Non-Member Customer Initial Margin
New
Old
New
Old
New
Old
1 $1,813 $2,063 $1,994 $2,269 $2,447 $2,784

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