ChAdv09330 - CME Group

PB Requirement Changes - Effective Monday, August 3rd - NYMEX Energy

- To
- Clearing Member Firms
- From
- CME Clearing
- #
- 09-330
- Notice Date
- 31 July 2009
- Effective Date
- 03 August 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 Monday, Aug 3^rd, 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	1^st Nearby	1^st Nearby
2	2nd Nearby	2nd Nearby
3	3^rd – 7^th Nearby	3^rd Nearby
4	8th– 14th Nearby	4th– 8th Nearby
5	15th– 19th Nearby	9th– 20th Nearby
6	20st- 31nd Nearby	21st- 32nd Nearby
7	32rd- 43rd Nearby	33rd- 44th Nearby
8	44th- 55th Nearby	45th- 56th Nearby
9	Greater than 55th Nearby	Greater than 56th Nearby

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PB Requirement Changes - Effective Monday, August 3rd - NYMEX Energy