• Performance Bond Requirement Changes - Effective Tuesday, October 28, 2008

      • To
      • Clearing Member Firms;Chief Financial Officers;Back Office Managers;Margin Managers
      • From
      • CME Clearing
      • #
      • 08-297
      • Notice Date
      • 27 October 2008
      • Effective Date
      • 28 October 2008
    • 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) to Friday, November 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
       
      Note:   The revised margin Tiers are in bold.
       
      NYMEX Outright (Scan) Margin and Intra-Commodity Spread Tiers For Existing Natural Gas Index Swaps
      Tiers
      New
      Old*
      1
      1st - 2nd Nearby
      1st Nearby
      2
      3rd Nearby
      2nd Nearby
      3
      4th And Greater
      3rd And Greater
      * After November 7, 2008, Original Tiers apply.
       
      Should you have any questions regarding these margin rates, please contact William Doherty at (212) 299-2925.
       

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