Performance Bond (Margin) Advisory Notices
To | Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
From | CME Clearing
Subject | Performance Bond Requirement Changes: Outright (SCAN) Tiers Structures Change for the Existing Natural Gas Index Swap Contracts
Notice Date | 2008-09-23
Notice Number | 08-236
Effective Date | 2008-09-25
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 Thursday, September 25, 2008 (close of business) to Tuesday, October 7, 2008 (close of business) . Futures Contracts: Demarcation Index Swap (DI), SoCal Index Swap (IF), Dominion Index Swap (IH), CenterPoint Index Swap (II), San Juan Index Swap (IJ), PG&E City Gate Index Swap (IK), El Paso/Permian Index Swap (IL), Henry Hub Index Swap (IN), Dawn Index Swap (IO), Houston Ship Channel Index Swap (IP), ANR OK Index Swap (IQ), Rockies Index Swap (IR), Chicago Index Swap (IS), Transco Zone 6 Index Swap (IT), Sumas Index Swap (IU), Panhandle Index Swap (IV), NGPL Mid-Continent Index Swap (IW), TETCO M-3 Index Swap (IX), Waha Index Swap (IY), NGPL Tex/OK Index Swap (OI) and Ventura Index Swap (VI). Contract Months: All Months For the full text of this advisory...