• Performance Bond Requirement Changes -- Effective Thursday, May 28th, 2009

      • To
      • Clearing Member Firms
      • From
      • CME Clearing
      • #
      • 09-229
      • Notice Date
      • 27 May 2009
      • Effective Date
      • 28 May 2009
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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, May 28th, 2009.
       
       
      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 tiers 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– 9th Nearby
      6th– 10th Nearby
      5
      10th– 21nd Nearby
      11th– 22nd Nearby
      6
      22th- 33th Nearby
      23th- 34th Nearby
      7
      34th- 45th Nearby
      35th- 46th Nearby
      8
      46th- 57th Nearby
      47th- 58th Nearby
      9
      Greater than 57th Nearby
      Greater than 58th Nearby

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